本研究利用GARCH模型，探討自2010年至2016年，歐元及英鎊匯率波動對台灣加權股價指數之股票現貨市場大盤指數報酬風險的傳遞分析。實證結果台灣加權股價指數受歐元及英鎊匯率前一天報酬為負向統計顯著效果；歐元前一天報酬效果為-0.196程度大於英鎊為-0.281。

The study adopted GARCH model to investigate the return and risk transmission effect of EURO Dollar and Pound Exchange Rate to Taiwan Stock Market, in the period of 2010 to 2016. The empirical results indicate the return of EURO Dollar and Pound Exchange Rate influence the stock markets of Taiwan significantly. The influence of EURO Dollar Exchange Rate on the stock markets of Taiwan is more than Pound Exchange Rate negatively.

摘要 I
ABSTRACT II
誌 謝 III
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究限制 3
第三節 研究流程 4
第二章 文獻回顧 5
第三章 研究方法 9
第一節 ADF單根檢定 9
第二節 因果關係 11
第三節 共整合檢定 13
第四節 ARCH檢定 15
第五節 GARCH模型 17
第四章 實證結果與分析 18
第一節 ADF單根檢定 18
第二節 因果關係檢定 22
第三節 共整合檢定 23
第四節 ARCH檢定 24
第五節 AR-GARCH模型實證結果 25
第五章 結論 27
第一節 結論 27
附錄 31

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