金融危機事件對台灣股票市場的報酬與波動性之影響

Impact of the Financial Crisis on the Returns and Volatility of the Taiwan Region's Stock Market

蔡穗馥(Sui-Fu Tsai)；吳億亭(Yi-Ting Wu)

金融危機 ； 股票波動性 ； 股票報酬 ； GARCH模型 ； Financial Crisis ； Stock Market Return ； Stock Volatility ； GARCH Model

東吳經濟商學學報

81期（2013 / 06 / 01）

69 - 93

繁體中文

本研究探討當全球發生金融危機時是否對於台灣股票市場之報酬與波動性造成影響，針對1992年1月1日至2013年5月31日期間所發生之全球性金融危機事件進行研究。本研究採用GARCH模型來檢定，結果發現：當全球發生金融危機時皆會對台灣股市之報酬或波動性造成影響。貨幣匯率問題所引發之亞洲金融風暴，不只對股票報酬有負向影響也對波動性產生正向影響，表示股票波動振盪大且偏向下跌的走勢。由於台灣身處亞洲地區，所受到的衝擊最為直接，事件的爆發如連鎖效應一般，因此股市波動震盪的程度較為顯著；因為波動震盪過於劇烈，不利風險趨避者操作，但風險追逐者或許可以利用短進短出從中賺取利差。墨西哥經濟危機、美國次貸、雷曼兄弟與歐洲主權債務等四件危機事件對於台灣股市報酬有顯著的負相關，表示股市呈現直直下跌趨勢，對於台灣股市影響甚鉅，恐會造成嚴重虧損，不利投資者進場；不過適合融券者先拋售股票，等待股價趨於穩定時再將股票贖回，但是必須要考慮到融券的交易成本。

This research studies whether Taiwan's stock market returns and volatility are influenced by the significant events, such as financial crisis, or not occurred from January 1, 1992 to May 31, 2013. We use the GARCH model to analyze the market's daily closing price data on stock returns and volatility changes. It is known that the Asian financial crisis in 1997 has a negative impact on the stock returns and a positive impact on volatility. Although volatile shocks are hard to operate for the risker, the risker may be able to take advantage of short chase into short earn spreads out. Events, such as Tequila Effect in 1994, America Subprime Mortgage in 2007, Lehman Brothers in 2008, and the European Sovereign Debt Crisis in 2009, entailed significant negative returns to Taiwan's stock market. Investors in Taiwan stock market experienced serious capital losses. Short selling could immediately sell the stock and wait to redeem until the stock price tends to be stable, but the investors must consider the transaction costs of short selling. When the United States and European financial crises occur, Taiwanese investors should be careful and pay much attention to the subsequent reports and events. When the financial crisis occurs, we recommend that investors would be better off if they keep waiting and delay their deals.

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