臺灣博碩士論文加值系統

1987年美國股市大崩盤、1992年的英磅大貶值、1997年的亞洲金融風暴等，這些重大的金融事件，都使得各國的股票市場及外匯市場產生巨幅波動，而使得投資人的報酬發生了劇烈變動，投資者在未採取適當的避險下，將產生巨額的損失。
本論文的研究重點在探討股、匯市間報酬率的一階相關性以及利用二階動差來分析一市場間的波動性是如何傳遞到另一市場進而影響到資產報酬率，同時再引入資產間的動態相關係數來補捉相關性會隨著時間波動的特性。籍由動態的補捉到資產的波動性，讓投資者可以利用避險的方式，以降低國際投資組合的風險。
本論文的研究結果發現採用DCC-GARCH模型，的確能驗證出股、匯市之間報酬與波動具有顯著的相互影響關係，而在發生重大國際事件時，股、匯市有一市場產生巨幅波動時，另一市場也明顯的有異常波動的情況，同時市場間的動態相關係數也會隨著波動性的增加而增加。最後，在利用DCC-GARCH模型所估算的避險比率來進行投資組合的避險，結果發現此模型能夠補捉到最多投資組合的波動性風險，因此採取最適的動態避險可以大幅降低投資組合的外匯風險。

Great crash in US security market in 1987, pound stering large devaluing in 1992, Asian financial crisis in 1997, these great financial incidents have produced jumbo fluctuation of security and exchange market in many countries, and made investors incur huge losses if they didn’t adopt proper hedging strategies.

The research focuses on exploring the first moment between security and foreign exchange markets, and analyzing how the fluctuation among one market transmit to another market by second moment methods, and then incorporate the dynamic coefficient correlation model to capture the characteristic of fluctuation with time simultaneously.

The empirical results show that DCC-GARCH model verifies the security and foreign market interaction between return and volatility. While the great international incident happens, one of them has huge fluctuation, it will also make the other one fluctuation ,too. At the same time , the dynamic coefficient correlation will increase with volatility. Besides that, the hedge ratio estimated by DCC-GARCH can capture the most volatility of portfolio. To sum up, adopting the DCC-GARCH model will reduce much foreign exchange risk.

目 錄
中文摘要 I
英文摘要 II
誌謝 II
目錄 IV
表目錄 VI
圖目錄 VII

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究步驟 3
第四節 研究架構 4

第二章 文獻回顧 5
第一節 理論模型 5
第二節 實証模型 8

第三章 研究方法 12
第一節 假設檢定 12
第二節 向量自我迴歸模型 16
第三節 傳統多變量GARCH模型 18
第四節 動態條件相關係數-GARCH模型 20
第五節 避險績效的衡量 23

第四章 實證結果分析 24
第一節 資料來源與處理及一般統計分析 24
第二節 檢定結果 27
第三節 多變量GARCH模型實證結果分析 35
第四節 外匯風險的動態避險 47


第五章 結論與建議 51
第一節 結論 51
第二節 未來研究建議 52

參考文獻 -------------------------------------------------------------------------------------------53
附錄 57

參考文獻
一、中文部份：
1. 王冠閔，黃柏農（2004），台灣股、匯市與美國股市關聯性探討，臺灣經濟預測與政策 中央研究院經濟研究所34 : 2 (2004), 31–72。
2. 方文碩，賴奕豪（2004），匯率風險對出口貿易之衝擊，台灣金融財務季刊 83-101。
3. 李碧純 （1999），股價與匯價非線性關係之探討：以台灣及南韓為例，逢甲大學經濟學研究所碩士論文。
4. 姜淑美，鄭婉秀，邱建良（2003）外資交易行為、股市及匯市動態關係之研究，風險 管理學報5 No.1,.45-64。
5. 殷惠緡（2001），股價與匯價關聯性分析---多變量GARCH模式運用，淡江大學財務金融研究所碩士論文。
6. 張維敉（2002），金融危機與風險外溢－DCC模型之應用，中央大學財務金融研究所碩士論文。

