台、美、韓三地半導體指數向量自我迴歸與EGARCH之研究

A Study of VAR-EGARCH Model on Semi-Conduct Industry Index Taiwan, Korea and USA

10.30163/BR.200512.0003

王睦舜(Mu-Sun Wang)；陳隆麒(Long-Chi Chen)；黃劭彥(Shiao-Yan Huang)；陳雪如(Hsueh-Ju Chen)

共伴效應 ； 資訊傳遞效果 ； 共整合 ； 多變量VAR-EGARCH模型 ； Co-Movement Effect ； Information Spillover Effect ； Co-integration ； Var-EGARCH Model

文大商管學報

10卷2期（2005 / 12 / 01）

49 - 83

繁體中文

在產業垂直分工的架構下，各國股市之間的關聯性勢必存在。從彼此股市之間的報酬率相關性，可了解任兩國股市之間相互影響的程度與長期間此種影響的變化。許多研究直接針對股市的報酬率研究，固然得到具共整合的結論，可是卻難以觀察彼此之間關聯性的高低。因此，本研究主在探討半導體產業間的資訊傳遞效果，透過VAR-EGARCH模型之應用，其研究發現，在不同期間，資訊傳遞效果和預測績效的因果關係都會有所變化。亦即既便國際資本市場存在著高度的共整合現象，但仍會受到各股市之特質性因素，如管制、解除管制、系統風險、市場規模與投資人理性等因素所影響，甚至於各國產業在國際上的地位及重要性的消長與轉變都將影響著此種傳遞效果，建議可再從產業分工的角度更廣泛而深入地討論。

Given a note to the structure of vertical disintegration carrying out by industries, a relation between stock markets among nations is always perceived. It can tell, viewing the relativity between return rate of stock markets, the degree the inter-influences between stock markets and the changes in those influences in the long run. Accordingly, a number of return rate studies directly derived a conclusion of having co-integration, but failed to observe how profound their connection is. Therefore, this study aims to examine the information spill-over effect in semi-conduct industry through the application of VAR-EGARCH model. Our results show that information spill-over effect and cause-effect relation in performance prediction would change as time changes. It means, even an obvious phenomenon of high co-integration exists in the international capital markets, information spill-over effect remains variation when factors such as regulation, deregulation, systematic risk, market scale and investor's rationale have changed, suggesting a call for a comprehensive investigation should be drawn.

