GJR-GARCH模型測量台幣升值對台灣晶圓製造公司報酬之風險傳遞影響

GJR-GARCH model measures risk transmission the appreciation of the Taiwan Exchange rate for Taiwan wafer manufacturing company

蔡宗樺(Tsung-Hua Tsai)

指導教授 ： 楊永列

嶺東科技大學/商管學院/財務金融系碩士班/碩士(2020年)

摘要

本研究利用GJR-GARCH模型，探討自2014年起至2020年4月止，台幣升值對台灣上市台灣晶圓製造公司指數報酬之不對稱影響。Granger模型檢定發現，台灣匯率升值對R2303、R2342、R2344有單向顯著影響；台灣匯率升值對R2330、R2337有雙向顯著的影響。GJR模型實證結果顯示R2303、R2330、R2337存在負的不對稱效果。

關鍵字

台灣晶圓製造公司 ； GJR-GARCH模型 ； 匯率波動 ； 股市報酬

並列摘要

This study uses the GJR-GARCH model to explore the asymmetric impact of the appreciation of the Taiwanese dollar on the index returns of Taiwanese wafer manufacturing companies listed in Taiwan from 2014 to April 2020. Granger model test found that the appreciation of Taiwan's exchange rate has a one-way significant effect on R2303, R2342, R2344; the appreciation of Taiwan's exchange rate has a two-way significant effect on R2330, R2337. The empirical results of the GJR model show that R2303, R2330 and R2337 have negative asymmetric effects.

並列關鍵字

Taiwan wafer manufacturing company ； GJR-GARCH model ； exchange rate fluctuations ； stock market returns

參考文獻

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