外資成交金額波動對台灣股票市場報酬之衝擊：Student's t分配與雙門檻－GARCH模型之應用

An Impact of Foreign Investment Turnover Volatility on Taiwan Stock Market Returns: An Application of Student's t Distribution and Double Threshold-GARCH Model

10.6338/JDA.200710_2(5).0001

洪萬吉(Wann-Jyi Horng)；鄭文傑(Wun-Jie Jheng)

股票報酬 ； 不對稱效果 ； 雙門檻－GARCH ； Student's t分配 ； Stock return ； GARCH ； GJR-GARCH ； asymmetrical effect ； threshold-GARCH ； Student's t distribution

Journal of Data Analysis

2卷5期（2007 / 10 / 01）

1 - 18

繁體中文

本文依Tsay（1989）所提之門檻自我迴歸模型及Glosten，Jaganathan與Runkle（1993）所提之GJR-GARCH模型之想法，提出一個雙門檻－GRACH模型，利用此模型探討台灣加權股價指數報酬與外資成交金額波動之互動的影響，且以外資成交金額波動的正負值作為門檻，其研究資料期間是採用2000年1月4日到2005年10月30日的台灣加權股價指數與外資成交金額的資料。由實證結果顯示AR（1）－雙門檻－GRACH（1，2）模型對探討外資成交金額波動對台灣股票市場報酬的影響是合適的，且反應出台灣股票市場是具有不對稱效果。由實證結果也顯示外資成交金額波動將正面影響股票市場報酬，且反應出在外資成交金額波動為負時的情況下將增加台灣股票市場報酬波動的變異風險。因此，雙門檻－GARCH模型是比傳統的GARCH與GJR-GARCH模型較具有解釋能力。

This paper follows the idea of threshold auto-regression model (Tsay, 1989) and the idea of GJR-GARCH model (Glosten, Jaganathan and Runkle, 1993) to propose a double threshold-GARCH model. This paper will use it to discuss the relationships of the Taiwan stock returns and the volatility of the foreign investment turnover, and the positive and negative values of the foreign investment turnover volatility are as the threshold. The data period is from January 2000 to October 2005. Empirical shows that the relationships of the foreign investment turnover volatility and Taiwan stock market returns can construct on AR (1)-double threshold-GARCH (1, 2) model. This model is also response the asymmetrical effect of the Taiwan stock market returns. Empirical analyses also indicate that the foreign investment turnovers' volatility will positively affect the stock market returns. As the foreign investment turnover volatility is negative, the Taiwan stock market returns' volatility will raise the variation risk. Therefore, the explanatory ability of the proposed model is better than the traditional model of GARCH and GJR-GARCH.

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