1. Chen, C.,Yang, E.(2003).The Information spillover in Taiwan`s Money Market.Taiwan Academy of Management Journal,3(1),23-40.
   連結：
2. 周雨田、李志宏、巫春雄(2002)。臺灣期貨對現貨市場的資訊傳遞效果分析。Journal of Financial Studies，10(2)，1-22。
   連結：
3. 邱建良、吳佩珊、邱哲修(2004)。亞洲外匯市場行為之探討－不對稱門檻GARCH模型之應用。臺灣管理學刊，4(2)，187-202。
   連結：
4. 楊踐爲(1999)。美日港臺四地股價指數連動關係之探討。亞太管理評論，4(2)，97-107。
   連結：
5. Aggarwal, C.,Inclan, C.,Leal R.(1999).Volatility in Emerging Stock Markets.Journal of Financial Quantitative analysis,34(1),33-55.
6. Aggarwal, R.,Park, Y.S.(1994).The Relationship between Daily U.S. and Japanese Equity Prices: Evidence from Spot versus Futures Markets.Journal of Banking and Finance,18(4),757-773.
7. Allen, F.,Gale, D.(1994).Limited Participation and the Volatility of Asset Prices.American Economic Review,84(4),933-955.
8. Bailey, W.,Stulz, R.M.(1990).Benefits Of International Diversification: The Case Of Pacific Basin Stock Markets.Journal of Portfolio Management,16(4),57-61.
9. Working paper
10. Bollerslev, T.(1986).Generalized Autoregressive Conditional Heteroskedasticity.Journal of Econometrics,31(2),307-327.
11. Campbel, J.Y.,Lo, A. W.,MacKinlay, A.C.(1997).The Econometrics of Financial Markets.New Jersey:Princeton University Press.
12. Chan, G.,Pan, M.S.(1992).An Empirical Analysis of Stock Prices in Major Asian Market and the United States.Financial Review,2(2),289-307.
13. Chou, G.(2000).Testing for Short Termism and Over-Valuation in The US Stock Market.working paper,May,0-19.
14. Chowdhury, A.R.(1994).Stock Market Interdependencise: Evidence from the Asian NIEs.Journal of Macroeconomics,16(4),629-651.
15. De, S.G.,Gerard, B.(1997).International Asset Pricing and Portfolio Diverfication with Time-varying risk.Journal of Finance,52(5),1881-1912.
16. Dennis, P.,Mayhew, S.(2002).Risk-Neutral Skewness: Evidence from Stock Options.Journal of Financial and Quantitative Analysis,37(3),471-493.
17. Duan, J.,Wei, J.Z.(1999).Pricing Foreign Currency and Cross-Currency Options Under GARCH.Journal of Derivatives,7(1),51-63.
18. Enders, W.(2004).Applied Econometric Time Series.John Wiley & Sons, Inc..
19. Engle, R.F.,Granger C.W.J.(1987).Cointegration and Error Correction: Representation, Estimation and Testing.Econometrica,55(1),251-276.
20. Engle, R.F.,Ng, V.K.(1993).Measuring and Testing the Impact of News on Volatility.Journal of Finance,45(5),1749-1778.
21. Eun, S.S.(1989).International Transmission of Stock Market Movements.Journal of Financial and Quantitative Analysis,24(1),241-256.
22. Ghosh, S.,Johnson K.H.(1999).Who moves the Asia-Pacific Stock Markets-US or Janpan? Empirical Evidence Based on the Theory of Cointegration.The Financial Review,34,159-170.
23. Gourièroux(1997).ARCH Models and Financial Application.New York:Spring.
24. Hamao, Y.R.,Masulis, R.W.,Ng, V.K.(1990).Correlation in Price Changes and Volatility across International Stock Markets.Review of Financial Studies,3(2),281-307.
25. Hamilton, J.D.(1994).Time Series Analysis.New Jersey:Princeton University Press Princeton.
26. Hsu & Kuo(2000).Testing Partial Parameter Stability in Co-integrated Systems with an Application to Money Demand.
27. Johansen, S.(1991).Statistical Analysis of Cointegration Vectors.Journal of Economic Dynamics and Control,12,231-254.
28. Kanas, A.(2002).Is Exchange Rate Volatility Influence by Stock Return Volatility? Evidence from the US, the UK and Japna.Applied Economics Letters,1(3)
29. Karolyi, G.A.(1995).A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada.Journal of Business and Economic Statistics,13(1),11-25.
30. Lin, Y.A.,Pan, M.S.(1997).Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets.Multinational Finance Journal,1(1),47-62.
31. Lobo, B.J.,Tufte, D.(1998).Exchange Rate Volatity: Does Politics Matter?.Journal of Macroeconomics,20(2),351-365.
32. Lutkepohl, H.(1982).Non-causality due to Omitted Variables.Journal of Econometrics,19(2),367-378.
33. Maddala, S.,Kim, I.(1999).Unit Roots, Cointegration and Structural Change.Cambridge University Press.
34. Nelson, D.(1991).Conditional Heteroskedasticity in Asset Returns: a New Approach.Econometric,59(2),347-370.
35. Ruey, T.S.(2002).Analysis of Financial Time Series.John Wiley & Sons Inc..
36. Stoll H.,Whaley, R.(1988).working paper.Vanderbilt University.
37. Theodossion P.,Kahya, E.,Koutoms, G. A,Chrisofi, A(1997).Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets.Financial Review,32(2),205-224.
38. Theodossion P.,Lee, U.(1993).Mean and Volatility Spillovers across Major National Stock Markets: Futher Empirical Evidence.Journal of Financial Research,16(4),337-350.
39. 王淳玄、林俊宏、謝俊權(2004)。台灣股市八大類股間之長期均衡趨勢分析：門檻共整合模型之應用。華岡經濟論叢，3(2)，121-143。
40. 何怡滿、康信鴻(2001)。以GARCH模型探討SIMEX摩根臺股指數期貨、TAIFEX臺股指數期貨與TSE臺指現貨之領先／落後關係。中華管理評論，4(2)，1-12。
41. 吳佩珊、鄭婉秀、邱建良、邱哲修(2002)。貨幣政策、外匯市場與股票市場問恆常與暫時波動性之分析。商管科技季刊，3(2)，161-177。
42. 吳晉嘉(2003)。碩士論文(碩士論文)。立德管理學院科技管理研究所未出版之碩士論文。
43. 林于文(2003)。碩士論文(碩士論文)。逢甲大學經濟學系未出版之碩士論文。
44. 林建甫(2003)。2003年諾貝爾經濟獎特別報導－共整合與拱論。SCIENCE MONTHLY，34(2)，2-9。
45. 姚志泯(2001)。碩士論文(碩士論文)。淡江大學管理科學學系未出版之碩士論文。
46. 張加民(2003)。碩士論文(碩士論文)。南華大學財務管理研究所未出版之碩士論文。
47. 陳玲慧(2001)。臺股指數現貨、臺股指數期貨與摩根臺股指數期貨關聯性之研究－向量自我迴歸模型之應用。商管科技季刊，2(2)，123-137。
48. 黃博怡、陳達新、陳君達(2003)。亞太地區股市動態不對稱性之研究。中原企業評論，1(2)，147-174。
49. 葉嵩生、沈筱玲、林書賢(2002)。國內資訊電子業中國投資概念股股價指數連動性暨變異數分解之研究。産業金融季刊，117，2-23。
50. 葉銀華(1991)。國際股票市場股價指數共移型態與關聯性之研究。臺灣經濟金融月刊，27(10)，11-20。

1. Wu, Hsueh-Ling,Ko, Sheng-Huei(2011).A Study on the Dynamic Relationships between Macroeconomic Variables and Stock market in Taiwan-An application of a Vector Error Correction Model.文大商管學報,16(2),21-40.