本文針對已開發國家及開發中國家之個別國家進行拋補利率平價理論之分析，並結合Engle and Lee(1993)將股票報酬率之條件變異數分解成恆常要素(permanent or long-run)與短暫要素(transitory or short-run)的模型及Chan and Maheu (2002)的ARJI模型所組合而成之ARJI-Trend模型，探討各國之拋補利率平價對股票市場的影響以及股票市場之日報酬率可能產生之隨時間改變的條件波動率(time-varying conditional volatility)、波動率的要素因子(the component factors of volatility)及跳躍(jumps)等現象，並分析已開發及開發中國家之差異。 實證結果發現，無論已開發國家或開發中國家，拋補利率平價理論皆可能因受到各國央行對其短期利率及匯率採行干預的政策因素影響而無法成立，其次由ARJI-Trend模型估計出來的結果顯示當兩國之間的利率出現差距，將誘使投資者進行利息套利，而使得股票市場報酬受到波動。 此外，各國股價指數報酬率的條件變異數、跳躍強度都是隨時間而變動的，並非固定不變。而隨時間變動的跳躍強度對於各國股價指數報酬率的解釋力都非常顯著，符合資產報酬率的行為。而條件變異數的恆常要素與短暫要素的確存在，已開發國家中的英國及開發中國家的台灣其恆常要素的衝擊效果明顯大於短暫要素，而其餘6個國家股價指數報酬率皆是短暫要素之衝擊效果大於恆常要素的衝擊效果。 In the past, there had been considerable interest in the investigations of whether the covered interest rate parity (CIP) holds or not. The CIP in the macroeconomic level is quite important because it implies that the interest rate, spot and forward exchange rates are related in a particular way. Indeed, their relations affect the capital flow in financial markets significantly. The purpose of this paper is to explore the relations between the permanent and transitory components of deviation from the CIP and stock returns. We apply the ARJI-Trend model which combines component model, proposed by Engle and Lee (1993), and ARJI model, proposed by Chan and Maheu (2002), to capture the daily data of the stock markets in many countries which are separated into developed and developing countries. The result shows that the CIP in our samples is failure to hold because the central banks of each country may try to intervene their short term interest rate and exchange rate levels. Moreover, we found not only the conditional variance and jump frequency are time varying but also the existence of both permanent and transitory components of the conditional variance in the whole sample period. In the meantime, the shock of the permanent component of conditional variance is larger than the temporary component in Taiwan and England stock market.
