臺灣電子與金融期現貨市場互動性、波動外溢與長期記憶效果之研究－外資介入與美國期貨避險效果及FIEC-HYGARCH之應用－

A Study on the Interactions, Volatility Spillovers, and Long Memory Effects for Stock and Futures Markets of Taiwan Electronic and Financial Indexes: The Mediating Effect of Foreign Capital and hedge effect of American Futures and an Application of FIEC-HYGARCH Model

周士涵(Shih-Han Chou)

指導教授 ： 劉祥熹

國立臺北大學/商學院/國際企業研究所/碩士(2009年)

摘要

本文以臺灣電子與金融股價指數期現貨為主要研究對象，並應用FIEC-HYGARCH模型分析臺灣電子與金融股價指數期現貨之互動性、波動外溢與長期記憶效果，同時兼論外資介入與美國期貨之避險效果，樣本期間為2005年1月1日至2008年8月31日。

實證結果證明FIEC-HYGARCH模型可以正確的捕捉長期之波動，臺灣電子與金融股
價指數期現貨報酬率具有長期記憶與自我外溢效果，同時條件變異亦具顯著之波動外溢、
長期記憶與波動振幅，顯示臺灣電子與金融股價指數期現貨報酬率具有動態關聯性。納入
外資與美國期貨後，臺灣電子與金融股價指數期現貨報酬率之長期記憶會縮短，波動外溢
效果與波動持續性亦有減少之現象，顯示外資與美國期貨會對臺灣電子與金融股價指數期
現貨造成影響。避險方面，本文以考量美國期貨之FIEC-HYGARCH模型之避險績效為最
佳。

關鍵字

長期記憶 ； 分數共整合 ； FIEC-HYGARCH ； 避險

並列摘要

This study investigates the interactions, volatility spillovers, and long memory effects for stock and futures markets of Taiwan electronic and financial indexes by using FIEC-HYGARCH model. It also discusses the mediating effect of foreign capital and hedge effect of American Futures. The sample period of this study is from January 1, 2005 to August 31, 2008.

The empirical results verify that the FIEC-HYGARCH model can capture the long-term volatility behavior. The stock and futures indexes returns of Taiwan electronic and financial indexes have long memory and own-mean spillover effects. Moreover, the conditional variances also have volatility spillover effects, long memory and amplitude. Hence it exist dynamic interrelationship among the stock and futures indexes returns of Taiwan electronic and financial indexes. Further, it also reduces the long memory and spillover effects by incorporating foreign capital and American futures into the model. In addition, it founds that the hedge performance of FIEC-HYGARCH model is the best when including the American futures into the model.

並列關鍵字

long memory ； fractional cointegration ； FIEC-HYGARCH ； hedge

參考文獻

11. 陳揚仁（2007），「台灣、日本與韓國TFT－LCD面板產業股價連動性之研究」，國立台北大學合作經濟學研究所碩士論文。

15. 劉浩宇（2008），「台灣TFT-LCD產業上中下游股價之長期記憶、關聯性與波動外溢效果之研究－FIEC－FIGARCH模型之應用」，國立臺北大學國際企業研究所碩士論文。

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