臺灣博碩士論文加值系統

本研究主要探討臺股現貨指數、匯率與外資等三變數之日、月報酬率或變動率關聯性並探討受到訊息衝擊下，其波動不對稱、均數反轉形態與過度反應，本文發展三變量模型並比較三種GARCH族模型之預測模擬能力。實證結果發現：
1.在平均數方面，除月資料VAR VS GARCH模型外，其餘模型實證結果均顯示，外資變動 領先股、匯市。
2.日資料三變數均有波動不對稱反轉的現象，月資料匯率亦有波動不對稱反轉的現象。
3.日、月資料均顯示三變數有均數不對稱反轉的現象，日資料VAR ANST GARCH-M模型實證結果隱含外資買賣超變動短期間有過度反應。
4.模型模擬預測評估結果，顯示VAR ANST GARCH-M模型預測能力比較好。

關鍵詞：股價指數、匯率、外資、ANST GARCH、過度反應

A Study on the Relationships , Asymmetric Volatility Switching and Mean Reverting Property for Stock Price Index, Exchange Rate and Foreign Capitals in Taiwan：An Application of Multivariate VAR ANST GARCH-M Model

ABSTRACT:
The purposes of this study is to explore relationships among stock price index , exchange rate and foreign capitals in Taiwan and to detect whether these markets exist asymmetric volatility switching and asymmetric mean reverting property or not .To achieve this purpose in this research, the multivariate GARCH models which include the asymmetric nonlinear smooth transition（anst）GARCH-M procedure are applied to obtain empirical evidence.

The results of this research are shown as follows：
1. In conditional mean equations ,besides VAR VS GARCH monthly model, the empirical evidences of other models have shown, the change of the foreign capitals leads to the stock price index and exchange rate to change. It implies that foreign capitals may be thought as the role of price discovery.
2. In daily data, the evidences of VAR VS GARCH model have shown all of these three conditional variances have the asymmetric volatility switching effects on them. In the situation of monthly data, the volatility behavior of exchange rate has the same effects on it, except stock price index and exchange rate.
3. Base on the empirical evidences of VAR ANST GARCH-M model, it indicates that all of these three conditional means have asymmetric mean reverting behavior, and it implies that foreign capitals has overreactions in daily data.
4. In the assessment of the establish model, in this research it shows that the VAR ANST GARCH-M model have the best forecasting ability .

Keyword：Stock Price Index, Exchange Rate, Foreign Capitals, ANST GARCH, Overreaction

目錄
表目錄 II
圖目錄 IV
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究方法與步驟 6
第四節 研究對象與資料來源 8
第五節 論文架構 10
第貳章 台灣股、匯市與外人投資概況分析 12
第一節 台灣股、匯市與外人投資之概況 12
第二節 台灣股市、外資與匯率之情勢變化 17
第三節 本章小結 20
第叁章 理論基礎與文獻回顧 26
第一節 理論基礎 26
第二節 文獻探討 33
第三節 本章綜論 42
第肆章 基本模型與相關計量方法 44
第一節 基本模型建構之相關理論 44
第二節 檢定相關計量方法 56
第伍章 實証結果與分析 72
第一節 資料描述 72
第二節 資料檢定之結果與分析 87
第三節 向量自我迴歸（VAR）模型之建立 97
第四節 VAR GARCH模型建構與實證結果分析 102
第五節 VAR VS GARCH模型建構與實證結果分析 120
第六節 VAR ANST GARCH－M模型建構與實證結果分析 139
第七節 模型預測績效評估 163
第八節 本章綜論 166
第陸章 結論與建議 171
第一節 結論 171
第二節 建議 174
參考文獻 176

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