台股市場報酬率連結與波動率連結之測量與分析

MEASURING THE RETURN AND THE VOLATILITY CONNECTEDNESS OF TAIWAN'S EQUITY MARKET

王元翰(Yuan-Han Wang)

指導教授 ： 管中閔

國立臺灣大學/社會科學院/經濟學研究所/碩士(2017年)

https://doi.org/10.6342/NTU201701329

摘要

本論文旨在測量與分析台灣股票市場內，九大類股自身之報酬率連結(return connectedness)與波動率連結(volatility connectedness)。論文結果顯示不同產業別之間的連結程度有很大的差異，其中金融業連結程度最高，而貿易百貨業、網路通訊業連結程度最低。另外本論文也針對各產業之報酬率連結與波動率連結做長達17年的動態追蹤，除了發現在所有產業中，此兩種連結的動態有顯著分歧，同時我們也可以觀察到，不同產業別自身連結程度之動態變化。最後，本論文對於影響連結程度的因子做了一些探討，並且發現即使是排除了2008金融海嘯的影響，經濟不景氣仍會顯著的使各產業之報酬率連結與波動率連結上升，另外，各產業之結構也會對其連結程度造成影響。

關鍵字

經濟危機 ； 系統風險 ； 連結 ； 向量自我回歸 ； 變異數分解 ； 市場結構

並列摘要

The empirical objective of this study is to measure the connectedness of stock prices in nine different market segments in Taiwan. For both the return and the volatility of stock prices, this research demonstrate that the connectedness level in different market segments significantly differs from one another. Moreover, the results suggest that the time-varying natures between the return and the volatility connectedness of stock prices are drastically different from each other. In addition, this paper aims to identify the key factors that strengthen or weaken the return and the volatility connectedness of stock prices. The findings suggest that both of them are profoundly influenced by economic downturns and the market structure of the industry.

並列關鍵字

Financial Crises ； Systemic Risk ； Connectedness ； Vector Autoregression ； Variance Decomposition ； Market Structure

參考文獻

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