市場恐慌對股票市場的門檻效應

論文提要內容：非經濟事件所造成的衝擊往往是難以評估與預測，因為這種突發性的國際事件何時出現是無法預期的。2019年新冠肺炎爆發後就迅速在全球各地蔓延，而各國政府也透過許多政策來減少疫情的擴散以及經濟的損害，試圖能找出同時兼顧兩邊的方法，而在疫情的蔓延以及政府祭出的政策下，對於各個金融領域造成了不同程度的影響與改變，因此本研究希望透過新冠肺炎來探討非經濟事件所造成衝擊。本研究主要以全球經濟、投資策略、產業結構等三大方面來探討新冠肺炎對這些領域造成的影響，研究模型採用單根檢定法與GARCH模型進行檢測，並導入門檻自我回歸模型，於模型引入恐慌指數、西德州原油價格及公債利差等變數進行實證分析。實證結果發現到以新冠肺炎為例的非經濟事件的確對金融市場產生一定的影響。因此，當非經濟事件發生時，投資人在訂定相關投資策略時，應需對於不同狀態的變化納入不同的策略方針，方能降低整體投資的風險。

關鍵字

非經濟事件；新冠肺炎； GARCH模型；投資策略；市場情緒

並列摘要

Abstract: Shocks caused by non-economic events are often difficult to assess and predict because when an event occurs is unpredictable. After the outbreak of the Coronavirus disease in 2019, it quickly spread around the world, and the governments of the countries implemented many policies to reduce the spread of the disease and the damage to the economy, trying to find the balance between both sides at the same time. Under the policy, various financial fields had been affected in different degrees. Therefore, this study hopes to explore the impact of non-economic events through the Coronavirus disease. This research mainly discusses the impact of COVID-19 on various fields from three aspects: global economy, investment strategy, and industrial structure. The research uses the Unit Root Test, GARCH model, and TAR model to do measurement, we also adopt Volatility index, WTI prices, and bond spreads as the model variables. The results of the model test have showed that non-economic events such as COVID-19 do have a certain impact on financial markets. Therefore, investors need to build investment strategies and establish different guidelines for efficiently reducing the overall investment risk when non-economic events occur.