Long-term Volatility Trend of Taiwan Stock Market: the Analysis from Market、Industry and Firm-level Volatility

Abstract

According to Campbell et al.(2001), this paper uses a disaggregated approach to study trend variation of market volatility, industry volatility, and firm volatility in Taiwan Stock Market. This paper analyzes stock trends from 1971 to 2008 in Taiwan. Past literatures just analyzed firm-level volatility, they stressed the increasing trends in firm-level volatility. Also considered the relationship between business cycle and volatility. I analyze particular from market volatility, industry volatility and firm-level volatility. In addition, I analyze different events and discuss the risks. Like oil crisis, local financial crisis or financial tsunami, I try to understand the magnitude of voliatility. I also consider prediction power of volatility from ratio of foreign investors and book-to-market. The empirical result is increasing trend in firm-level volatility. When economic recessions, market volatility is only increasing. But industry volatility and firm-level volatility is not increasing. This result is different from past literatures, I explain that economic recessions is not increasing in risk. The three volatilities can predict GDP growth、ratio of foreign investors and book-to-market. But the three volatilities can not predict future industry output. In oil crisis, industry volatility is the largest. I explain oil price to affect related industry. In 1998, local financial crisis affect the largest change in firm-level volatility. I illustrate local firms damage seriously. American subprime in 2007 and financial tsunami in 2008, the three volatilities all change a lot.

本文利用Campbell et al.(2001)所提出的分解法(disaggregated approach)，去探討台灣上市公司在市場波動、產業波動及公司波動的趨勢變化。本文使用台灣股市自1971年到2008年的波動做分析。 過去文獻都針對公司波動作分析，強調公司波動上升的趨勢。另外也考慮景氣循環與波動之間的關係。故本文不但對市場波動、產業波動與公司波動分別做分析，以了解波動變化的程度。像是石油危機、本土金融風暴或是金融海嘯，分析波動變化的程度。本文也考慮波動對外資比例、帳面市值比等經濟因子的預測力。 本文的實證結果為台灣股市的公司波動有上升的趨勢。景氣衰退時，只有公司波動增加。產業波動與公司波動並沒有上升的趨勢。這點與過去文獻不同，表示景氣衰退時，風險不一定會增加。公司波動、產業波動與公司波動都可以預測GDP成長、外資比例與帳面市值比。但是無法預測未來產業產出。在石油危機中，發現產業波動的變化最大。表示石油價格波動會顯著影響相關產業營運。1998年的本土金融風暴對公司波動影響最大，表示本國公司受到重大影響。2007年的美國次級房貸與2008年的金融海嘯，對台灣股市的影響很大。發現市場波動、產業波動與公司波動都受到很大影響。