本研究利用AR-GARCH模型分析人民幣與台幣匯率對亞洲主要國家之股市報酬與風險的傳遞效果,何者影響較大。以台灣、香港、新加坡、韓國、菲律賓、日本等六個亞洲國家之股票市場為實證對象,研究期間為金融危機後2012年1月1日至2017年3月3日。GARCH實證結果發現,亞洲主要國家股價報酬受人民幣前一天報酬均為正向統計顯著效果,其次序分別為菲律賓(0.356)、日本(0.262)、韓國(0.198)、臺灣(0.095)、新加坡(0.085)及香港(0.058)。顯示人民幣匯率對亞洲主要國家股市報酬的影響較大。
This paper uses AR-GARCH model to analyze the spillovers effect on the return and risk of the equity markets of the major Asian countries by RMB and TWD exchange rate. The empirical stock market data studied includes Taiwan, Hong Kong, Singapore, Korea, Philippine, and Japan’s and the time observed ranges from January 1st, 2012 to March 3rd, 2017 after the financial crisis has been occurred. According to the empirical research of GARCH model, the effects of the equity return by on Asian major countries’ are all positively significant, followed by Philippine’s(0.356), Japan’s(0.262), Korea’s(0.198), Taiwan’s(0.095), Singapore’s(0.085) and Hong Kong’s(0.058). In conclusion, RMB exchange rate has greater effects on the equity return of the Asian major countries.