本文以ARMA-EGARCH-M模型分析結構變動對台灣股票報酬率的影響,結果發現台灣股票市場參與者大多是風險規避者。在結構變動前,受兩天前價格資訊影響,有效性較低;結構變動後,可吸引風險愛好者進入股市,且雖然此時波動期稍長,並沒有明顯地衝擊不對稱的槓桿效應。因此,沒有非常劇烈變動的異常現象。
In this paper, we used the ARMA-EGARCH-M model to analyze the impact of structural change on the Taiwan stock returns. The results showed that the Taiwan stock market participants are mostly Risk – averse. Before the structural break point, they are affected by the price information changes from two days before and have lower efficiency. After the structural break point, it will attract risk-preferring investors into the stock market, and although the period of volatility is longer, there is no obvious leverage effect of asymmetric shock. Therefore, there is no abnormal phenomenon of drastic changes.