解除外資持股限制對股市及匯市跳躍共移性之影響 : CBP-GARCH模型之應用

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Title:	解除外資持股限制對股市及匯市跳躍共移性之影響 : CBP-GARCH模型之應用
Other Titles:	The effects of foreign capital deregulation on jump intensity co-movement as measured by stock index and exchange rate : a cbp-garch based analysis
Authors:	嚴文亮;Yen, Wen-liang
Contributors:	淡江大學財務金融學系碩士在職專班邱建良;Chiu, Chien-liang;陳玉瓏;Chen, Yu-lung
Keywords:	外資;跳躍強度;一般化自我迴歸異質條件變異數模型;foreign capital;jump intensity;GARCH
Date:	2006
Issue Date:	2010-01-11 01:09:42 (UTC+8)
Abstract:	本研究係以CBP-GARCH模型，探討我國於2000年12月解除外資持股限制前、後，分別對集中市場及櫃檯市場進行實證分析，同時考慮外資買賣超之波動性，以瞭解新台幣匯率報酬率與股價指數報酬率之跳躍行為是否具有差異。集中市場樣本期間為1994年9月1日至2005年12月31日，櫃檯市場樣本期間為1996年7月4日至2005年12月31日。獲致結論為：(1)外資買賣超波動性對四個資料期間之新台幣匯率報酬率及股價指數報酬率並無顯著影響；(2)不論在解除持股限制前、後，二報酬率皆發生跳躍現象，而股價指數報酬率跳躍波動性在解除持股限制後有趨緩現象；(3)在跳躍共移性方面，以集中市場言，解除外資持股限制前、後，二報酬率之跳躍強度均受其本身影響而隨時間變動；櫃檯市場方面，則僅在解除持股限制後才有跳躍共移現象；(4)解除外資持股限制後，二報酬率之波動性外溢效果並不顯著，除櫃檯市場股價指數報酬率外，其他報酬率之跳躍次數則均較解除持股限制前為高，顯示解除持股限制後，外資操作更趨頻繁；(5)解除持股限制後，股價指數報酬率之跳躍強度不受前期報酬率之影響，匯率報酬率則不論是否解除持股限制，均受前期報酬率之影響；不論解除持股限制前後，二報酬率之跳躍強度均受相對報酬率之影響；(6)在集中市場方面，解除持股限制前、後，二報酬率跳躍強度相關係數由正值轉為負值，惟跳躍強度均不一致；櫃檯市場方面，解除持股限制前後，跳躍強度相關係數並無顯著差異。 This study applies the CBP-GARCH model (a) to analyze the Taiwan Security Exchang (TWSE) Market and Over-the-Counter (OTC) market before and after Taiwan’s deregulation of foreign capital in December 2002 and (b) to examine differences caused by the Jump Intensity of returns among the exchange rate of New Taiwan dollars (NT) to US dollars, TWSE index, and OTC index, which fluctuate in response to overbought and oversold transactions involving foreign capital. The research period for the TWSE Market was September 1, 1994 to December 31, 2005; for the OTC, data from July 4, 1996 to December 31, 2005 were analyzed. Results point to six distinct findings: (1) The volatility of overbought and oversold transactions by foreign capital did not significantly influence returns on the NT exchange rate or stock index during the research periods. (2) Jumps were observed in returns both before and after deregulation. Fluctuations in returns on stock indexes, however, were less volatile after deregulation. (3) In the TWSE Market, co-movement jumps occurred among returns before and after deregulation. Over time, changes in intensity were related to co-movement jumps. In the OTC market, co-movement jumps occurred only after deregulation. (4) Following deregulation, spillover effects of returns were not significant in either market. However, jump frequencies were lower in the OTC. (5) Following deregulation, the jump intensity of stock index returns were influenced by preceding daily returns. In contrast, the NT exchange rate return was influenced by preceding daily returns before and after deregulation. Both intensities were influenced by the return of relative variable before and after deregulation. (6) In the post-deregulation TWSE Market, the relative coefficient for both intensities shifted from positive to negative, but intensity was inconsistent. In the OTC, the relative coefficient showed no significant change after deregulation.
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