匯率報酬率的非預期衝擊對股價報酬率平均數與波動性的影響

The Impacts of the Unexpected Shocks of Exchange Rate’ s Return on the Expectation and Volatility of Stock Returns

梁美玲(Mei-Ling Liang)

指導教授 ： 莊忠柱

淡江大學/商管學院/管理科學學系企業經營碩士在職專班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.00013

摘要

本文以1998年4月至2013年12月的美元對新台幣匯率與台灣股價月資料為研究對象，先以單變量ARMA模型來捕捉新台幣對美元匯率的非預期衝擊，再利用單變量EGARCH模型探討新台幣對美元匯率的非預期衝擊對股價報酬率平均數與波動性的影響。
實證結果顯示匯率報酬率正的非預期衝擊對台灣股價報酬率平均數有負的影響，匯率報酬率負的非預期衝擊對台灣股價報酬率平均數有正的影響。此外，匯率報酬率正的與負的非預期衝擊對股價報酬率波動性都沒有影響，另外，股價報酬率負的衝擊引起股價報酬率波動性比股價報酬率正的衝擊對股價報酬率波動性有較大的影響。本文實證結果可作為投資人在股價定價、建構投資組合與風險管理的參考。

關鍵字

匯率 ； 非預期衝擊 ； 股價報酬率 ； 股價報酬率波動性 ； EGARCH模型

並列摘要

This paper takes the monthly data of the exchange rate of USD to NTD and Taiwan Stock price as research object from April, 1998 to December, 2013 . A univariate ARMA model is used to capture the unexpected shocks of exchange rate, and then the univariate EGARCH model is used to investigate the effects of the unexpected shocks of the exchange rate on the mean and volatility of stock returns.
The empirical results show that the positive unexpected shocks of the exchange rate have negative impact on the mean of the Taiwan stock returns, and unexpected negative shocks of exchange rate have positive impact on the mean of the Taiwan stock returns. In addition, neither positive nor negative unexpected shocks of the exchange rate doesn’t offect the volatility of the Taiwan stock returns. Furthermore, the effects of the negative stock returns shocks on the volatility of stock returns are more than the effects of the positive ones. The empirical results can provide references to the investors for the evaluations of stock price, portfolio construction and risk management.

並列關鍵字

exchange rate ； unexpected shocks ； stock returns ； volatility of stock returns ； EGARCH model

參考文獻

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