- 作者: 王毓敏; 徐守德
- 作者服務機構: 國立中山大學財務管理學系
- 中文摘要: 本文探討亞洲股市間報酬與波動性的外溢效果,涵蓋日本、新加坡、香港、臺灣和韓國股市,以ARMA(1,1)-GARCH(1,1)模型進行分析,得到以下結論:(1)經由共整合檢定,發現亞洲股市具有共整合的關係。(2)由共整合檢定結果,發現亞洲股市間具有共整合關係。因此,本文將亞洲股市間的長期關係納入考量,研究結果發現亞洲股市間存在報酬的外溢效果,但其影響的方向,則不一致,且影響力也不同;韓國股市報酬外溢效果的影響力最大,股市間長期均衡關係對於日本和臺灣股市報酬,有顯著的影響;新加坡和香港股市報酬問存在回績效果。(3)亞洲股市間存在波動性外溢效果,但其影響的方向,則不一致,且影響力也不同;日本股市波動性外溢效果的影響力最大,但股市波動性間不存在回餚效果。(4)亞洲股市報酬和波動性的外溢效果,在一個月中,即可以完全的調整。
- 英文摘要: This paper examines the retur/n and volatility spillovers among Asian stock markets, including the Japanese, theHong Kong, the Singapore, the Taiwan and the Korean markets. We use ARMA(1,1)-GARCH(1,1)models to investigatethe spillovers between markets and get the following results:(1)There exists cointegrated relationship among Asian stockmarkets from the cointegration test. (2)Because existing cointegrated relationship, we corporate the long-run relation ofAsisn stock markets into the analysis to avoid misspecification problem and find there exists different return spilloversamong Asian stock markets that the greatest return spillovers market is the Korean stock market. The long-run equilibriumrelationship among stock markets has significant effects on the Japanese and Taiwan stock markets' return and there existsreturn feedback effect between the Singapore and Hong Kong stock market. (3)There exists different volatility spilloversamong Asian stock markets and the greatest volatility spillovers market is Japanese stock market. There is no volatilityfeedback effect between Asian stock markets. (4)The return and volatility spillovers among Asian stock markets can befully adjusted in one month.
- 中文關鍵字: 外溢效果; 單根檢定; 共整合檢定; 長期均衡關係; GARCH效果
- 英文關鍵字: spillovers; unit roots test; cointegration test; long-run equilibrium relationship; GARCH effect