台灣股市與美國那斯達克的動態相關性分析

Abstract

世界是平的！全球的經濟脈動，牽一髮而動全身。對台灣股市而言，與美國市場的相關性最為明顯。在本研究論文中，將針對美國科技類股具代表性的那斯達克(NASDAQ)綜合指數、台灣大盤指數(TAIEX)以及台灣電子期貨指數(EXF)進行相關性的研究。本文將運用Robert Engle教授所提出著名的動態條件相關性模型 (DCC, Dynamic Conditional Correlation)來針對台灣與美國指數間連動性做深入的探討。 本文內容將針對美國NASDAQ綜合指數的隔日報酬(daily close-to-close rate of return)是否對於台灣市場具有報酬和波動性的外溢效果(spillover effect)做實證研究。根據實證結果顯示，不管對於TAIEX或是EXF，NASDAQ均具有統計的顯著報酬外溢效果，其中對於台灣市場的隔日報酬影響最為顯著。此外，台灣市場的隔夜報酬(close-to-open rate of return)具有過度反應的現象(overreaction)，因為台灣和美國時差的關係，美國開盤和收盤時台灣並沒有交易，因此，開盤時會受到美國收盤的狀況產生過夜的漲跌反應，但隨著開盤後，國內資訊的影響性凌駕了國外資訊，在交易時間中，會回歸到市場應有的價值水準。本研究將將針對台灣市場的三種報酬率(隔日、隔夜、當日報酬)與美國NASDAQ的隔日報酬做相關性實證。

The world is flat. The world economies link more and more closely recently. For Taiwan stock market, the most influential markets come from the United States. In this research article, NASDAQ, TAIEX (Taiwan Stock Exchange Index) and EXF (Taiwan Electronic Sector Index Futures) are chosen to estimate the correlations. Professor Robert Engle’s DCC (Dynamic Conditional Correlation) model is employed to model the correlations between each two time series. The price changes and volatility spillover effects will also be estimated in this article. By the results, the price changes spillover effects from NASDAQ are all significant to both TAIEX and EXF, and the most significant one is the C2C (close-to-close) return. There might be an overreaction on the open price of Taiwan market to the return of NASDAQ. After the overreaction of open price, the market index was adjusted to the proper price within the trading hours. Finally, a trading strategy is proposed here to put theory into practice. We could possibly trade to gain some profit by the correlation between Taiwan and the United States.