實證結果顯示兩市場前期期貨報酬均對現貨報酬有顯著的正向影響，且現貨報酬彼此間具有雙向的反向外溢效果；另外，在變異數方程式方面，對於前期非預期的自我波動因子，兩市場皆表現出正向的顯著關係，倘若市場產生重大消息衝擊時，好壞消息對兩市場現貨報酬均呈現出不對稱的影響關係，亦即表示負面消息對股市的衝擊將較正面消息來得大。在波動外溢效果的部份，摩臺股價指數報酬波動會受到臺灣股價指數前期非預期波動正向影響，反之則不成立。此外，進行模型配適檢測後，其結果顯示本文模型配適合宜。最後，希冀本文之實證結果能提供市場參與者，有更深入的了解與認知。 This paper adopts the Nelson (1991) bivariate EGARCH model to study the difference of price limits between Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and Singapore MSCI Taiwan Index that has significant effects on market returns and volatility. Return spillover, volatility spillover, and asymmetry effects of good and bad news are also being exanimate. Certain crucial elements of US stock and bond markets are also included in the model to study the behaviors of both markets. All of variables are collected from the Systex information and Bloomberg system, and the daily data are from July 21, 1998 to Nov. 21, 2008.
The empirical results reveal that the futures returns of previous period have a significant positive effect on spot market returns in both countries. Furthermore, a negatively two-way relationship of returns spillover in two countries has also been found. The effect of an event on the market of two countries in terms of unexpected volatility is positive. It is also found that the impacts of an event on the market are asymmetric, bad news have greater impacts on stock market than good news in both countries. And the volatility of MSCI Taiwan Index return is affected by the unexpected volatility TAIEX return of previous period, not vice versa. After a thorough examination, checking and collaboration of the model, it is found that the model is well suited in the study. Finally, I wish the results of this paper may offer the market .participants with further knowledge.