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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/55481


    Title: 美國與台灣總體經濟訊息對台灣現貨與期貨市場之影響與不對稱波動傳遞之現象
    Other Titles: The Impacts of US and Taiwan Macroeconomic Information on the Asymmetric Volatility Transmission in Taiwan Stock and Futures Markets
    Authors: 李文雄;陳君達;陳志鈞
    Contributors: 淡江大學企業管理學系
    Keywords: GJR-GARCH 模型;總體經濟訊息宣告;現貨市場;期貨市場;GJR-GARCH model;Macroeconomic information announcement;Futures market;Stock market
    Date: 2007-07-31
    Issue Date: 2011-08-22 21:58:51 (UTC+8)
    Publisher: 臺北市:東海大學管理學院
    Abstract: 本文昌在探討當美國與台灣定期之總體經濟訊息宣告對台灣金融市場之衝擊,利用雙變量GJR-GARCH 模型來檢視台灣加權股價指數期貨與現貨市場日報酬率之波動在受訊息影響後是否具有不對稱性現象,一併檢視台灣現貨與期貨市場間之交主動態關{系。實證結果顯示台灣現貨報酬之日變動領先期貨報酬,二市場的報酬率波動存在波動群眾的現象,且二市場報酬波動不對稱的現象會相互影響。在總體經濟訊息室佈反應方面,美國除工業生產訊息公佈對台灣期貨與現貨報酬有顯著影響外,其他變數對報酬率波動的影響方面皆不顯著。男外,美國股市對台灣期貨與現貨市場存有顯著的報酬波動傳導效果,但美國股市的波動對台灣期貨的波動現象較具解釋力。因此,台灣的投資人除了必須觀察圍內的經濟變動外,更應掌握美國經濟與股市的走向,正確解讀美國經濟指標變化所透露的訊息,致能領先市場一步,以規避風險並獲取超額報酬。
    This study examines the impacts of US and Taiwan microeconomics information announcements on Taiwan's fmancial markets via bivariate GJR-GARCH model. We also investigate the dynamic relationship between T AlEX and T AlEX futures. The results indicate that the return of stock index lead the return of index futures. There are volatility clustering of returns and asymmetric volatility within stock and futures returns. Moreover, only few U.S. and Taiwan's macroeconomic information announcements do increase the return in Taiwan financial markets. There are return transmission effects from U.S. stock markets to Taiwan's stock and futures markets. However, the U.S. stock return volatilities do have explanation power in Taiwan's futures markets. The investors in Taiwan hence have to observe the domestic economic variations and the trends of U.S. stock market and economy in order to avoid investment loss and then obtain excess profits.
    Relation: 東海管理評論 9(1),頁65-90
    Appears in Collections:[Graduate Institute & Department of Business Administration] Journal Article

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