亞洲主要股市報酬關聯性之研究－以日本股市歷史低點前後為例

The Relationships among the Asian Stock Markets: Evidence from the Lowest Index of Japan's Stock Market

李文雄(Wen-Shiung Lee)；陳志鈞(Chin-Chun Chen)；陳君達(Chun-Da Chen)

報酬外溢 ； 波動外溢 ； EGARCH模型 ； Return spillover ； Volatility spillover ； EGARCH model

企業管理學報

67期（2005 / 12 / 01）

1 - 30

繁體中文

本文旨在探討日本、韓國與台灣股票市場在日本股市最低點（2003年4月28日）前後之關聯性，並利用EGARCH模型來檢測三國股市之波動不對稱性效果。實證結果顯示，在日股最低點前後，三國股市皆不存在共整合關係。不論在日股最低點前後，三國股市間均無顯著的報酬傳導效果。在報酬波動傳導方面，日股最低點前後三國股市間則存在顯著的波動性傳導效果。其中，平均波動性外溢效果有顯著不同，於低點前三國股票市場為正的自我相關。但在低點後，除了台灣為正的自我相關外，日本與韓國皆轉變為負的自我相關。在跨市場平約波動性外溢效果方面，日本與台灣於日股最低點後由原本之負相關轉變為正相關，而韓國與台灣由原本之正相關轉變為負相關。此對國際投資者而官，可參考日本（台灣）股市走勢來進行台灣（日本）股市之投資以獲取投資報酬，亦可藉由投資台灣與南韓股市達到投資組合多樣化以降低投資風險。

This paper analyzes the relationships among Japan's, Taiwan's, and South Korea's stock markets from the viewpoint of Japan's lowest stock index and applies the EGARCH model to capture the asymmetric effects. The empirical results indicate that there are no cointegrations in these three stock markets during the pre-and post-Japan's lowest stock index periods. These three stock markets also have no obvious return spillover effects during our sample periods. However, they have significant return volatility spillover effects before and after the Japan's lowest stock index. During the pre-lowest index periods, these three stock markets all have positive autocorrelation. During the post-lowest index periods, their stock returns convert the positive autocorrelations into negative autocorrelations except Taiwan's stock market. In intermarket average volatility spillovers, there is positive and relative high correlation between Japan's and Taiwan's stock markets during the post event period. In addition, the investors could adjust their positions to obtain profits and lower their portfolio's risks according to our results.

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