臺灣與日本股價市場報酬波動之關聯性分析－雙變量非對稱GARCH模型之應用

Associated Analysis of the Taiwan nd the Japanese Stock Market Returns Volatility: An Application of the Bivariate Asymmetric GARCH Model

10.29950/JHKUM.200705.0007

洪萬吉(Wann-Jyi Horng)；廖育珮(Yu-Pei Liao)；楊伯皎(Po-Chaio Yang)

股票市場報酬 ； 台灣加權股價指數 ； 東京日經225股價指數 ； 雙變量GARCH模型 ； 非對稱效果 ； 雙變量非對稱GARCH模型 ； Stock market returns ； Tokyo NK-225 Index ； Taiwan Weighted Stock Index ； bivariate GARCH model ； asymmetrical effect ； bivariate asymmetric GARCH model

興國學報

8期（2007 / 05 / 01）

111 - 126

繁體中文

本文以1999年1月5日至2005年12月30日之台灣股價與日本股價資料，探討台灣與日本股票市場之間的關聯。實證結果得知，台灣與日本股票兩市場之相互影響可建構在雙變量非對稱GARCH（1，2）模式上來分析。實證結果分析也顯示，台灣與日本股票市場報酬之間存正面的關係，即兩個股票市場報酬的波動將相互同步影響，且雙變量非對稱GARCH（1，2）模型是比雙變量GARCH（1，1）模型較具有解釋能力。這些證據可建議股市投資人或國際基金經理人，在台灣投資股票決策之評估時，需考慮日本股價報酬之波動的風險及其關聯性。此外，政府有關當局在穩定股票市場時，更不可忽略外國股票市場報酬波動行為的影響，否則將達不到預期的效果。

This paper will study the associated of the Taiwan and the Japanese stock market, the data period is from January 1999 to December 2005. Empirical analyses tell us that the affects of the Taiwan and the Japanese stock market, we can construct a bivariate asymmetric GARCH (1，2) model to evaluate it. Empirical results also indicate that the Japanese stock market returns will positively affect the Taiwan stock market returns. And the Taiwan and the Japanese stock market returns volatility will produce the interaction affect each other. Empirical result also shows that the model of the bivariate asymmetric GARCH is better than that of the bivariate GARCH. The evidence suggests that the stock market investors or international found managers in Taiwan stock market, they would be evaluated of the stock investment decision before, they need to consider the risk and relationship of the Japanese stock market returns' volatility. Besides, the authorities intending to stabilize its stock market, at the same time, if they are ignoring the affect of the foreign stock market returns' volatility, it may be hard to reach their expectation effect.

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