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

10.6277/ter.2003.312.2

王凱立(Kai-Li Wang)；陳美玲(Mei-Ling Chen)

傳導效果 ； 波動不對稱 ； 多變量GARCH ； 多變量Student-t分佈 ； transmission effect ； asymmetric volatility ； multivariate GARCH model ； multivariate student-t distribution

經濟論文叢刊

31卷2期（2003 / 06 / 01）

191 - 252

繁體中文

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。

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.

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