臺灣博碩士論文加值系統

本研究以2000 年1 月3 日至2008 年9 月30 日之匯率、國際油價與臺灣股價指數資料，探討匯率及國際油價之變動率與臺灣股價指數報酬的連動情形。因考慮臺灣股票市場可能具有不對稱性，本文採用GARCH（1,1）及EGARCH（1,1）模型進行分析並比較此兩模型的預測效果。實證結果顯示，匯率變動與臺灣股價指數報酬為負相關，且其連動情形是高度顯著的；油價變動與臺灣股價指數報酬為正相關，但其連動影響並不顯著。另外，EGARCH（1,1）模型預測效果優於GARCH（1,1）模型，表示臺灣股票市場具有不對稱性。這些結果可建議股市投資人或國際基金經理人，在研擬臺灣股票市場投資決策時，需評估匯率及國際油價變動對臺灣股票市場之連動風險及其相關性；也提供有關管理當局於施行穩定股票市場政策時，不可忽略外在因素波動行為的影響效果，否則將達不到預期的效果。

This research focuses on analyzing the association among exchange rate, global oil prices and Taiwan stock index returns ranging from January 1, 2000 to September 30, 2008. The real diagnosis result shows that such an association among them can be analyzed based on GARCH(1,1) and EGARCH(1,1) models. The real diagnosis result also depicts that the relationship among global oil prices, exchange rate and Taiwan stock index returns is asymmetric. Using the EGARCH(1,1) model to analyze the relationship is therefore more effective in forecasting the stock index compared to using the GARCH(1,1) model. Meanwhile, the diagnosis illustrates that the relationship between oil prices and Taiwan stock index returns is positive but with less mutual influence whereas the one between exchange rate and Taiwan stock index returns is negative but with high mutual influence. The above mentioned evidences in this research can suggest that stock market investors or international fund managers need to assess the related risk conducted by the global oil prices and exchange rate when making Taiwan stock investment policies. Additionally, the government authority may not neglect the influence caused by the external volatility when the stock market is stable. Otherwise, the anticipated goal may not be achieved.

中文摘要 ……………………………………………………………………………i
英文摘要……………………………………………………………………………ii
誌謝…………………………………………………………………………………iii
目錄 …………………………………………………………………………………iv
表目錄………………………………………………………………………………vi
圖目錄………………………………………………………………………………vii
第一章 緒論…………………………………………………………………………1
第一節 研究背景與動機 ……………………………………………………1
第二節 研究目的 ……………………………………………………………3
第三節 研究流程 ………………………………………………………………4
第二章 文獻探討………………………………………………………………… 6
第一節 匯率變動與股市指數報酬連動相關文獻……………………………6
第二節 國際油價與股市指數報酬連動相關文獻……………………………9
第三章 理論模型與研究方法…………………………………………………12
第一節 定態與單根檢定……………………………………………………12
壹、定態………………………………………………………12
貳、單根檢定…………………………………………………14
叁、最適落後期數……………………………………………16
第二節Granger 因果關係檢定………………………………………………17
第三節 ARCH 檢定與GARCH 模型………………………………………18
壹、ARCH 檢定…………………………………………………19
貳、GARCH 模型…………………………………………………21
第四節 條件變異數不對稱檢定……………………………………………22
第五節 EGARCH 模型及預測表現評估…………………………………26
壹、EGARCH 模型………………………………………………26
貳、預測表現評估………………………………………………27
第四章 實證結果分析……………………………………………………………30
第一節 實證樣本與資料處理………………………………………………30
壹、報酬率之計算………………………………………………31
貳、基本統計量分析……………………………………………36
第二節 定態及單根檢定……………………………………………………39
第三節 因果關係檢定………………………………………………………41
第四節 ARCH 及條件變異數不對稱檢定…………………………………42
壹、ARCH 檢定……………………………………………………42
貳、條件變異數不對稱檢定……………………………………44
第五節 GARCH 及EGARCH 模型實證結果………………………………46
壹、GARCH 模型實證結果………………………………………46
貳、EGARCH 模型實證結果……………………………………48
叁、GARCH 及EGARCH 模型實證結果比較……………………50
第五章 結論與建議 ………………………………………………………………52
第一節 結論…………………………………………………………………52
第二節 建議…………………………………………………………………53
參考文獻……………………………………………………………………………54

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