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 Sort Markets: A More General Multivariate Garch Approach

10.29628/AEP.200212.0001

王凱立(Kai-Li Wang)；陳美玲(Mei-Ling Chen)

股市 ； 期貨 ； 動態關聯 ； 多變量(G)ARCH模型 ； 分佈 ； Stock market ； Futures ； The multivariate GARCH model ； Transmission effects

經濟論文

30卷4期（2002 / 12 / 01）

363 - 407

繁體中文

本研究提出一般化多變量MEGB2 GJR GARCH-M模型，針對美股收盤、摩台指開盤、台股開盤及台股開收盤價格間之動態關聯作探討。有別傳統文獻多僅專注跨國股市現貨市場間的傳導研究，本研究發現期貨市場資訊納入體系中考量，對跨國市場價格傳導機制的瞭解及模型配適效能提昇具明顯助益。實証結果顯示，美股收盤價對摩台指開盤具顯著價格領先功能，而美股收盤及摩台指開盤資訊又對台股現貨隔夜報酬具高度解釋能力。其次，美股收盤價對台股日間報酬具顯著影響，說明遞延傳導效果的存在。此外，美股收盤非預期的負向衝擊，對摩台指開盤呈現顯著的跨市場波動不對稱傳導；而摩台指開盤報酬衝擊又對台股隔夜報酬波動扮演重要的傳導角色。

This paper analyzes the dynamic linkages among U.S. futures and spot, SIMEX futures and Taiwan spot markets by adopting a general multivariate MEGB2 GJR GARCH model. In addition to the linkages of returns and volatility between U.S. and Taiwan spot markets, the information from SIMEX futures has also been incorporated into models to better reflect the simultaneous interactions among U.S. futures and spot, SIMEX futures and Taiwan spot markets. The empirical results indicate that U.S. futures and spot, and SIMEX futures markets are important to the overnight return of Taiwan's spot market. Further investigation suggests that SIMEX futures have a bigger impact on the overnight return of Taiwan 's spot index than that of the U.S. market. In addition, we find that the U.S. market has positive effects on the daytime return of Taiwan 's stock market, implying the existence of a transmission effect. Moreover, volatility transmission exists from SIMEX futures to that of Taiwan's spot market; whereas the U.S. stock market has a substantial influence on the volatility of SIMEX futures.

