重大事件對台灣股匯市之影響 - 利用跳躍-擴散模型

The Impact of Major Events on the Stock Market and Exchange Market of Taiwan - Using Jump-Diffusion Model

林惠娜(Hui-Na Lin)

指導教授 ： 邱建良 ； 陳玉瓏

淡江大學/商學院/財務金融學系碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00382

摘要

本研究探討重大事件(包括政治事件、疫情事件、兩岸危機事件、國際事件)對台灣股匯市引起之異常反應，以跳躍-擴散模型估計的跳躍機率、頻率與跳躍大小變異加以印證。其結果可以幫助投資人做投資決策及作為衍生性金融商品訂價決策之參考依據。研究實證結果顯示：
1、由跳躍頻率觀察，股票市場在事件期間會產生較多的跳躍，這與台灣股票市場中自然人交易佔的比例較大有關，因為自然人容易受傳播媒體報導所影響，而外匯市場因為交易者九成以上為法人機構，且有中央銀行隨時加以干預，因此，在事件期間不易產生跳躍。
2、股票市場在事件期間由跳躍過程所引發的變異高過非事件期。可推論為重大事件引起的市場波動，大部份因為投機性買盤所致。
3、總統選舉對於股價指數的影響遠大於立法委員選舉。
4、中央銀行在總統選舉期間對匯率的干預，也遠大於立法委員選舉期間，證明選舉階層的不同影響力也隨之不同。
5、屬於政治事件的選舉事件相較於國際、兩岸與疫情等事件對於股票市場的影響較大。
6、兩岸事件相對於其他三類事件之跳躍頻率較小，對加權股價指數而言，在四類事件中的跳躍頻率最小；在OTC及匯市方面，跳躍頻率僅大於疫情事件。
7、國際事件對外匯市場的影響居各類事件之冠。
8、投資人在事件前後，不宜使用高度槓桿的投資商品或過度投機。

關鍵字

跳躍擴散模型 ； 重大事件

並列摘要

Abstract：
This paper uses jump-diffusion model to examine the extraordinary impact of major events including political events, disease events, Cross-Straits crisis events, and international financial events, on the Taiwan stock market and exchange market. The model estimates the jump probability, jump frequency and jump volatility to verify the impact of the major events on the Taiwan stock market and exchange market. Our approach permits us to track jump risk in stock market and exchange market stemming from these major events, and to separate the impact of routine trading and jump on the mean and volatility of stock returns and exchange returns in event periods. The empirical results indicated that: (1) The major events rise jump risk in stock index.
(2) In stock markets, the volatility of jump process in event periods is higher than non-event periods. The implication is that the market volatility rising from major events is mostly coming form speculative trading. (3) Presidential election affects stock market more than Congress election. (4) Central Banks intervene exchange rate in Presidential election more than Congress election. (5) The shock from international event like Asia Finance Crisis affects exchange market stronger than regional events. (6) The shock form political elections affect stock markets stronger than the other three events. (7) The Cross-Straits crisis events affect stock markets and exchange market weaker than other events (8) The investors should not invest high leverage financial merchandises and too speculativly before or after the events.

並列關鍵字

Jump-Dissfusin model ； Major Events

參考文獻

卓世傑，(2004)，台灣股市選舉行情之實證研究，國立成功大學政治經濟學研究所專班碩士論文。

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