通貨貶值對股市報酬與波動的衝擊：亞洲四小龍實證研究

The Impact of Currency Depreciation on Stock Returns and Volatility: An Empirical Study of The four Asian Little Dragons

方文碩(Wen-Shwo Fang)

《Asia Pacific Management Review》 5卷4期 (2000/12) Pp. 451-465

https://doi.org/10.6126/APMR.2000.5.4.05

摘要

隨著金融市場的自由化與國際化，股票與外匯已成為良好的替代財。本文以香港、新加坡、南韓與台灣亞洲四小龍的股票市場為例，探討通貨貶值對股票市場日報酬與波動的影響。在GARCH（1,1）模型架構上，實證結果發現通貨貶值顯著降低新加坡、南韓與台灣股市報酬，擴大股市波動；雖然在樣本期間，港幣強勢釘牢美元，維持匯率穩定，但是港幣貶值的不確定性仍顯著造成市場的波動。本文證據顯示不穩定的外匯市場是造成股票市場波動的原因之一，因此，在分析一小型開放的股票市場模型時，忽略外匯市場的影響，僅考慮股票市場本身的報酬與風險，似嫌不足，不論是國內投資人或是計畫投資亞洲四小龍等新興股市的國際基金經理人，必須同時評估股票市場指標與外匯市場的穩定性，否則可能出現偏誤的判斷。

關鍵字

有價證券餘額模型 ； 通貨貶值 ； 股票報酬 ； 市場波動 ； GARCH（1,1）模型

並列摘要

Being accompanied with recent deregulations and internationalization of financial markets, stock and foreign exchange have become close substitutes. This paper investigates the impact of currency depreciation on daily stock returns and its volatility, using four Asian stock markets of Hong Kong, Singapore, South Korea and Taiwan as examples. The estimated GARCH(1,1) models find that currency depreciation significantly reduces stock returns and amplifies market volatility in Singapore, South Korea and Taiwan. Hong Kong has successfully pegged its exchange rates constant against the US dollar over the sample period, but the uncertainty of currency depreciation significantly causes the stock market volatility. The evidence of negative depreciation effects in the stock markets suggests cautious attitude towards empirical analysis of a small open stock market based on the standard mean-variance model concerning only behavior of the stock market itself. Domestic investors or international-funds managers who plan to invest the Asian newly emerging stock markets have to evaluate indicators of the stock market and stability of the foreign exchange market simultaneously to avoid biased judgement.

並列關鍵字

Portfolio Balance Model ； Currency Depreciation ； Stock Returns ； Volatility ； GARCH(1,1) Model

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