美股對亞太三國股市波動性之研究－多變量GARCH模型之應用

A study of stock markets volatility between theUnited States and Asia-Pacific－An application of multivariate GARCH model

張宸源(Chen-Yuan Chang)

指導教授 ： 鄭光甫

嶺東科技大學/財經學院/財務金融研究所/碩士(2012年)

摘要

本研究以亞太三國，台灣、印尼、越南，三個國家之股票市場為實證對象，進行其與美國股票市場的股價及市場報酬之傳遞波動影響分析，提供投資人進行國際化投資組合的參考。除了使用GARCH模型來探討報酬之波動影響及資訊傳遞之波動影響之外，由於美國與亞洲股票市場之間的波動傳遞效應皆具有非線性的性質，因而接著採用一個變動相關雙變量GARCH-DCC模型，做更切實的分析描述，採自2006年10月11日至2011年12月30日共1146筆日資料日資料，進行分析。
實證得到以下結論：美國與亞太三國之股價沒有通過共整合檢定，顯示沒有長期均衡關係。Granger因果關係檢定顯示美國市場報酬單向影響台灣、印尼、越南三個國家市場報酬。美國與亞太三國股票市場的日報酬資料皆有ARCH效果。GARCH模型顯示亞太三國均受美國前一期市場報酬正向影響，本國當期股價的波動會受到前期未預期變動(新訊息)與前期報酬波動(舊訊息)的正向影響。GARCH-DCC之估計與分析進一步顯示亞太三國之股票市場報酬受美國前一期報酬正向影響，當期報酬波動亦受美股前期未預料報酬波動正向影響。

關鍵字

Granger因果關係檢定 ； GARCH-DCC模型

並列摘要

In this study, the three countries of the Asia-Pacific, Taiwan, Indonesia, Vietnam, the three countries, the stock market for the empirical, with fluctuations in the U.S. stock market share price and the market return pass to the impact analysis, to provide investors with the reference of the international portfolio. In addition to the GARCH model to investigate the compensation of fluctuations and information transmission fluctuations, due to the pass-through effect of the fluctuations between the U.S. and Asian stock markets are non-linear nature of, and thus followed a change bivariate GARCH - DCC model, do a more realistic description of the analysis were collected from October 11, 2006 December 2011 30, a total 1146 document the daily data information for analysis.

The empirical get the following conclusions: the United States and the Asia-Pacific shares did not pass the cointegration test showed no long-run equilibrium relationship. Granger causality test shows that the U.S. market return on one-way influence the market returns of the three countries of Taiwan, Indonesia, Vietnam. The daily return data for the United States and the Asia-Pacific stock markets all the ARCH effect. The GARCH model shows that the Asia-Pacific three countries subject to United States a positive impact on market returns, and its current stock price fluctuations will be early is not expected to change (new information) and the positive impact of pre-return volatility (old messages). Estimates of the GARCH- DCC analysis further shows that stock market returns in the Asia-Pacific three by former U.S. paid a positive effect on current return volatility is also stocks pre unexpected positive impact of return volatility.

並列關鍵字

Granger Causality ； GARCH-DCC model

參考文獻

一、 國內文獻

劉曦敏 and 葛豐瑞 (1996). "臺灣股價指數報酬率之線性及非線性變動." 經濟研究 34(1): 73-109.

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吳銀釧 (1998)，「台灣與國際股市相關係數的時間序列分析及應用」，政治大學國際貿易學研究碩士論文。

紀嘉政 (1998)，「台灣股市與美國、日本及香港股市共移性之研究」，私立淡江大學財務金融學系金融碩士班碩士論文。