美國對台灣股市外溢效果之分量迴歸分析

Quantile Regression Analysis of the Spillover Effect of US-Taiwan Stock Markets

蔡佳樺(Chia-Hua Tsai)

指導教授 ： 周雨田

國立交通大學/管理學院/經營管理研究所/碩士(2009年)

https://doi.org/10.6842/NCTU.2009.00272

摘要

本篇使用分量迴歸模型 (Quantile Regression) 來探討美國股市對台灣股票市場的外溢效果是否存在，美股以S&P 500為代表，台股則分別取台股加權指數和店頭市場加權指數為代表，並區分為close-to-open, open-to-close和close-to-close三階段報酬來探討，實證結果發現：1. 美股對台股在close-to-open報酬具有外溢效果，此外，透過分量迴歸我們發現1995年到1997年在漲跌幅大時才具有外溢效果。2. 美股對台股在close-to-close報酬亦具有外溢效果，除了在1995年到1997年，當股價達最大跌幅時，美股對台股不但不具有外溢效果，反而為負向的影響。3.本篇論文證實，美股對台股在open-to-close報酬確實具有過度反應效果，且除了1995年到1997年過度反應效果僅存在於股價漲跌幅極大外，金融海嘯時期，當股價達致最大跌幅則亦不具有過度反應效果。

關鍵字

外溢效果 ； 過度反應效果 ； 普通最小平方法 ； 最小絕對離差法

並列摘要

This paper employs quantile regression model to investigate if the price change spillover effect exists from U.S. to Taiwan. We discuss three market segments of Taiwan stock which comprise close-to-open, open-to-close and close-to-close returns respectively. We find that: Firstly, the price change spillover effect exists from U.S. to the close-to-open returns of Taiwan stock market. Furthermore, the price change spillover effect exists when stock price goes up or down greatly from 1995 to 1997. Secondly, the price change spillover effect exists from U.S. to the close-to-close returns of Taiwan stock market. However, there is no price change spillover effect when price goes down greatly and there is even negative effect from U.S. to Taiwan from 1995 to 1997. Thirdly, the overreaction effect exists from U.S. to the open-to-close returns of Taiwan except from 1995 to 1997. The overreaction effect only exists when price goes up or down greatly from 1995 to 1997, and there is no overreaction effect when price goes down greatly in Financial Tsunami.

並列關鍵字

Spillover effect ； Overreaction effect ； Ordinary least squares method ； Least absolute deviations method

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