台灣股票市場波動性與總體經濟波動性關係之研究

An Empirical Study on the Relation of Taiwan Stock Market Volatility and Macroeconomics Volatility

10.29724/TMR.200207.0003

蕭慧玲(Huey-Ling Shiao)；黃勁豪(Hou-Chin Hwang)

個股波動性 ； 分解法 ； 總體經濟波動性 ； Firm-Level Volatility ； Disaggregated Approach ； Macroeconomics Volatility

東海管理評論

4卷1期（2002 / 07 / 01）

27 - 54

繁體中文

本研究的主旨在探討台灣股市波動性，以及影響台灣股市波動性之因子。尤其是個股波動性相對市場與產業波動性之變化與總體經濟波動性對台灣股市波動性之影響更是本研究的重點。本研究根據Campbell, Lettau, Malkiel and Xu (2001)提出的分解法(disaggregated approach)檢視台灣股票市場中，個股之波動相對於市場與產業的波動性是否有顯著之增加。其次觀察總體經濟變數，即利率、通貨膨脹率、貨幣供給額、工業生產力、及匯率，對股票市場波動之影響。本研究其發現市場與公司層級波動的變異程度較產業層級波動為大。市場波動、產業波動與公司層級波動，幾乎只受本身落後值的影響，而不受總體經濟變數波動性落後期的影響。台灣股票市場的風險，在同時期受到總體經濟波動性一定程度之影響。

This study examines the relation of stock market volatility and macroeconomics volatility in Taiwan. According to Campbell, Lettau, Malkiel and Xu (2001), this paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 1981-2000 there has been a noticeable increase in firm-level volatility relative to market volatility. Secondly, we want to verify the effects of macroeconomics variables-rates, exchanges rates, money supply, industry productivity and inflations can affect the stock market volatility or not. We found that the volatility of market, industry and firm level was effected by its own lagged value, and by nothing to do with the macroeconomics variables. But the stock volatility was affect by macroeconomics variable's contemporaneous value.

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