台灣、歐洲與美國股市間波動外溢效果

Volatility Spillover among Taiwan, Europe and U.S.A. Stock Markets

10.6735/JAFD.201109_4(2).0003

駱武昌(Wu-Chang Luo)；吳明珊(Ming-Shan Wu)；吳斯偉(Shih-Wei Wu)

波動外溢 ； 隱含波動率 ； 波動率指數 ； 共整合 ； 誤差修正模型 ； Taiwan weighted stock index ； Dow Jones industrial average index ； Bailout ； Co-movement

會計與財金研究

4卷2期（2011 / 09 / 01）

29 - 50

繁體中文

在全球化的時代，各地資訊在不同市場中快速傳遞，國際金融市場不論是在報酬或波動程度上，彼此相互的影響愈來愈大。過去關於國際間波動外溢（volatility spillover）之研究多以股價指數的歷史波動率為研究資料，實證結果多半顯示波動外溢效果確實存在。除了歷史波動率外，隱含波動率亦常用作是波動率的衡量之一。由隱含波動率所編製的波動率指數（VIX）在近年來大幅受到各國市場重視，由於它代表了投資人對於未來市場波動率變動的預期，也反應了投資人的心理狀態，又被稱為恐慌指數。在2008年全球金融風暴期間，VIX的大幅上升引起諸多媒體的報導與注意。以往研究波動外溢的文獻大多以歷史波動率為研究資料，少以VIX為主題來探討波動外溢，因此，本研究結合波動外溢與隱含波動率，從VIX的角度來探討台灣與歐洲及美國兩大經濟體三者股市間波動外溢之效果，以及是否存在不對稱的波動外溢關係。本研究顯示，波動率指數的外溢現象是存在的，但並不對稱，美國與歐洲的波動對台灣波動的衝擊高於台灣波動對美國與歐洲波動的影響。

In the era of globalization, information is reflected in the markets rapidly around the world. The impacts on the returns or volatility in one market have more influence on the others than ever. The volatility spillovers have been described as an astronomical phenomenon: a meteor shower in New York will almost surely be followed by one in Tokyo. The historical volatility was employed in the previous studies on the international volatility spillovers, and the empirical results reveal that volatility spillovers do exist and the effects are asymmetric. In addition to the historical volatility, the implied volatility is another measure of volatility. The volatility index (VIX), created by the implied volatility, has become an important measurement in these years because it represents the expectation of investors on the future realized volatility and the sentiments of investors in the market. It is often referred to as the investor fear gauge. Plenty of media reported the enormous climb of the VIX during the global financial crisis in 2008. Since most studies used historical volatility as data and very few employed the VIX, the research plan examines the effects and asymmetries of volatility spillovers among Taiwan, Europe and the States using the VIX.

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