本文以兩種跳躍-擴散模型ARJI與GARCH-constant jump來探討台灣股票市場及外匯市場在面對兩岸危機事件時所產生的異常跳動狀態與變異反應，經由模型估計出的跳躍頻率與跳躍大小加以印證，兩岸危機事件是否顯著的影響股價指數及匯率，實證結果整理於下： 1.經由Schwarz Criterion與概似比例檢定，結果顯示ARJI模型的配適度較GARCH-constant jump模型為佳。 2.兩岸危機事件使股價指數與匯率發生跳躍的機率增加，且跳躍過程所引發的變異均高過擴散過程，顯示跳躍過程在兩岸危機事件期間的重要性。 3.由跳躍過程所引發的變異顯示，股票市場於兩岸危機事件期間所引發的變異，因受限於交易制度上資券相抵交割交易制度之差異，致集中市場所引發的跳躍變異大於櫃檯市場。 4.匯率在兩岸危機事件期間，跳躍頻率及跳躍大小變異數皆減小，故跳躍頻率及跳躍大小相較於股票市場反應較為緩和。 5.結論建議投資人可以選擇利用衍生性金融商品於兩岸危機事件期間進行避險，以確保投資組合在面臨政治經濟事件的衝擊時，能夠避險減少損失。 關鍵字﹕跳躍-擴散模型、ARJI模型、GARCH-constant jump模型、兩岸危機事件 This paper includes two Jump-diffusion models ARJI and GARCH-constant jump to discuss the abnormal jumping status and irregular reactions when Taiwan stock market and foreign exchange market encounter the cross-strait crisises. Through models jump frequency and jump range are computed to demonstrate if the cross-strait crisises will have prominent influence on stock index and exchange rate, and the results of real practice are stated as following: (1) Certify through Schwarz Criterion and Likelihood Ratio test, it is found that ARJI model fits the data better than GARCH-constant jump model. (2) The cross-strait crisises increase the possibility for stock index and exchange rate to jump. Since variation induced by jumping process is higher than that by diffusion process, the importance of jumping process becomes apparently during the period of the cross-strait crisises. This finding could be provided as a reference for option pricing and hedging strategy of investors. (3) As for the variation induced by jumping process, the stock market jumping variation of main market induced during the cross-strait crisises is higher than that of OTC market. All is because main market has payment and securities netting system. (4) During the cross-strait crisises, the jumping frequency and jumping range variant of exchange rate is decreased. Therefore, the reaction of jumping frequency and jumping rage comparing to stock market is moderate. (5) In conclusion, we suggest investors could hedge by using derivative products during the cross-strait crisises in order to minimize the loss of their investment portfolio when encounter political or economic conflicted events.
