NASDAQ股市對於台灣股市報酬率與波動性的影響

Abstract

本文資料擷取從民國八十六年八月十號至八十九年三月三十一號為止，以股票指數日報酬率，探討nasdaq綜合指數、nasdaq電腦類指數、以及nasdaq-100指數對於台灣上市、上櫃大盤以及電子類指數報酬率與波動性的影響，並且依據台灣股市的表現，分為多頭、空頭行情，研究不同波段行情下nasdaq市場報酬率對於台股報酬率與波動性的影響程度，必輔以假日效果探討之。研究方法使用AR-GARCH(1，1)模型，並利用單根檢定、Ljung-Box Q檢定(變異數序列相關檢定)、AIC準則、LM檢定來決定模型的階數與配適性。實證結果發現：(1)不論nasdaq綜合指數、nasdaq電腦類指數、nasdaq-100指數報酬率對於台股都具有顯著正面影響力；(2)就台股報酬率而論，nasdaq綜合類股指數對台股的影響最大；(3)就台股波動性而論，nasdaq電腦類股對台股的影響力最大；(4)在台股空頭時期nasdaq對於台股的影響力大於在台股多頭時期；(5)nasdaq的負面消息對於台股波動性的影響較正面消息為大，且在台股空頭時期的效果大於多頭時期；(6)假日效果對於台股的報酬率影響不大，但是對於台股的波動性則有顯著影響，而且在空頭行情下影響力大於在多頭行情下。

This paper used daily stock return data form Aug.10 1996 to Mar.31 2000•We hope to investigate the effect of nasdaq stock return on the Taiwan stock return and volatility of stock return • In the study，Nasdaq stock index include nasdaq composite index、nasdaq computer index、and nasdaq-100 index；And Taiwan stock index include Taiwan Stock Exchange and Over-the-Counter Stock market and electronic index•To find how Taiwan.stock market impacted by nasdaq•By AR-GARCH(1,1) model、unit roots test、 Ljung-Box Q test、LM test，and AIC method•We can find that：(1)All kind of nasdaq index had positive relationship with taiwan stock index；(2)For return of Taiwan stock index，nasdaq composite index was more influence on taiwan stock index (3)For volatility of stock return，nasdaq computer index had more influence on Taiwan stock index； (4)nasdaq had more influence on Taiwan stock when Taiwan in the bear market；(5)The bad news of nasdaq were more powerful when Taiwan in the bear market•