1. 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)
   連結：
2. Abraham, A., Ikenberry, David L.(1994).The Individual Investor and the Weekend Effect.Journal of Financial and Quantitative Analysis,29
3. 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)
4. Baillie, R. T., DeGennaro, R. P.(1990).Stock Returns and Volatility.Journal of Financial and Quantitative Analysis,25
5. Becker, K. G., Finnerty, J. E., Tucker, A. L.(1992).The Intraday Interdependence Structure between U.S. and Japanese Equity Markets.Journal of Financial Research,15
6. 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
7. Bhar, R.(2001).Return and Volatility Dynamics in the Spot and Futures Markets in Australia: An Intervention Analysis in a Bivariate EGARCH-X Framework.Journal of Futures Markets,21
8. Bollerslev, T.(1987).A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return.Review of Economics and Statistics,69
9. Bollerslev, T.(1986).Generalized Autoregressive Conditional Heteroskedasticity.Journal of Econometrics,31(3)
10. Bollerslev, T.(1990).Modelling the coherence in short-run nominal exchange rates: A multivariate.The Review of Economics and Statistics,72(3)
11. Booth, G. G., Martikainen, T., Tse, Y.(1997).Price and Volatility Spillovers in Scandinavian Stock Market.Journal of Banking and Finance,21
12. Box, G., Jenkins, G.(1976).Time Series Analysis, Forecasting, and Control.San Francisco, Calif.:Holden Day.
13. Cha, Baekin, Oh, Sekyung(2000).The Relationship between Developed Equity Markets and the Pacific Basin's Emerging Equity Markets.International Review of Economics and Finance,9
14. Cheung, Yin-Wong, Ng, L. K.(1996).A Causality-in-Variance Test and Its Application to Financial Market Prices.Journal of Econometrics,72
15. Davis, H. T.(1935).Tables of the Higher Mathematical Functions, Vol. II.Bloomington, Ind:Principia Press.
16. Davis, H. T.(1935).Tables of the Higher Mathematical Functions, Vol. I.Bloomington, Ind:Principia Press.
17. Deb, P.(1996).Finite Sample Properties of Maximum Likelihood and Quasi-Maximum Likelihood Estimators of EGARCH Models.Econometric Reviews,15
18. Engle, R. F.(1982).Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation.Econometrica,50(4)
19. Engle, R. F., Ng, V. K.(1993).Measuring and Testing the Impact of News on Volatility.Journal of Finance,48
20. Fama, E. F.(1965).The Behavior of Stock Market Prices.Journal of Business,38
21. Fornari, F., Mele, A.(1995).Sign and Volatility-Switching ARCH Model Theory and Volatility.Journal of Applied Econometrics,12
22. Gourieroux, C.(1997).ARCH Models and Financial Applications.New York:Springer.
23. Hamao, Y., Masulis, R. W., Ng, V.(1990).Correlations in Price Changes and Volatility across International Stock Markets.Review of Financial Studies,3(2)
24. Hentschel, L.(1995).All in the Family Nesting Symmetric and Asymmetric GARCH Models.Journal of Financial Economics,39
25. Johnson, N. L., Kotz, S.(1972).Distribution in Statistics: Continuous Multivariate Distributions.New York:John Wiley ＆ Sons, INC..
26. Kamara, A.(1997).New Evidence on the Monday Seasonal in Stock Returns.Journal of Business,70
27. Kanas, A.(1998).Volatility Spillovers across Equity Markets: European Evidence.Applied Financial Economics,8
28. Karpoff, J. M.(1987).The Relation Between Price Changes and Trading Volume: A Survey.Journal of Financial and Quantitative Analysis,22(1)
29. Kim, D., Kon, S. J.(1994).Alternative Models for the Conditional Heteroscedasticity of Stock Returns.The Journal of Business,67(4)
30. Lee, Sang-Won, Hansen, B. E.(1994).Asymptotic Theory for the GARCH (1, 1) Quasi-Maximum Likelihood Estimator.Econometric Theory,10
31. Liu, S. M., Brorsen, B. W.(1992).Maximum Likelihood Estimation of the Stable Distribution with A Time-Varying Scale Parameter.
32. Liu, Y. A., Pan, Ming-Shiun(1997).Mean and volatility spillover effects in the U. S. and Pacific-Basin stock markets.Multinational Finance Journal,1
33. Ljung, G. M., Box, G. E. P.(1978).On a Measure of Lack of Fit in Time Series Models.Biometrika,65(2)
34. Mandelbrot, B.(1963).The Variation of Certain Speculative Prices.Journal of Business,36
35. Mario, G. R.(2001).Asymmetric Volatility Spillover in the Tokyo Stock Exchange.Journal of Economics and Finance,25
36. McDonald, J. B., Xu, Y. J.(1995).A Generalization of the Beta Distribution with Applications.Journal of Econometrics,66
37. Murphy, K. M., Topel, R. H.(1985).Estimation and Inference in Two-Step Econometric Models.Journal of Business and Economic Statistics,3
38. Nelson, D. B.(1991).Conditional Heteroskedasticity in Asset Returns: A New Approach.Econometrica,59(2)
39. Ng, A.(2000).Volatility spillover effects from Japan and the U. S. to the Pacific-Basin.Journal of International Money and Finance,19
40. Ohno, S.(2001).Contagion Effect Among Equity and Foreign Exchange Markets.8th Asian Pacific Financial Association Conference Proceeding
41. Pagan, A. R.(1984).Econometric Issues in the Analysis of Regressions with Generated Regressors.International Economic Review,25
42. Pagan, A. R., Sabau, H.(1987).On the Inconsistence of the MLE in Certain Heteroskedasticity Regression Model.
43. Pagan, A. R., Ullah, A.(1988).The Econometric Analysis of Models with Risk Terms.Journal of Applied Econometrics,3
44. Pan, Ming-Shiun, 薛立言 Hsueh, Paul Li-Yen(1998).Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets.Asia-Pacific Financial Markets,5
45. Sim, A. B., Zurbreugg, R.(1999).Intertemporal Volatility and Price Interactional between Australian and Japanese Spot and Futures Stock Index Markets.The Journal of Futures Market,19
46. Susmel, R., Engle, R. F.(1994).Hourly Volatility Spillovers between International Equity Markets.Journal of International Money and Finance,13
47. Theodossiou, P., Lee, Unro(1993).Mean and Volatility Spillovers across Major National Stock Markets: Further Empirical Evidence.Journal of Financial Research,16(4)
48. Tse, Yiuman(1999).Price Discovery and Volatility Spillovers in the DJIA Index and Futures Markets.Journal of Futures Markets,19(8)
49. 王甡 Wang, Shen(1995)。報酬衝擊對條件波動所造成之不對稱效果－台灣股票市場之實證分析 The Asymmetric Effect of Return Shocks Conditional Volatility: the Empirical Evidence of Taiwan Stock。證券市場發展季刊 Review of Securities and Futures Markets，7(1)
50. 王凱立 Wang, Kai-Li, Fawson, C., Barrett, C. B., McDonald, J. B.(2001).A Flexible Parametric GARCH Model with an Application to Exchange Rates.Journal of Applied Econometrics,16(4)
51. 吳宏達(1999)。國立臺灣大學統計研究所。
52. 周雨田 Chou, Ray Yeu-Tien(1988).Persistent Volatility and Stock Returns - Some Empirical Evidence Using GARCH.Journal of Applied Econometrics,3
53. 周雨田 Chou, Ray Yeu-Tien, 林金龍 Lin, Jin-Lung, 吳中書 Wu, Chung-Shu(1999).Modeling theTaiwan Stock Market and International Linkages.Pacific Economic Review,4
54. 林文玲 Lin, Wen-Ling, Engle, R. F., Ito, T.(1994).Do Bulls and Bears Move across Borders? International Transmission of Stock Return and Volatility.The Review of Financial Studies,7
55. 林華德 、 王甡 Wang, Shen(1995)。台灣股市成交量對股價波動的影響1986-1994－GARCH修正模型的應用。企銀季刊，19(2)
56. 莊忠柱 Chuang, Chung-Chu(2000)。股價指數期貨與現貨的波動性外溢：台灣的實證 The Volatility Spillovers between Stock Index Futures and Spot Markets: An Empirical Analysis of Taiwan。證券市場發展季刊 Review of Securities and Futures Markets，12(3)
57. 陳豐隆(1999)。國立政治大學財務管理研究所。
58. 黃玉娟 Huang, Yu-Chuan(1999)。報酬與波動性動態關聯之研究－摩根台股指數與指數期貨之探討 Dynamic Interactins of the Return and Volatility: The Case of Morgan Taiwan Stock Index and Index Futures。行政院國家科學委員會研究彙刊：人文及社會科學 Proceedings of the National Science Council, Republic of China Part C: Humanities and Social Sciences，9(1)
59. 劉曦敏 Liu, Shi-Miin、 葛豐瑞 Ke, Faung-Rate(1996)。台灣股價指數報酬率之線性及非線性變動 Variations in Mean and Volatility of Taiwan's Stock Index Returns。經濟研究（臺北大學） Taipei Economic Inquiry，34(1)

