Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/21058
標題: The Study of the Volatility Relationship Between Stock Market and Foreign Exchange Market in Taiwan - The Applications of Bivariate Symmetric and Asymmetric VARMA GARCH Models
台灣股市與匯市的波動度間關係之研究 ─ 應用Bivariate Symmetric and Asymmetric VARMA GARCH 模型
作者: Huang, Shiang-Yu
黃祥郁
關鍵字: symmetric VARMA GARCH
Bivariate Symmetric VARMA GARCH model
asymmetric VARMA GARCH
volatility
asymmetric effect
Bivariate Asymmetric VARMA GARCH model
波動度
不對稱效果
出版社: 企業管理學系所
引用: Abbas, Z. (2010), Dynamics of Exchange Rate and Stock Prices: A Study on Emerging Asian Economies. Unpublished Doctoral Dissertation, Mohammad Ali Jinnah University, Karachi, Islamabad, Pakistan. Agrawal, G., A.K. Srivastav and A. Srivastava (2010), A Study of Exchange Rates Movement and Stock Market Volatility. International Journal of Business and Management, 5(12), 62. Beer, F. and F. Hebein (2008), An Assessment of The Stock Market and Exchange Rate Dynamics in Industrialized and Emerging Markets. International Business and Economics Research Journal, 7(8). Bollerslev, T. (1986), Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. Bollerslev, T. (1990), Modelling the Coherence in Short-Run Nominal Exchange Rate: A Multivariate Generalized ARCH Approach. Review of Economics and Statistics, 72, 498-505. Branson, W.H. (1983), Macroeconomic Determinants of Real Exchange Risk. In R.J., Herring (Ed.), Managing Foreign Exchange Risk. 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(2000), Volatility Spillovers between Stock Returns and Exchange Rate Changes: International Evidence, Journal of Business Finance and Accounting, 27, 447-467. Kwiatkowski, D., P.C.B. Phillips, P. Schmidt and Y. Shin (1992), Testing the Null Hypothesis of Stationarity Against The Alternative of A Unit Root: How Sure Are We That Economic Time Series Have A Unit Root? Journal of Econometrics, 54(1-3), 159-178. Ling, S. and M. McAleer (2003), Asymptotic Theory for A Vector ARMA-GARCH Model. Econometric Theory, 19(02), 280-310. Morales, L. (2009), Volatility Spillovers Between Stock Returns and Foreign Exchange Rates: Evidence from Four Eastern European Countries, Dublin Institute of Technology Conference Paper, Algarve, Portugal. Muhammad, N. and A. Rasheed (2004), Stock Prices and Exchange Rates: Are They Related? Evidence from South Asian Countries. Pakistan Development Review, 41(2), 535-549. Nelson, D.B. (1991), Conditional Heteroscedasticity in Asset Returns: A New Approach. 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摘要: In many literatures, reaserchers focus on the causation between stock market and exchange market. Some studies find that stock market affects exchange market, some find that exchange market affects stock market, some find that no relationship between stock market and exchange market, it still don't have a certain conclusion. Many studies use EGARCH model for the volatility relationship between stock market and exchange market and focus on countrys. This study uses the day data for the returns of stock market and foreign exchange market from 1999/01/05 to 2011/10/31, including Taiwan Stock Exchange Index, Taiwan Stock of Electronic Index, United States Dollar, Europe Dollar, Japanese Yen, Renminbi, Korean Won, and then takes Bivariate Symmetric and Asymmetric VARMA GARCH models to explore the symmetric and asymmetric volatility relationship between stock market and exchange market. Bivariate Symmetric and Asymmetric VARMA GARCH models don't be applied to stock market and exchange market in Taiwan, this paper adds a research to this issue. The results show: (1) In Bivariate Symmetric and Asymmetric VARMA GARCH models, Taiwan Stock Exchange Index returns and exchange returns have the positive volatility with Europe Dollar and the negative volatility with Japanese Yen, United States Dollar, Renminbi, Korean Won; (2) In Bivariate Symmetric VARMA GARCH model, Taiwan Stock of Electronic Index returns and exchange returns have the negative volatility with United States Dollar, Europe Dollar, Japanese Yen, Renminbi, Korean Won. In Bivariate Asymmetric VARMA GARCH model, Taiwan Stock of Electronic Index returns and exchange returns have the positive volatility with Japanese Yen, Korean Won and the negative volatility with Renminbi, Europe Dollar, United States Dollar; (3) Taiwan Stock Exchange Index returns and exchange returns, Taiwan Stock of Electronic Index returns and exchange returns have bilateral asymmetric effects.
過往研究中,研究者著重在股市與匯市其因果關係之探討,有的研究結果呈現股市對於匯市具有因果關係;有的呈現匯市對於股市有因果關係;有的呈現股市與匯市並無因果關係,沒有一致性的結論。對於波動度的探討,多以EGARCH model探討股市與匯市波動度間關係,多以國家做為研究對象,對於加入產業的研究更不多見。本研究以台灣股票市場及匯率市場為研究樣本,使用1999年1月5日5至2011年10月31日之股票市場包括台灣加權股價指數與台灣電子類股股價指數,匯率市場包括台灣主要貿易及競爭國家以新台幣計價之名目匯價的日資料,分別為美元、歐元、日幣、人民幣、韓圜,利用Bivariate Symmetric與Asymmetric VARMA GARCH探討股市與匯市的對稱波動度間關係以及不對稱波動度間關係。由於此二模型在目前國內股市與匯市之相關探討上較少被應用,因此本研究希望補充相關之研究文獻。實證結果發現(1)台灣加權股價指數報酬率與匯價報酬率波動度間相互關係,Bivariate Symmetric VARMA GARCH與Bivariate Asymmetric VARMA GARCH模型中,歐元呈現正向波動度關係;日幣、美元、人民幣、韓圜呈現負向波動度關係;(2)台灣電子類股股價指數報酬率與匯價報酬率波動度間相互關係,Bivariate Symmetric VARMA GARCH模型中,美元、歐元、日幣、人民幣、韓圜呈現負向波動度關係;Bivariate Asymmetric VARMA GARCH模型中,日幣、韓圜呈現正向波動度關係;人民幣、歐元、美元呈現負向波動度;(3)台灣加權股價指數報酬率與匯價報酬率以及台灣電子類股股價指數報酬率與匯價報酬率具有不對稱效果且為雙向關係。
URI: http://hdl.handle.net/11455/21058
其他識別: U0005-0406201212525100
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-0406201212525100
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