股、匯市非線性互動、波動平滑轉換與外溢效果之研究：STVEC DCC-STGARCH模型之應用及新興與已開發國家之個案

本研究主要以已開發國家（德國、英國、日本、加拿大）與新興市場（印度、南非、巴西、波蘭）的單一國家股價指數與匯率作為研究樣本，應用STVEC模型探討股價與匯率在不同狀態下的動態調整過程，並瞭解已開發國家與新興市場股票市場與外匯市場的不完美程度與交易成本同質性的高或低。最後將STVEC模型當作條件平均數方程式，改善過去以線性模型研究變數間互動的情況，並與波動不對稱平滑轉換模型STGARCH作結合，以平滑的過程補捉不對稱效果。實證結果證明，新興市場的股市上揚將激起熱錢湧入，導至次日匯率之升值，投資人較不畏懼新興市場股市過熱的風險，已開發國家的股價不論是在多頭或穩定狀態下的上揚，均表示市場資金流動性可能過剩，有通貨膨脹之隱憂，將導至次日匯率之貶值，投資人較畏懼已開國家股市過熱的風險。美國S&P股價指數在各國匯率的不同狀態下可以出現正向影響各國股價的現象。已開發國家的股匯市動態調整速度較快，隱含已開發國家的市場效率性較新興市場高，且交易成本的異質性也較低。各國股市之未預料衝擊都顯著地影響自身股市之波動，股市的好壞消息造成股市波動之轉換都具有平滑之現象。投資於股市之投資人，更應該要留意來自外匯市場的衝擊，因為來自外匯市場的衝擊或許將比股市之衝擊更有效率地造成該國股市之波動轉換。本研究藉由ICSS檢定決定納入三個事件進行探討：次貸風暴、金融海嘯與歐債危機。在STVEC DCC-STGARCH模型中，探討條件相關係數方程式在事件之衝擊下是否對股匯市之動態條件相關性產生影響。實證結果證明，股、匯市之間的動態條件相關性於危機期間均顯著的提升。

關鍵字

平滑轉換迴歸模型；平滑轉換GARCH模型；平滑轉換速度；效率性

並列摘要

This thesis tries to investigate the stock and foreign exchange markets in developed（Germany, England, Japan, Canada）and emerging（India, South Africa, Brazil, Poland）country. The application of nonlinear smooth transition vector error correction model（STVEC）to dynamic adjustment process in different regime can understand the degree of perfect market or the homogeneity of transaction costs in stock and foreign exchange markets of developed and emerging country. Finally, STVEC as conditional mean equation can improve the linear model of interaction between variables in the past, the combination of STGARCH in order to catching up asymmetric effect of volatility in smooth process. The empirical results verify that the rise of emerging stock market will stimulate the influx of hot money, leading to the appreciation of currency, investors are less afraid of the risk of overheating emerging stock market. Whether long or steady regime in the rise of developed stock market, which indicated that the excess market liquidity, the concern of inflation will lead to depreciation of currency. Every stock market are positively affected by return of global factor（S&P500 index）in different regime of exchange rate. The dynamic adjusted process in developed stock and foreign exchange market are faster, which indicated that the market efficiency in developed country is higher than emerging country, and indicated that the lower heterogeneity of the transaction costs. The unexpected shock from stock market will apparently affect the volatility of itself, the good or bad news from stock market make the volatility’s smoothing transition. Investors who invested in the stock market should pay attention to the impact from foreign exchange market, because the impact from foreign exchange market will much more efficiently affect the stock market’s volatility. This thesis included three events decided by ICSS algorithm：Subprime mortgage crisis, Financial Tsunami and Debt crisis in Europe. In the STVEC DCC - STGARCH model, we test whether the DCC coefficients during the crisis period differs from that in the pre-crisis stable period. Empirical findings show that most of the countries demonstrate a significant increase of the dynamic conditional correlation coefficients across stock and foreign exchange market after the crisis in comparison to periods before the crisis.

並列關鍵字

Smooth transition regression ； Smooth transition GARCH ； Transition coefficient ； Market efficiency

參考文獻

1. Adler, M., Dumas, B., 1984, “Exposure to Currency Risk : Definition and Measurement.” Financial Management Vol. 13, pp.41-50.

4. Assoé, K., 2001, Volatility spillovers between foreign exchange and emerging stock markets. Ecole des Hautes Etudes Commerciales, Montréal, Canada.

5. Bollerslev, T., 1986, “Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Financial Economics, Vol.31, pp. 307-327.

6. Bekaert, G., Harvey, C.R., 1997, “Emerging equity market volatility.” Journal of Financial Economics 43, pp.29-77.

7. Bekaert, G., Harvey, C.R., Lundblad, C., 2003, “Equity market liberalisation in emerging markets.” Journal of Financial Research 24, 3, pp.275-299.

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股、匯市非線性互動、波動平滑轉換與外溢效果之研究：STVEC DCC-STGARCH模型之應用及新興與已開發國家之個案

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