美國9/11事件前後之股價、匯率、利率間波動動態條件相關性研究－以台灣、美國、南韓市場為例

Dynamic Conditional Correlation among Stock Indices, Exchange Rates, and Interest Rates During and after the Period of American 9/11 Terrorist Attacks: Evidence from Taiwan, America and South Korea

杜玉振(Yu-Chen Tu) ； 王建文(Chien-Wen Wang)

《創新與管理》 7卷2期 (2010/05) Pp. 41-68

https://doi.org/10.30118/JIM.201005.0003

摘要

本研究旨在探討美國9/11事件發生期間與發生前後，台、美、韓三國的股價、匯率、利率市場間的波動動態變化；研究樣本期間為1999年10月1日至2006年1月24日，並採用Engle(2002)提出之DCC-MV GARCH模型來分析。經實證發現：(1)911事件期間，各國股、匯、利市場的短期波動值（條件變異數值）均顯著增大，且不同市場間的波動動態相關係數均具落後一日的顯著增大。(2)長期而言，自911事件發生後，在市場本身的波動值方面，各國股、匯市場均顯著增大，但利率市場卻顯著縮小或無顯著波動；在市場間的波動動態相關係數方面，不同國家相同市場間的相關性變動較顯著，同一國家不同市場間的相關性變動則不顯著。

關鍵字

9/11事件 ； 動態條件相關 ； 多變量GARCH ； 跨市場聯動

並列摘要

The purpose of this paper is to investigate dynamic changes of the volatilities among stock indices, exchange rates, and interest rates in Taiwan, America, and South Korea during and after the period of American 9/11 terrorist attacks. Using sample data from October 1, 1999 to January 24, 2006, this study applies the Dynamic Conditional Correlation Multivariate GARCH model proposed by Engle (2002) to estimate the volatilities of markets themselves and the dynamic conditional correlations between different markets. The empirical results show: (1) during the period of 9/11 incident, both the short-run volatilities of every market and the short-run dynamic correlations between different markets enlarged significantly, but all correlations with a time lag of one day; (2) after 9/11 incident, the long-run volatilities of stock and exchange markets in all countries enlarged significantly, but the volatilities of interest rate markets diminished significantly or changed insignificantly; the long-run dynamic correlations between the same markets of different countries changed significantly, but the correlations between different markets of the same countries changed insignificantly.

並列關鍵字

American 9/11 terrorist attacks ； dynamic conditional correlation ； multivariate GARCH ； market linkages