政策不確定性對美國科技類股之影響

本文研究的主要目的是因為在全球化發展之推波效應下，從近期的美國次級房貸風暴發生到COVID-19新冠肺炎疫情大流行，經濟衰退影響金融，金融再影響經濟之惡性循環，使得經濟風險與不確定性大幅遽增，因此有了政策不確定性的相關議題的研究。因為不確定性的衝擊，除了影響個體經濟的就業、投資、消費與儲蓄之外，也衝擊了財金市場進而對經濟結果造成了深遠的影響。研究資料來源為彭博資訊糸統(Bloomberg data system) ，樣本取自經濟政策不確定性、市場恐慌指數與美國科技類股的價與量，研究樣本期間則涵蓋了2015年1月至2021年3月日。實證模型利用GJR-GRACH模型進行檢測，由於蒐集的數據資料屬於時間序列形式的總體經濟資料，因此本論文透過單根檢定作基本的檢定，以判定變數資料是否為定態序列，各方程式之殘差項也符合白噪音。研究結果顯示，恐慌指數對於那斯達克綜合指數存在著負向的影響效果，而經濟不確定指數的變動，在本研究中無法證實對於那斯達克綜合指數帶來影響力。因本研究所採樣的變數時間區間，不只包含了新冠肺炎疫情爆發與中美貿易爭端等重大世界經濟事件時期，也包含了經濟穩定成長的時期，如此難以突顯經濟不確定指數所扮演的角色。因此以市場恐慌指數會較經濟政策不確定性指數對於大多數的股票市場在波動率更有用，亦即對於股市的預測性能較為優越。

關鍵字

經濟政策不確定性；市場恐慌指數；美國科技類股

並列摘要

The main purpose of the research is because of the vicious circle of economic recession that affects finance from the recent U.S subprime mortgge storm to the COVID-19 pandemic.Economic risks and uncertainties have increased drasticallg , therefor ther is research on issues related to plicy uncertainties.Because of the impact of uncertainty,besides the influence of emplogment ,investmentconsumption and savings of the individual economy,the uncertainty also impact the financial market and has a profound impact on economic results .The research data source is the Bloomberg data ststem.The samples are taken from economic policy uncertainty,market panic index and the price and volume of US technology stocks.The sample period covers from January 2015 to March 2021. The empirical model uses the GTR-GARCH model to test.Since the collected data belong to the total economic data in the form of time seris, this paper uses a single root test to make a basic test to determine whether the variable data is a steady-state seguence.The difference ales corresponds to white noise. The result show that the panic index has a negative effect on the Nasdaq Composite Index, while the changes in the Economic Uncertainty Index cannot be confirmed to impact the Nasdaq Composite Index. Because the variable time interval sampled in this study not only included the period of major world economic events such as the outbreak of COVID-19 and the Sino-US trade dispute, but also the period of stable economic growth. In this way, it is difficult to nigh lite the role of the economy uncertainty index. Therefore, the market panic index is more useful than economy policy index for most stock markets in terms of volatility that is the prediction performance of the stock market is superior.