結構改變與美國股市影響下台灣股、匯市風險的外溢及預測

Risk Spillover and Forecast between the Stock and Exchange Market of Taiwan under the Influences of Structural Breaks and US Stock Market

10.30087/APEMR.200603.0007

王冠閔

亞洲金融危機 ； 變異結構改變 ； 風險外溢與預測 ； 變異因果關係檢定 ； Asian Financial Crisis ； Variance Structural Changes ； Risk Spillover and Forecast ； Causality in Variance

亞太經濟管理評論

9卷2期（2006 / 03 / 01）

105 - 124

繁體中文

本文的研究目的，主要在檢驗亞洲金融危機期間，台灣股、匯市在美國股市的影響下，風險的外溢效應及預測。本文利用Inclán and Tiao(1994)的疊代累積平方加總運算法（簡稱ICSS）來檢驗市場變異的結構改變，估計加入結構改變訊息的GARCH模型與條件變異數，利用Cheung and Ng(1996)建議的殘差交叉相關函數（簡稱CCF）來檢定市場風險之間的外溢效應。實證結果顯示，美國股市的風險單向外溢台灣股市，台灣股、匯市之間存在相互反饋的風險外溢效應，而台灣匯市與美國股市之間則不存在風險外溢的效果。利用市場間風險外溢的因果關係對台灣股、匯市進行樣本內與樣本外的風險預測，我們發現，考慮變異存在結構改變的事實，對股市風險的預測結果會較佳，但對匯市風險的預測結果並無明顯改善。

This paper studies the risk spillover and forecast between the stock and exchange market of Taiwan under the influence of structural breaks and US stock market. With the multiple volatility changes of each market that based on the iterated cumulative sums of squares (ICSS) algorithm developed by Inclán and Tiao (1994) in GARCH model. We use the residual cross-correlation function (CCF) that developed by Cheung and Ng (1996) to test the causality in variance. Our results show that US stock market unidirectional spillover to Taiwan stock market, and feedback between Taiwan stock market and exchange market. However, there exist no spillover effect between US stock market and Taiwan exchange market. Within the framework of the causality model, we find a better forecasting performance in predicting the stock market of Taiwan both in- and out-sample forecasting considering the structural changes in variance. However, there is no obvious improvement in forecasting the exchange market.

1. 王冠閔、黃柏農(2004)。台灣股、匯市與美國股市關聯性探討。台灣經濟預測與政策，34(2)，31-72。
   連結：
2. Aggarwal, R.,C. Inclán,R. Leal(1999).Volatility in Emerging Stock Markets.Journal of Financial and Quantitative Analysis,34,33-55.
3. Ashley R,C.W. J. Granger,R. Schmalensee(1980).Advertising and Aggregate Consumption: an Analysis of Causality.Econometrica,48(5),1149-1167.
4. Baig, T.,I. Goldfajn(1999).Financial Market Contagion in the Asian Crisis.IMF Staff Paper,46(2),167-195.
5. Bollerslev, T.(1986).Generalized Autoregressive Conditional Heteroscedasticity.Journal of Econometrics,31(3),307-327.
6. Cheung, Y. W.,L. K. Ng(1996).A Causality-in-Variance Test and Its Application to Financial Market Prices.Journal of Econometrics,72,33-48.
7. Cheung, Y.,S. Mak(1992).The International Transmission of Stock Market Fluctuation between the Developed Markets and the Asian-Pacific Markets.Applied Financial Economics,2,43-47.
8. Chowdhury A. R.(1994).Stock Market Interdependencies: Evidence from the Asian NIEs.Journal of Macroeconomics,16(4),629-651.
9. Edwards, S.(1998).Interest Rate Volatility, Capital Controls, and Contagion.NBER Working Paper.
10. Edwards, S.,R. Susmel(2000).Interest Rate Volatility and Contagion in Emerging Markets. Evidence from the 1990s.NBER Working Paper.
11. Eichengreen, B. J,A. K. Rose,C. A. Wyplosz(1996).Contagious Currency Crises.Scandinavian Journal of Economics,98,463-484.
12. Engle, R. F.(1982).Autoregressive Conditional Heteroscedasticity with Estimates of The Variance of United Kingdom Inflation.Economertica,50(4),987-1006.
13. Engle, R. F.,T. Ito,W. L. Lin(1990).Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market.Econometrica,28,525-542.
14. Gelos, G.,R. Sahay(2000).Financial Market Spillovers in Transition Economies.IMF Working Paper.
15. Granger, C. W. J.,B. N. Huang,C. W. Yang(2000).A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu.Quarterly Journal of Economics and Finance,40,337-354.
16. Granger, C. W. J.,R. P. Robins,R. F. Engle,D. A. Belsley,E. Kuh, (eds.)(1986).Wholesale and Retail Prices: Bivariance Time-Series Modeling with Forecastable Error Variances.Cambridge, MA:Model Reliability, MIT Press.
17. Gulen, H.,S. Mayhew(2000).Stock Index Futures Trading and Volatility in International Equity Markets.The Journal of Futures Markets,20(7),661-685.
18. Hamao, Y.,R. Masulis,V. Ng(1990).Correlations in Price Changes and Volatility Across International Stock Markets.The Review of Financial Studies,3(2),281-307.
19. Hansen, B.E.(2001).The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity.Journal of Economic Perspectives,15,117-128.
20. Huang, B. N.,C. W. Yang(2000).The Impact of Liberalizational on Stock Price Volatility in Emerging Markets.Journal of Comparative Economics,28,321-339.
21. Huang, B. N.,C. W. Yang(2002).Volatility of Changes in G-5 Exchange Rates and its Market Transmission Mechanism.International Journal of Finance and Economics,7,37-50.
22. Huang, B. N.,Sohng, S. N.,C. W. Yang(1999).State Dependent Correlation and Lead-Lag Relation when Volatility of Markets is Large: Evidence from the US and Asian Emerging Markets.Journal of Economic Development,24,57-77.
23. Inclán, C.,G. C. Tiao(1994).Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance.Journal of the American Statistical Association,89,913-923.
24. Kaminsky, G.,C. Reinhart(1998).On Crises, Contagion, and Confusion.Journal of International economics,51(1),145-168.
25. Lamoureux, C. G.,W. D. Lastrapes(1990).Heteroscedasticity in Stock Returns Data: Volume v.s. GARCH Effects.The Journal of Finance,45,221-229.
26. Nagayasu, J.(2001).Currency Crisis and Contagion: Evidence from Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand.Journal of Asian Economics,12(4),529-546.
27. Ross, S. A.(1989).Informational and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy.Journal of Finance,44,1-17.
28. Scholes, M.,J. T. Williams(1977).Estimating Betas from Nonsynchronous Data.Journal of Financial Economics,5(3),309-327.
29. Sheng, H. C.,A. H. Tu(2000).A Study of Cointegration and Variance Decomposition among National Equity Indices Before and During the Period of the Asian Financial Crisis.Journal of Multinational Financial Management,10,345-365.