變動相關雙變量GARCH模型應用在人民幣與歐元匯率波動對亞洲四小龍股價報酬傳遞之實證研究

A Varying Correlation Bivariate GARCH Applied to Influence of the Exchange Rate of RMB and EUR on Stock Market of Asian Tigers

吳旻凡(Min-Fan Wu)

指導教授 ： 楊永列

嶺東科技大學/財經學院/財務金融系碩士班/碩士(2017年)

摘要

Branson and Henderson （1985）提出有價證券餘額理論，金融資產的價值由它們的未來現金流入的現值決定，通貨貶值及其預期增加外匯資產的報酬與未來所得，誘使投資人多持有外匯，負面影響其他金融資產價格。本研究利用變動相關雙變量GARCH模型，探討2012年1月3日至2017年3月17日，人民幣匯率和歐元匯率對亞洲四小龍股票變動的影響。實證結果顯示台湾股价指数报酬和香港恒生指数报酬受自身上一期波动影响，方向为正。而新加坡海峡指数报酬和韩国综合股价指数报酬受自身上一期影响，方向为负。人民幣匯率升值對台灣、香港股价报酬上升大於歐元匯率升值。歐元匯率升值對韓國股价报酬上升大於人民幣匯率升值。

關鍵字

變動相關雙變量GARCH模型 ； 股價報酬 ； 匯率

並列摘要

Branson and Henderson proposed a Certificate Card Balance Theory in 1985, which indicated that the value of monetary assets will base on current value of the currency flow in the future. Currency depreciation and the remuneration and its future income from the expected increase value of foreign exchange assets will attract investors to hold more foreign exchange which will then affect the price of other monetary assets negatively. This research applies Varying Correlation Bivariate GARCH Model to investigate the influence of the exchange rate of RMB and EUR on stock markets of Four Asian Tigers from Jan 3rd , 2012 to March 17th, 2017. Based on the empirical evidences of the research, it was shown that the stock exchange rate of Taiwan and the Hang Seng Index remuneration of Hong Kong were affected by the fluctuation from last term resulting in the positive results. On the other hand, Singapore Straits Index and Korea Composite Stock Index remuneration were affected by the fluctuation from last term resulting in negative results. Overall, it was proved that the increase of RMB exchange rate has bigger impact than EUR exchange rate towards the increase of stock remuneration of Taiwan and Hong Kong. On the contrary, the increase of EUR exchange rate has bigger impact on the increase of Korea Composite Stock Index than RMB

並列關鍵字

GARCH-DCC Model ； Stock Market ReturnGARCH-DCC Model ； Stock Market Return ； Exchange Rate VolatilityExchange Rate Volatility

參考文獻

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