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標題: The Study of the Sensitivity between Stock Market and Foreign Exchange Market in Taiwan - The Application of Bivariate BEKK Asymmetric GARCH Model
台灣股市與匯市的敏感性之研究 ─ 應用Bivariate BEKK Asymmetric GARCH模型
作者: Hsu, Chia-Kai
關鍵字: BEKK Asymmtric GARCH 模型;BEKK Asymmetric GARCH model;敏感性;非對稱效果;sensitivity;asymmetric effect
出版社: 企業管理學系所
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The relationship between stock markets and foreign exchange markets is much closer due to the globalization and foreign capital allowance, and therefore to understand relationship between stock markets and foreign exchange markets is helpful to both companies and investors on investment and hedge. In the past financial sensitivity studies, the relationship between variables and between volatility of variables are often discussed together, but the BEKK Asymmetric GARCH model is used rarely. The past studies indicated that BEKK Asymmetric GARCH model were better than EGARH model on capturing the effect of news on volatility, and that BEKK Asymmetric GARCH model was suitable for capturing volatility of Taiwan stock market and Taiwan foreign exchange market. Consequently. This study applies BEKK Asymmetric GARCH model to explore the sensitivity between stock returns and foreign exchange returns in Taiwan. The findings of this study are as follow: (1) USD, EU, JPY and CNY exchange return have negative impact on Taiwan stock exchange capitalization weighted stock return; (2) USD, EU, and CNY exchange return have negative impact on Taiwan electronics stock return; (3) Taiwan Electronics Stock Return has negative impact on EU exchange return; (4) The volatility transmission between stock return and foreign exchange return is bi-directional; (5) The volatilities of stock market and foreign exchange market have asymmetric effect respectively; (6) The news of stock market has significant impact on volatility of foreign exchange market, and the news of foreign exchange market has significant impact on volatility of stock market.

在全球化以及外資逐漸開放下,股市與匯市的相互關係越來越密切,因此瞭解股市與匯市間的關係,對於企業及投資者在投資及避險上都有相當的幫助。過去金融相關文獻在探討變數間的敏感性時,經常同時探討變數間的相互關係以及其波動度間的相互關係,而在國外及本國內的相關文獻中較少以BEKK Asymmetric GARCH模型來探討股市與匯市間的敏感性。根據過去文獻中發現,BEKK Asymmetric GARCH模型在捕捉訊息衝擊上是優於EGARCH模型,且BEKK Asymmetric GARCH模型能適切的捕捉台灣股市與匯市波動度,因此本研究使用BEKK Asymmetric GARCH模型,探討台灣股價報酬率與匯價報酬率間的敏感性。實證結果發現:(1)美元、歐元、日圓及人民幣匯價報酬率皆分別對台灣加權股價之股價報酬率具有負向影響;(2)美元、歐元及人民幣匯價報酬率皆分別對台灣電子類股之股價報酬率具有負向影響;(3)台灣電子類股之股價報酬率對歐元匯價報酬率具有負向影響;(4)本研究之股價報酬率對匯價報酬率的波動度具有顯著影響,且匯價報酬率對股價報酬率同樣有顯著影響;(5)股價報酬率與匯價報酬率兩者的波動度皆分別具有非對稱效果;(6)股價報酬率的訊息對匯價報酬率波動度的影響具有顯著的非對稱效果,且匯價報酬率的訊息對股價報酬率波動度的影響同樣具有顯著的非對稱效果。
其他識別: U0005-0606201212262200
Appears in Collections:企業管理學系所

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