股價波動性之影響因素

Determinants of the Volatility of Stock Prices

10.30003/JRM.200311.0001

詹世煌(Shih-Huang Chan)；許溪南(His-Nan Hsu)；謝宗祐(Tzung-Yuan Hsieh)

股價波動性 ； 影響波動性因素 ； 經濟結構改變 ； Stock Price Volatlity ； Determinants of Volatility ； Change in Economic Structure

風險管理學報

5卷2期（2003 / 11 / 01）

167 - 193

繁體中文

風險為投資人所最關心的兩個變數之一。本文的目的有二：（1）探討股價波動性與實質生產風險、通貨膨脹風險、利率風險、資金風險及市場交易活絡程度（相對股價水準）間的關係；（2）崩盤前後經濟結構是否有明顯的改變。實證結果顯示：（1）無論全期抑或崩盤前後，股價波動性皆會存在自身序列相關。（2）就全期而言，股價波動性會受到實質生產風險、通貨膨脹風險的正向影響。在崩盤之前，股價波動性會受到過去兩期以來通貨膨脹風險的正向影響，而且與資金面的風險成正相關；但在崩盤之後，股價波動性僅與當期的通貨膨脹風險、利率風險成正相關。

Risk is one of the two most important variables that investors concern with. The first purpose of this paper is to investigate the determinants of the volatility of stock prices. Specifically, we explore the regression relationship between the volatility of stock prices and real production, inflation risk, interest rate risk, money supply (M2) risk, and relative stock price level. Secondly, we also investigate whether the regression structure of the above relationship changed during the 1987 Crash in the US stock market. Results indicate that: (1) For the whole period and before- and post-crash subperiods, the stock price volatility shows positive autoregressive correlation; (2) For the whole period, real production risk and inflation risk have positive impacts on the stock price volatility. For the before-crash subperiod, inflation risk has a positive impact, while money supply risk has a positive impact on the stock price volatlity. However, for the post-crash period, inflation risk and interest rate risk have a positive impact on the stock price volatility.

