股價與產出波動不對稱的外溢效應

Asymmetrical Volatility Spillover between the Stock Returns and Output Growth

10.6545/JFS.2008.16(4).5

李源明(Yuan-Ming Lee)；黃柏農(Bwo-Nung Huang)；王冠閔(Kuan-Min Wang)

股價波動 ； 產出波動 ； 門檻向量自我迴歸模型 ； 波動外溢 ； Stock Return Volatility ； Economic Growth Volatility ； Threshold Vector Autoregressive ； Volatility Spillover

財務金融學刊

16卷4期（2008 / 12 / 31）

163 - 207

繁體中文

本文利用20個國家1975至2004年的月資料，考慮股價報酬、產出成長、通貨膨脹、利率變動、及貨幣成長等五個變數，利用Schwert（1989）和Brooks（2002）方式來估計波動變數。再建構多變量門檻向量自我迴歸模型，檢驗股價與產出之間波動的外溢效應，並利用非預期股價報酬為門檻變數，反應正、負向衝擊。實證結果發現，多數國家不僅股價波動對產出波動有外溢效果，產出波動對股價波動亦存在外溢效果，而且某些國家具有相互反饋的現象，並且集中在小於門檻值時；此表示在負向衝擊期間，觀察產出風險可以預測未來股市的風險、而衡量股市風險亦可以估算未來產出的風險。

This study investigates the asymmetric volatility transfers between stock return and output growth, using the multivariate threshold vector autoregression (TVAR). Based on 30 years of data over 1975 to 2004 for 20 countries, the methods of Schwert (1989) and Brooks (2002) are employed to estimate the volatilities of five variables including stock return, output growth, inflation rate, interest rate and monetary growth. When utilizing the unexpected stock return as the threshold variable to reflect the positive and negative shock, the volatility spill over from output growth rates to stock returns and vise versa are evident in most countries, and furthermore, the mutual feedback is obvious in some countries. These phenomena mostly occur when the unexpected stock returns are smaller than the threshold value, which indicates that the output risks could be used to forecast the stock risks and vise versa during the transpiration of negative shock.

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