本文藉由平滑移轉自我迴歸模型的非線性研究方法，於金融海嘯期間，探討對台灣影響力較大的國際股價指數（美國、中國、香港）與台灣加權股價指數間的互動關係，並將解釋變數設定為美國、中國、香港三國股價指數的波動平均。 實證後得出：移轉變數在落階1期時，適用指數函數的平滑移轉模型。三國股價波動平均對台灣加權股價指數報酬率明顯存在一個門檻值，但自變數當中除了香港股價波動對台灣加權股價指數報酬率有顯著的正相關之外，中國以及美國股價波動皆無顯著影響，與現實略有出入。 推測應為台灣與美國有時差之故，故針對美國S&P500股價指數報酬率做了t-1期的調整，並與前次實證做比較。本次實證最適落階期為8，適用羅吉斯函數。函數中明顯存在一門檻值，美、中、港股價指數報酬率對於台股報酬率均為正相關關係，其中以美、港最為顯著。此外，三國股價指數波動平均小於門檻值時，影響力較大於門檻值時來的高。 本研究時證結果推論，資料經時間落階1期(一日)調整後的實證結果較與現實吻合，且研究發現本文所選取國際間三大股價指數報酬對台股報酬呈正向關係影響。 This empirical study conducts nonlinear research method in smooth transition autoregressive model (STAR) to explore the correlation between the influential international stock index and TAIEX , adopting the countries stock indices from US , China and Hong Kong in this study, and taking the average volatility of these three countries stock indices as explanatory variables. The evidence finds that the transitional variable is one period lagged and the exponential smooth transition model is specified for our examination. The result shows there exists one threshold value of the average volatility of these three countries stock indices for the effect of major country’s stock return on Taiwan index return. When the index average volatility is far greater or less than the threshold value, the effect of the explanatory variables influenced on the TAIEX is closely two times the value as index average volatility is equal to the threshold value. Since there is a time difference between Taiwan and US, a one-period (one-day) lagged adjustment of US S&P500 stock index return is necessary. In comparison with previous evidence, the logistic smooth transition model is specified in this lagged adjustment examination and transitional variable is found to be eight period lagged. The result again finds one threshold value in our adjustment model. The final finding is that US, China and Hong Kong’s stock index returns have positive effect on TAIEX return. Furthermore, the influence is much greater as the three countries stock index average volatility is less than threshold value. We conclude that the examination is more precise with one period lagged adjustment, and the three major international stock index returns have positive effect on TAIEX return.
