台灣與美國股票市場之動態連結

Abstract

本文主要是研究分析美國股市對台灣股市的影響效果，並探討其動態條件關係。以美國的Dow Jones、Nasdaq、S&P 500指數以及台灣股價加權指數的日資料為分析對象，研究期間從1995年7月19日至2007年12月31日。使用GARCH(1,1)-MA(1)的兩階段估計，可以得到美國對台灣股市的價格及波動外溢效果；應用Engle(2002)提出的動態條件相關係數(Dynamic Conditional Correlation, DCC)模型，估計兩市場的動態條件關係。實證結果發現：第一，美國股市對台灣的價格外溢效果有逐漸上升的趨勢。第二，台灣股市的隔夜報酬受到美國價格的影響最深，且台灣的開盤價格有過度反映的現象。第三，美國股市對台灣的波動外溢效果在亞洲金融風暴時期影響最大。第四，兩市場的動態條件關係在亞洲金融風暴後有逐漸上揚的趨勢。

This paper investigates the impact from the US on Taiwan stock market and the dynamic correlation between these two markets. Dow Jones, Nasdaq, S&P 500 and TAIEX daily data from 1995/7/19 to 2007/12/31 are used for analysis. We use the two-step estimation of GARCH(1,1)-MA(1) to gain the price and volatility spillover effect from the US to Taiwan, and dynamic conditional correlation (DCC) model of Engle. The empirical results are obtained as follows: First, the price spillover effect from the US to Taiwan rise gradually. Second, the close-to-open return is the most influenced by U.S. and the open price of Taiwan has the phenomena of overreaction. Third, the volatility spillover effect from the US to Taiwan during Asian crisis is the biggest. Fourth, the dynamic conditional correlation between these two markets has the rising trend after Asian crisis.