本文利用縱橫平滑轉換迴歸 (panel smooth transition autoregression, PSTAR) 模型評估股價及其持續性 (persistence) 效果,其中的轉換變數是以恐慌指數 (volatility index, VIX) 衡量之。換言之,本研究考慮落後期的股價指數報酬率為解釋變數,且以VIX作為轉換變數,估計PSTAR模型。實證上以已開發國家 (十大工業國) 與開發中國家 (東協五國) 的股價指數報酬率為對象,樣本期間為2004年4月至2012年12月。實證結果可以提供股市投資者進行股票投資時的參考,並提供政策決策單位採取配套措施以穩定股市的依據。 實證結果可歸納如下: 一、無論是已開發國家 (十大工業國) 與開發中國家 (東協五國) 的股價指數報酬率,均呈現非線性動態的路徑,且其結果決定於轉換變數VIX位於不同的區間(regime)。至於兩者的VIX之門檻值約在30-31之間。 二、開發中國家的股價指數報酬率之持續性高於已開發國家,顯示開發中國家當期的股價指數報酬率受當期新資訊的影響低於已開發國家,亦即已開發國家的股市受外生因素的干擾高於開發中國家。 三、開發中國家的非線性轉換速度高於已開發國家,顯示開發中國家的股價指數之投機性高於已開發國家。 四、開發中國家的最適轉換變數為落後一期的VIX,而已開發國家則為當期的VIX,顯示已開發國家的股市效率高於開發中國家。
This paper adopts panel smooth transition autoregression (PSTAR) models to evaluate stock returns and their persistence effects. We consider a volatility index (VIX) as the transition variable in the PSTAR model. That is, we choose lagged stock returns as the regressors and VIX as the transition variable to estimate the PSTAR model. In empirical, we select the developed countries (G-10) and the developing economies (the ASEAN-5) as the sample objects. The sample period spans from April 2004 to December 2012. Our empirical results provide useful information for the investors in the stock markets and the authority of financial markets. The empirical results can be summarized as follows: 1.The stock returns in both the developed countries and developing countries display a nonlinear dynamic path, and depend on the VIX in different regimes. The threshold values of VIXs in the developed countries and developing countries locate in the interval (30, 31). 2.The persistence effect of stock returns in the developing countries (ASEAN-5) is higher than the developed countries (G-10), revealing that current stock returns in the developing countries are less influenced by newly current information. That is, the stock markets of the developed countries are more easily disturbed by exogenous variables or shocks than those of the developing countries. 3.The estimated transition parameter in the developing countries is larger than that in the developed countries, revealing that the speculation behavior in the stock markets of the developing countries is larger than that in the developed countries. 4.The optimal transition variable of the PSTAR model in the developing countries is one-period lagged VIX, and in the developed countries is current VIX, implying that the efficiency in the developed stock markets is higher than in the developing stock market.