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Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23093
標題: Stock market volatility of Taiwan : A longitudinal perpective
台灣股市波動性長時間之探討
作者: 謝俊宏
Heieh, Chun-Hung
關鍵字: Egarch model;EGARCH模型;stock market volatility and Taiwan stock market;股市波動性;台灣股市
出版社: 財務金融系所
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摘要: 
This paper discusses the changes of Taiwan stock market volatility and attempts to understand the relation between some variables and stock volatility. We find that the stock market volatility is the largest in the period between 1986 and 1990 and the standard error of Taiwan stock volatility after 1986 is higher than the standard error of Taiwan stock volatility before 1986 regardless of daily or month data. In the whole period, We find that Taiwan stock market exits volatility asymmetry.
Because we want to know what moves the stock market volatility, we sort those variables by three aspects, such as macroeconomic, system and transaction. The empirical results show that authorizing the investment trust to establish and options trading, bring two parties together by computers, the changes of limits and the volume of stock market have effects upon the stock volatility. In the part of macroeconomic, we find the discount rate has the negative effect upon the stock volatility.

本文以EGARCH模型探討台灣股市波動性的變化以及影響的相關因素，研究期間為民國61年至94年。從台灣股市波動性基本統計量中，發現台灣股市在民國75年至民國79年這段期間波動性最大，並且不管在日資料或月資料可以看出在民國75年之後，台灣股市標準差明顯高於民國75年以前。在所研究的整體期間內，台灣股市波動顯著存在不對稱性。
在影響因素則分別由交易面、制度面與總體經濟面，探討影響股市波動性的相關因素。實證結果發現：在開放投信、電腦撮合制度的實施、漲跌幅限制調整、開放選擇權交易與股市成交量對股市波動性有顯著影響。在總體經濟部分，發現貼現率對股市波動性有顯著的負影響。
URI: http://hdl.handle.net/11455/23093
其他識別: U0005-2008200618544000
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