2007年7月底美國爆發次級房貸風暴,此一風暴迅速地擴及全世界,對國際金融市場帶來極大的衝擊。台灣股市也受到美國次級房貸風暴的波及,導致在2007年下半年度股市出現低迷的現象。本研究旨在探討美國次級房貸風暴,對美國道瓊工業指數及台灣股價指數的報酬所帶來的波動衝擊,以及平復情形。 本研究分別以Gallant, Rossi, Tauchen (1993) 提出的Conditional Moment Profiles (GRT),及Hanfer & Herwartz (2006) 提出的Volatility Impulse Response Function (VIRF) 兩種方法來評估隨機干擾對波動的動態衝擊,以分析次級房貸風暴對台灣加權股價指數與美國道瓊工業股價指數報酬的波動所造成的影響,及二個股價指數報酬之間的動態關係。
On the end of July, 2007, the subprime mortgage crisis was broke out in the U.S. The crisis quickly spread throughout the world and cause a tremendous impact to international financial market. At the same time, the Taiwan stock market was also affected by the subprime mortgage crisis and the market declined on the second half year of 2007. The purpose of this research is to discuss the volatility impulse responses of the returns of Taiwan Capitalization Weighted Stock Index and Dow Jones Industrial Index due to the subprime mortgage crisis. This study adopts the Conditional Moment Profiles (GRT) method, proposed by Gallant, Rossi, Tauchen (1993), and the Volatility Impulse Response Function (VIRF) method, proposed by Hanfer & Herwartz (2006), to evaluate the dynamic impact of shocks on volatility respectively. The effects of subprime mortgage crisis on the volatility of return of Taiwan Capitalization Weighted Stock Index and Dow Jones Industrial Index are analyzed. The dynamic relation of the return of these two indices is also discussed in this study.