臺灣博碩士論文加值系統

本研究主要利用全球化向量自我迴歸模型(Global Vector Autoregressive Model, GVAR)以及ㄧ般化衝擊反應探討國際股市及全球共同變數對台灣股價指數與指數報酬波動度之連動關係，研究期間涵蓋2001年1月至2015年2月之月資料。全球共同變數包含美國公債殖利率兩年期與十年期差距、美元指數變動率、布蘭特原油油價變動率、VIX指數變動率以及泰德價差之變動率。由ㄧ般化衝擊反應發現，臺灣股市受到整體國際股市衝擊，當國外股價指數上漲1%時，臺灣股價指數上升0.70%，當國外指數報酬波動增加1%，臺灣指數波動上升0.6%，整體而言臺灣股市並不存在過度反應現象。美國與歐元區股價指數對臺灣股價指數呈正向衝擊，但中國股價指數對臺灣股價指數呈負向衝擊。此外，中國指數報酬波動度對臺灣指數報酬波動產生負向影響，顯示中國股市可能對臺灣股市有吸金的效果。就全球共同變數而言，原油價格波動對臺灣指價指數為正向衝擊，但美元指數波動在短期對臺灣股價指數則有負面影響。短期對臺灣股價指數的衝擊最大的變數是TED價差，而對臺灣指數報酬波動的衝擊最大的變數則是VIX指數。本研究將有助於了解國外經濟金融狀況對臺灣股市的衝擊，提供投資配置及主管機關監理的參考。

Using a Global Vector Autoregressive (GVAR) analysis, this study examines the impacts of international stock market and global common factors on Taiwan stock markets. The sample covers the period from January 2001 to February 2015. Global common factors used in this study includes crude oil price, TED spread, VIX, U.S. Dollar Index and the U.S.Term Structure of Interest Rates. The results show that when the foreign stock index rose 1 percent, Taiwan stock index rose 0.70 percent. This suggests that Taiwan's stock market does not exist overreaction phenomenon. The U.S. and the Eurozone stock index have positive impacts on Taiwan stock index, wheareas China stock index show a negative impact on Taiwan stock index. Hence, China's surging stock market may draw more investors and new funds from Taiwan. On the other hand, crude oil price has a positive impact on the Taiwan stock index, but rising U.S. dollar index has a negative impact on Taiwan's stock return volatility. In addition, the TED spread has the greatest impact on the Taiwan stock index, while VIX index has the greatest impact on the Taiwan’ stock return volatility. This study sheds light on international transmission dynamics of stock price and return voalitliy and provides further insight into investment allocation decision and supervisory authority’s supervision.

致謝辭 ii
論文摘要 iii
ABSTRACT iv
目 次 v
表 次 viii
圖 次 ix
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 5
第二章 全球金融指標 6
第一節 泰德價差（TED spread） 6
第二節 波動度指數（VIX） 7
第三節 原油價格走勢 9
第四節 美國政府公債殖利率走勢 11
第五節 美元匯率走勢 13
第三章 理論背景與文獻探討 15
第一節 報酬的決定因素 15
第二節 股價與股價波動關係 18
第三節 GVAR 模型發展 20
第四章 研究設計 24
第一節 資料來源 24
第二節 變數定義 26
一、國內變數 26
二、國外變數 26
三、共同外生變數 27
第三節 研究流程 28
第四節 研究方法 29
ㄧ﹑GVAR模型 29
二﹑單根檢定 (Unit root tests) 33
三、共整合檢定 35
四﹑診斷檢定 36
五﹑國外變數對國內變數的同期效果 (Contemporaneous effects) 40
六、ㄧ般化衝擊反應 (Generalized Impulse response analysis) 41
第五章 實證結果與分析 42
第一節 敘述統計 42
第二節 單根檢定 45
第三節 落後期選擇、共整合階數及殘差序列相關檢定 48
第四節 弱外生性檢定 49
第五節 結構穩定性檢定 50
第六節 同期效果 52
第七節 橫斷面相依性分析 53
第八節 ㄧ般化衝擊反應 55
ㄧ﹑中國、美國及歐元區股價指數對臺灣股價指數的衝擊 55
二﹑中國、美國及歐元區指數報酬波動度對臺灣股價指數的衝擊 56
三﹑全球經濟變數對臺灣股價指數的衝擊 56
四﹑中國、美國及歐元區股價指數對臺灣指數報酬波動的衝擊 58
五﹑中國、美國及歐元區指數報酬波動對臺灣指數報酬波動的衝擊 59
六﹑全球經濟變數對臺灣指數報酬波動度的衝擊 59
第六章 研究結論與建議 61
第一節 研究結論 61
第二節 研究限制 62
第三節 研究貢獻 63
第四節 對後續研究者的建議 63
參考文獻 65

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