1. Bailie, R. T.,R. P. DeGennaro(1990).Stock Returns and Volatility.Journal of Financial and Quantitative Analysis,25,203-214.
2. Beckers, S.(1980).The Constants Elasticity of Variance Model and Its Implications for Option Pricing.Journal of Finance,35(3),661-673.
3. Beckers, S.(1981).Standard Deviations Implied in Option Prices as Predictions of Future Stock Price Variability.Journal of Banking and Finance,5,363-382.
4. Benjamin, G.,D. L. Dodd(1951).Security Analysis.NY:McGraw-Hill Book Co.
5. Black, F.(1976).Studies of Stock Price Volatility Change.Journal of American Statistical Association,72,177-181.
6. Campbell, J. Y.(1987).Stock and the Term Structure.Journal of Financial Economics,14,373-399.
7. Campbell, J.Y.,M. Lettau,B.G. Malkiel,Y. Xu(2001).Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk.Journal of Finance,56(1),1-43.
8. Christie, A. A.(1982).The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects.Journal of Financial Economics,9,407-432.
9. Clendenin, J. C.(1951).Quality versus Price as Factors Influencing Common Stock Fluctuations.Journal of Finance,398-405.
10. Cohen, K. J.,W. L. Ness,H. Okuda,R. A. Schwartz,D. K. Whitcomb(1976).The Determinants of Common Stock Returns Volatility: An International Comparison.Journal of Finance,31,733-739.
11. Cox, J.,S. A. Ross(1976).The Valuation of Options for Alternative Stochastic Process.Journal of Financial Economics,3,145-166.
12. Culter, D. .M.,J. M. Poterba,L. H. Summers(1989).What Moves Stock Prices.Journal of Portfolio Management,15,4-12.
13. Davidian, M.,R. J. Carroll(1987).Variance Function Estimation.Journal of the American Statistician Association,82,1079-1091.
14. Edwads, F. R.(1988).Futures Trading and Cash Market Volatility: Stock Index and Interest Rate Futures.Journal of Futures Markets,8,421-440.
15. Engle, R. F.(1982).Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.Econometrica,50,987-1007.
16. Fortune, P.(1989).An Assessment of Financial Market Volatility: Bills, Bonds and Stock.New England Economic Review.
17. French, K. R.,G. W. Schwert,R. F. Stambaugh(1987).Expected Stock Returns and Volatility.Journal of Financial Economics,14,3-30.
18. Geske, R.(1979).The Valuation of Compound Options.Journal of Financial Economics,6(1),63-81.
19. Glosten, L. R.,R. Jagannathan,D. Runkle(1993).On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stock.Journal of Finance,48,1779-1801.
20. Hamao, Y. R.,W. Masculis,V. Ng(1990).Correlation in Price Changes and Volatility across International Stock Markets.Review of Financial Studies,3,281-308.
21. Hardouvelis, G. A.(1990).Margin Requirement, Volatility and the Transitory Component of Stock Price.American Economic Review,80,736-762.
22. Harris, L.(1987).Transaction Data Test of the Mixture of Distributions Hypothesis.Journal of Financial and Quantitative Analysis,22(2),127-141.
23. Hsieh, A. J.,S. L. Allison(1951).Some Factors Affecting Stock Price Variability.The Journal of Business,24(1),19-23.
24. Liljebom, E.,M. Stenius(1997).Macroeconomic Volatility and Stock Market Volatility.Applied Financial Economics,7,419-426.
25. Lintner, J.(1965).The Valuation of Risk Assets and the Selection of Risky Investment in Stock Portfolios and Capital Budget.Review of Economics and Statistics.
26. MacBeth, J. D.,L. J. Merville(1980).Tests of the Black –Scholes and Cox Call Option Valuation Models.Journal of Finance,35(2),285-303.
27. McLeod, A. I.,W. K. Li(1983).Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations.Journal of Time Series Analysis,4,269-273.
28. Mossin, J.(1966).Equilibrium in a Capital Asset Market.Econometrica,34,768-783.
29. Nelson, C. R.,C. I. Plosser(1982).Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implication.Journal of Monetary Economics,10,139-162.
30. Neter, J.,W. Wasserman,M.H. Kutner(1989).Applied Linear Regression Models.Irwin.
31. Officer, R. R.(1973).The Variability of the Market Factor of the New York Exchange.Journal of Business,46,434-453.
32. Phillips, P. C.,P. Perron(1988).Testing for a Unit Root in Time Series Regression.Biometrika,75,335-346.
33. Pindyck, R. S.,D. L. Rubinfeld(1991).Econometric Models & Economic Forecasting.McGraw-Hill Inc.
34. Roll, R.(1988).R2.Journal of Finance,43,541-566.
35. Rubinstein, M.(1994).Implied Binomial Trees.Journal of Finance,49,771-818.
36. Samuelson, D.(1965).Proof that Properly Anticipated Prices Fluctuate Randomly.Industrial Management Review,6,41-49.
37. Schmalense, R.,R. R. Trippi(1978).Common Stock Volatility Expectation by Option Premia.Journal of Finance,33,129-147.
38. Schwert, G. W.(1989).Why Does Stock Market Volatility Change Over Time.Journal of Finance,44,1115-1154.
39. Schwert, G. W.(1990).Stock Market Volatility.Financial Analyst Journal,46,23-24.
40. Sharpe, W. F.(1964).Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.Journal of Finance,19,425-442.
41. Shiller, R.(1989).Portfolio Insurance and Other Investor Fashions as Factors in the 1987 Stock Market Crash.NBER Macroeconomics Annual.
42. Spirio, P. S.(1990).The Impact of Interest Rate Changes on Stock Price Volatility.Journal of Portfolio Management,16,63-68.
43. Thrope, E. O.(1976).Common Stock Volatilities in Option Formulas.Journal of Finance,31,733-739.
44. Whitelaw, R.F.(1994).Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns.Journal of Finance,49(2),515-541.
45. 胡秀琴(1991)。碩士論文(碩士論文)。中山大學企業管理研究所未出版碩士論文。
46. 陳厚侗(1984)。決定股價的基本因素。證券管理，1(3)，61-65。
47. 黃德芬(1994)。碩士論文(碩士論文)。台灣大學財務金融研究所未出版碩士論文。

1. 張清德、石軒如(2009)。美國國會通過金融紓困後的台灣與美國股票指數共移關係。會計與財金研究，2(2)，41-47。
2. (2006)。金融控股公司股價波動性之研究。臺灣銀行季刊，57(2)，37-56。