Asymmetric and Dynamic Relatedness Analysis of the Taiwan and the Japan Stock Markets Return Volatility: An Application of the Bivariate GJR-GARCH Model

臺灣與日本股票市場報酬波動之不對稱與動態關聯性分析：雙變量GJR-GARCH模型之應用

10.6338/JDA.200806_3(3).0006

洪萬吉(Wann-Jyi Horng)；黃明棋(Ming-Chi Huang)

股票市場報酬 ； 東京日經225股價指數 ； 台灣加權股價指數 ； 双變量GJR-GARCH模型 ； 動態條件相關 ； 不對稱效果 ； Stock market returns ； NK-225 index ； Taiwan weighted stock price index ； bivariate GJR-GARCH model ； dynamic conditional correlation ； asymmetrical effect

Journal of Data Analysis

3卷3期（2008 / 06 / 01）

71 - 93

英文

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性與其模型建構。實證結果顯示，台灣與日本兩個股票市場之間具有強的相關，我門使用一個動態條件相關之双變量GJR-GARCH(1, 2)模型來評估兩股票市場的關聯性及建立兩股票市場是存在不對稱效果。實證結果分析也顯示，台灣與日本股票市場報酬之間存在著正向的關係，且兩個股票市場報酬的波動是相互的影響，其動態條件相關係數之平均估計值為ρt=0.3803。更進一步，也由實證結果得知，台灣與日本兩股票市場在研究期間具是有不對稱效果。基於好消息與壞消息（Glosten et al., 1993），動態條件相關之双變量GJR-GARCH(1, 2)模型是比動態條件相關之双變量GARCH(1, 2)模型較具有解釋能力。

This paper studies the association and the model construction of the Taiwan and the Japanese stock price markets for the period from January 5, 1999 to December 30, 2005. The empirical analyses point out is a strong association between the Taiwanese and the Japanese stock markets. We use a bivariate GJR-GARCH (1, 2) model with a dynamic conditional correlation (DCC) to evaluate the association and find that there exists an asymmetrical effect for the two stock markets. The result of the empirical analyses also shows that the Japanese stock market returns positively affects the Taiwan stock market returns, and the volatility of the Japanese and the Taiwan stock market returns interact with one another. The average estimation value of the DCC coefficient for the two stock market returns is equal to ρt =0.3803. Furthermore, the Taiwan and Japan stock markets have an asymmetrical effect during the sample period. Based on the bad news and good news (Glosten et al., 1993), the explanatory ability of the bivariate GJR-GARCH(1, 2) model with a DCC is better than the model of the bivariate GARCH model with a DCC.

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