二、英文部份：
1. Adler, M., B. Dumas (1983), "International Portfolio Choice and Corporation Finance: A Synthesis." The Journal of finance, 38, No. 3, 925-984.
2. Aggarwal, R. (1981), "Exchange rates and stock prices: a study of the US capital markets under floating exchange rates." Akron Bus Econ Rev, 12, 7–12.
3. Amihud, Y. (1993), "Exchange Rates and the Valuation of Equity Shares." In Y. Amihud & R. Levich (Eds.) Exchange rates and corporate performance. Homewood: Irwin.
4. Bahmani–Oskooee, M., A. Sohrabian (1992), "Stock prices and the effective exchange rate of the dollar." Applied Economics, 24, 459–464.
5. Bartov, E., G. M. Bondar (1994), "Firm valuation, earnings expectations and the exchange rate exposure effect." Journal of Finance, 49, 1755–1786.
6. Bautista , C. (2003), "Interest Rate-Exchange Rate Dynamics in the Philippines: A DCC Analysis." Applied Economics Letters, 10, No. 2, 107-111.
7. Bodnar, G. M., W. M. Gentry (1993), "Exchange rate exposure and industry characteristics: evidence from Canada, Japan and the US." Journal of International Money and Finance, 12, 29–45.
8. Bollerslev, T., R. Engle, J.M. Wooldridge (1988), "A Capital Asset Pricing Model with Time Varying Covariances." Journal of Political Economy, 96, 116-131.
9. Bollerslev, T. (1990), " Modelling the Coherence in Short run Nominal Exchange Rates: A Multivariate Generalized Approach." Review of Economical Statistics, 72, 498-505.
10. Caporale, G. M., N. Pittis, N. Spagnolo (2002), "Testing for Causality-in-Variance: An Application to the East Asian Markets." International Journal of Finance and Economics, 7, N0. 3, 235-245.
11. Choudhry, T. (2005), "Time-Varying Beta and the Asian Financial Crisis: Evidence from Malaysian and Taiwanese Firms." Pacific-Basin Finance Journal, 13, No. 1, 93-118.
12. Engle, R. (2002), "Dynamic Conditional Correlation: A simple class of Multivariate generalized autoregressive conditional heteroskedasticity models." Journal of Business and Economic Statistics, vol20, 339-350.
13. Engle, R., K. Kroner (1995), "Multivariate Simultaneous Generalized ARCH." Econometric Theory, 11, 122-150.
14. Fang, W. S., Y. H. Lai, S. M. Miller (2005), "Export Promotion through Exchange Rate Policy: Exchange Rate Depreciation or Stabilization?" University of Connecticut, Department of Economics, Working papers 2005.

15. French, K. R., G. W. Schwert, R. F. Stambaugh (1987), "Expected Stock Returns and Volatility." Journal of Financial Economics, 19, No. 1, 3-29.
16. Granger, C. W. J., B. N. Huang, C. W. Yang (2000), "A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from recent Asian Flu." The Quarterly Review of Economics and Finance, 40, 337-354.
17. Grauer, F. L., R.H. Litzenberger, R.E. Stehle (1976), "Sharing Rules in an International Captial Market Under Uncertainty." Journal of Financial Econoics, 3, 223-256.
18. Ikeda, S. (1991), "Arbitrage Asset Pricing under Exchange Risk." Journal of Finance, 46, 447-455.
19. Jorion, P. (1990), "The exchange exposure of US multinational firm." Journal of Business, 63, 331–345.
20. Krugman, P. R., M. Obstfeld (1997), "International Economics: Theory and Policy, 4th ed., Reading:Addison-Wesley Inc."
21. Longin, F., B. Solnik (1995), "Is the Correlation in International Equity Returns Constant: 1960-1990?" Journal of International Money and Finance, 14, 3-26.
22. Miller, S. M., W. S. Fang (2002), "Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis." Working Paper 31, University of Connecticut.
23. Pan, M.S., R.C.W. Fok, Y.A. Liu (2001), "Dynamic Linkages between Exchange Rates and Stock Prices: Evidence from Pacific Rim Countries." Working Paper at College of Business Shippensburg University memo.
24. Shohreh, V. (2004), "Optimal Dynamic Hedging and Conditional Correlations: Moment linkages in the international equity and currency markets." Financial Management Association International, FMA European Conference, June 2-5, 2004, Zurich, Switzerland.

25. Sims, C.A. (1980), "Macroeconomics and Reality." Econometrica, 48, 1-48.
26. Solnik, B. H. (1974), "The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure." The Journal of Finance, 29, No. 2, 365-378.
27. Tse, Y. K. (2000), "A Test for constant correlations in a multivariate GARCH model." Journal of Econometric, 98, 107-127.
28. Williamson, R. (2000), "Exchange Rate Exposure, Competitiveness, and Firm Valuation: Evidence from the World Automotive Industry." Journal of Financial Economics, 21, 441-475.