亞洲金融風暴發生前後美國與台灣股市動態關聯之進一步研究

The Dynamic Linkages of U.S. and Taiwan Stock Market Indices in the Pre- and Post-Asian Financial Crises Periods

王凱立(Kai-Li Wang) ； 陳美玲(Mei-Ling Chen)

《經濟論文叢刊》 31卷2期 (2003/06) Pp. 191-252

https://doi.org/10.6277/ter.2003.312.2

摘要

本文針對台灣上市、電子及店頭股價指數，依屬性之不同，選取對應之美國股價指數，包括道瓊、紐約證券交易所、史坦普500、羅素3000、那斯達克、那斯達克100、費城半導體、美國網路、羅素2000及史坦普600股價指數，探討1997年亞洲金融風暴前後，美股對台股動態關聯之改變。本文提出之多變量Student-t GJR GARCH-M模型估計結果顯示，美股對台股存在顯著之報酬傳導，且影響程度於風暴後明顯提昇。影響台股波動之來源，主要內生自台股自身前期變異與未預期負面消息的衝擊，而非外來自美股波動的延續。再者，美股與台股之波動不對稱反應，於風暴後亦顯著提高。此外，本文研究發現分佈假設的妥適考量，對於估計效能提昇及參數估計正確性具重要影響。

關鍵字

傳導效果 ； 波動不對稱 ； 多變量GARCH ； 多變量Student-t分佈

並列摘要

This paper uses a flexible multivariate Student-t GJR GARCH-M model to investigate the dynamic characteristics of returns and volatility linkages between U.S. and Taiwan stock market indices. Both pre- and post-Asian financial crisis periods are examined to assess evidence of structural change, impact on transmission effects, altered risk premiums and changes to volatility asymmetry. Compared to the post-Asian financial crises period, the degree of return transmission and volatility asymmetry effects increase substantially in the post Asian financial crises period. There is no significant cross volatility transmission from the U.S. to the Taiwan stock market, implying the volatility of Taiwan stock returns are primarily determined by internal volatility transmission and asymmetric volatility rather than being ”imported” from the U.S market. In addition, we found the degree of volatility asymmetry for both the U.S. and Taiwan stock markets increased substantially after the crash.

並列關鍵字

transmission effect ； asymmetric volatility ； multivariate GARCH model ； multivariate student-t distribution

參考文獻

王凱立 Wang, Kai-Li、 Fawson, C.(2001)。一個新的參數化GARCH模型在亞洲股市上的應用 Modeling Asian Stock Returns with A More General Parametric GARCH Specification。財務金融學刊 Journal of Financial Studies。9(3)

王凱立 Wang, Kai-Li、 陳美玲 Chen, Mei-Ling(2002)。美國和台灣股票期現貨市場之動態關聯：一般化多變量GARCH模型的應用 The Dynamic Linkage Among U.S. and Taiwan Future and Sopt Markets: A More General Multivariate Garch Approach。經濟論文 Academia Economic Papers。30(4)

Baillie, R. T., Bollerslev, Tim(1990).A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Rate Markets.Journal of International Money and Finance.9(3)

Baillie, R. T., DeGennaro, R. P.(1990).Stock Returns and Volatility.Journal of Financial and Quantitative Analysis.25

Berndt, E. K., Hall, B. H., Hall, R. E., Hausman, J. A.(1974).Estimation and Inference in Non-Linear Structural Models.Annals of Economic and Social Measurement.2006/3/4