金融風暴對股市間波動性的連動性影響－ARJI模型

Impacts of Asian Financial Crisis on the Co-movements across Stock Markets Volatility in ARJI Model

10.29963/TOJEB.200512.0001

邱建良(Chien-Liang Chiu)；李彥賢(Yen-Hsien Lee)；鄒易凭(Yi-Pin Tzou)

ARJI模型 ； 金融風暴 ； 連動性 ； ARJI Model ； Asian Financial Crisis ； Co-movements

真理財經學報

13期（2005 / 12 / 01）

1 - 22

繁體中文

本研究以ARJI跳躍擴散模型探討金融風暴對美國、日本、韓國、香港、新加坡與台灣股市產生跳躍頻率與跳躍所引起的變異，並比較總變異、跳躍所引起的變異與擴散所引起的變異在金融風暴期間與非金融風暴期間比較是否有差異，最後利用一般化衝擊反應函數來分析美國、日本、韓國、香港、新加坡與台灣股市波動性間的關係。實證結果發現：1.各國股價指數報酬率均存在著跳躍行為與跳躍頻率是隨著時間變動，跳躍過程所引發的變異是不可忽視的重要因素。2.金融風暴事件對台灣股市波動性並沒有很重大的影響；此外，金融風暴期間的美國股市的波動性小於非金融風暴期間。3.本研究利用波動性的Pearson相關係檢定發現各國波動性間的關係皆呈現顯著，在金融風暴後的波動性相關係數幾乎皆比在金融風暴前的相關程度更高。4.在金融風暴後，美國股市波動性較具獨立性的特性，其干擾項的影響對其他國家最為顯著，其次為台灣，因而提供投資人在進行跨國投資組合的決策時，美國或台灣市場是一個值得考慮投資市場。

This paper employs ARJI model to examine jump frequency and volatility of the co-movements across stock markets and compares whether jump and diffusion induced volatilities are different during Asian Financial Crisis period. Financial utilize GIRF to analyze the relationship among U. S., Japan, Korea, Hong Kong, Singapore and Taiwan. The empirical results indicate that, firstly, jump intensity and frequency are time variant. Second. Asian Financial Crisis does not bring great impact to Taiwan. Volatility of US stock market during non-Asian Financial Crisis period is smaller than that during crisis period. Thirdly, the results of Pearson test indicate that the relationships of volatility among these countries are significant, and the coefficient correlation of volatility after Asian Financial Crisis is mostly higher than that before crisis. Fourthly, after Asian Financial Crisis, the volatility of US stock market relatively has independent character and impact to other countries, secondly is Taiwan. Therefore, while making the investment decision in oversea market, it is worthy to consider the stock market of U.S. or Taiwan.

1. 王凱立、陳美玲(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，31，191-252。
   連結：
2. 黎明淵、林修葳、郭憲章、楊聲勇(2003)。美、日股市巨幅波動下的股市連動效果－美國、日本與亞洲四小龍股市實證結果。證券市場發展，15，117-145。
   連結：
3. Akgiray, V.,G.G. Booth(1986).Compound distribution models of stock returns: an empirical comparison.Journal of Financial Research,10,259-280.
4. Andersen, T.G.,L. Benzoni,J. Lund(1999).An empirical investigation of continuous-time equity returns models.The Journal of Finance,57,1239-1294.
5. Bakshi, C.C.,Z. Chen(1985).Empirical performance of alternative option pricing models.The Journal of Finance,10,337-351.
6. Ball, C.A.,W.N. Torous(1985).On jumps in stock returns.Journal of Financial Quantitative Analysis,10,337-351.
7. Bates, D.S.(1996).Jumps and stochastic volatility: evidence from the options markets.Journal of Finance,46,1009-2049.
8. Bollerslev T.(1986).Generalized autoregressive conditional heteroskedasticity.Journal of Econometrics,31,307-327.
9. Chan, W.H.,J.M. Maheu(2002).Conditional jump dynamics in stock market return.Journal of Business & Economic Statistics,20,377-389.
10. Chang, K.H.,M.J. Kim(2001).Jump and time-varying correlations in daily foreign exchange rates.Journal of International Money and Finance,20,611-637.
11. Das, S.R.,R.K. Sundaram(1999).Of smiles and smirks: a term structure perspective.Journal of Financial and Quantitative Analysis,34,211-240.
12. Engle R.F.(1982).Autoregressive conditional heteroskedasticity with Estimates of the variance of U.K. inflation.Econometrica,50,987-1008.
13. Forbes, K.,R. Rigobon(2002).No contagion, only interdependence: Measuringstock market comovements.Journal of Finance,57,2223-2261.
14. Ghosh, A.(1999).Who moves the Asia-Pacific stock markets U.S. or Japan? Empirical evidence based on the theory of cointegration.The Financial Review,34,159-170.
15. Ha, I.,J. Khil,B. Lee(2001).On the rationality of Korea's stock market: was the recent Korean financial crisis due to fundamental factors.Journal of International Financial markets, Institutions and Money,11,423-441.
16. Hsieh, G.D.,G. Tauchen(1997).Estimation of stochastic volatility models with diagnostic.Journal of Econometrics,81,159-201.
17. Jang, H.,S. Wonsik(2002).The Asian financial crisis and the co-movement of Asian stock markets.Journal of Asian Economics,13,94-104.
18. Jarrow, R.A.,E.R. Rosenfeld(1984).Jump risks and the intertemporal capital Asset pricing model.Journal of Business,57,337-351.
19. Jorion, P.(1988).On jump processes in the foreign exchange and stock markets.The Review of Financial Studies,1,427-445.
20. Kim, H.Y.,J.P. Mei(2001).What makes the stock market jump? An analysis of political risk on Hong Kong stock returns.Journal of International Money and Finance,20,1003-1016.
21. Merton, R.C.(1976).The impact on option pricing of specification error in the underlying stock price returns.The Journal of Finance,31,333-350.
22. Nimalendran M.(1994).Estimating the effects of information surprises and trading on stock returns using a mixed jump-diffusion model.Review of Financial Studies,7,451-473.
23. Ostry, J.D.(1998).Financial market contagion in the Asian crisis.IMF Working Paper.
24. Pesaran, M.H.,Y. Shin(1998).Impulse response analysis in linear multivariate models.Economics Letters,58,17-29.
25. Wu, C.(2000).International trade relations and the contagious effects of the Asian financial crisis.Review of Pacific Basin Financial Markets and Policies,3,367-399.
26. 林丙輝、葉仕國(1999)。台灣股票價格非連續跳躍變動與條件異質變異之研究。證券市場發展季刊，11，61-92。
27. 邱建良、劉聰衡、紀嘉政(2000)。台灣股市與國際股市共移性之研究。商管科技季刊，3，263-285。
28. 聶建中、林景春、詹凱婷(2004)。兩岸三地股價聯動性研究。輔仁管理評論，11，63-82。
29. 聶建中、蔡育迪(2000)。亞洲金融風暴對台灣與東南亞各國股價指數及匯率間互動的影響。企銀季刊，24，197-215。

1. 姜淑美、王立均(2012)。次級房貸危機後，美國股市外溢效果之探討。會計與財金研究，5(1)，43-60。