1. 陳美玲、王凱立(2003)。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。經濟論文叢刊，31(2)，191-252。
2. 陳志鈞、陳君達、李文雄(2007)。美國與台灣總體經濟訊息對台灣現貨與期貨市場之影響與不對稱波動傳遞之現象。東海管理評論，9(1)，65-90。
3. 陳志鈞、陳君達、李文雄(2007)。美國與台灣總體經濟訊息對台灣現貨與期貨市場之影響與不對稱波動傳遞之現象。東海管理評論，9(1)，65-90。
4. 林嘉慧、王凱立(2003)。條件高階動差於財務金融市場之應用。財務金融學刊，11(2)，1-42。
5. 林卓民、王凱立、王美智(2010)。總體經濟因素與資訊傳遞效果於美國與台灣債券市場動態過程之研究。管理與系統，17(4)，611-636。
6. 蕭孟柔、李昭蓉、王凱立(2010)。海外存託憑證與標的股：匯率門檻變動下之日內訊息傳遞研究。財務金融學刊，18(3)，93-130。
7. 葉仕國、張森林、林丙輝(2017)。台灣衍生性金融商品市場實證與運用研究文獻回顧與展望。臺大管理論叢，27(2)，211-258。
8. (2008)。基差變動與台股日內動態資訊傳遞行為之研究。證券市場發展季刊，20(3)，141-178。