金融海嘯前後歐美與台灣股票市場之波動影響效果

The Impact of Volatility among European,US and Taiwanese Stock Markets during the Financial Crisis

鄭晶心(Ching-Hsin Cheng)

指導教授 ： 楊永列

嶺東科技大學/財經學院/財務金融研究所/碩士(2012年)

摘要

本研究利用AR- GARCH模型來分析歐、美股市對台灣股市連動關係變化影響，並以Zivot and Andrews結構性改變檢定找出各國結構性改變時點，探討其結構性改變對歐、美、台灣股市之波動影響效果，以台灣、美國、德國、英國四個國家之股票市場為實證對象，在金融海嘯前後分別進行動態關係實證研究。研究期間為2000年1月1日至2011年12月31日，選取各國共同交易日之股價指數，共有2820筆日報酬資料。經實證結果顯示：美國、德國、英國對台灣股票市場報酬呈現顯著的正向影響，表示歐、美股市對台灣股票市場具有領導作用。此外，美國與台灣、德國與台灣、英國與台灣，存在共整合關係，表示歐、美股市與台灣股票市場具有長期均衡關係。進一步發現金融海嘯後，美國、德國、英國對台灣股市的影響皆有提升的趨勢。

關鍵字

金融海嘯 ； 股價指數 ； 共整合 ； 結構性改變

並列摘要

This research uses AR(1)-GRACH(1,1) model to analyze the impacts of the stock market, from Europe and America, on Taiwan, uses Zivot and Andrews structural changes test to find out the timing points of the structural changes in each country, and investigates the dynamic impacts on European, American and Taiwan stock markets due to the structural changes. It also shows the dynamic relationships between pre-financial-crisis andpost-financial-crisis, based on the stock market activities in Taiwan, America, German, and England, from Jan 1, 2000 to Dec 31, 2011, by selecting the stock market indexes on the dates of common trading from each country, with total 2820 data of daily remuneration.
This study shows that the stock market in America, German or England does impact the Taiwan stock market extreme-positively, which means either country plays a leading role. Secondly, the co-relationship between America and Taiwan, German and Taiwan, or England and Taiwan, separately keeps Taiwan stock market in a long-term balance. Moreover, the impacts on Taiwan stock market from USA, German or England seem
raised since the financial crisis occurred.

並列關鍵字

Financial Crisis ； Stock price indices ； co-intigration ； structural changes

參考文獻

一、 英文文獻

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