PDF《Information Conditions》

人文暨社会科学期刊 第三卷 第一期 民国九十?? Journal of Humanities and Social Sciences, Vol.

3, No. 1, pp. 69-80 (2007)

69 ?对称讯息下台湾股、汇市与美国股市蔓延效果之预测检定 王冠闵 侨光技术学院财务?融系 台中市西屯区侨光?

100 号摘要本文探讨条件变?的?对称性 、 变?结构改变 、 以及?用前瞻性预测检定法 , 在Engle (2002) 动态条件相关(dynamic conditional correction, DCC)系?的观点上,重新检验台湾股、汇市与 美国股市之间的蔓延效果 . ?用 Inclán and Tiao (1994) 建议的叠代?积平方加总运算法 (iterated cumulative sums of squares algorithm, ICSS)检测市场报酬变?的结构性改变,设?虚拟变?, 估计一般化误差分配的EGARCH ( exponential generalized autoregressive conditional heteroscedasticity, EGARCH) 模型 , 以及动态条件相关多变? GARCH (generalized autoregressive conditional heteroscedasticity)模型以估算动态条件相关系?,再?用

1 步预测检定与 N 步预测 检定法检验蔓延效果.实证结果显示,台湾加权股票指?、台币对美元汇?、以及美国?约综 合股价指?可检验出讯息?对称的杠杆效果,1 步与 N 步预测检定结果,检验出相关系?显著 为 正 与 负 的蔓延效果,以及隐含蔓延效果为一长期现象. 关键词:?对称性,蔓延效果,杠杆效果,EGARCH 模型,动态条件相关模型 Forecast Testing for Contagion between the Taiwan, Foreign-Exchange, and US Stock Markets under Asymmetric Information Conditions KUAN-MIN WANG Department of Finance, Overseas Chinese Institute of Technology

100 Chiao Kwang Rd., Taichung, Taiwan 40721, R.O.C. ABSTRACT This research investigates asymmetries in conditional variances and structural changes in variance and also retests the contagion effect between the Taiwan, foreign-exchange, and US stock markets through the use of a forward-forecasting testing method developed by Engle (2002) for dynamic conditional correction (DCC). The iterated cumulative sums of squares (ICSS) algorithm developed by Inclán and Tiao (1994) is used to detect the structural breaks in market return, create dummy variables, estimate the conditional generalized error distribution of an EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model, compute the dynamic conditional correction coefficients of the DCC multivariate GARCH (generalized autoregressive conditional 人文暨社会科学期刊 第三卷 第一期 民国九十??

70 heteroscedasticity) model, and employ both a one-step and an N-step forecast test to check for the contagion effect. The results demonstrate the utility of the asymmetric leverage effect test and also indicate that correction coefficients have significant positive and negative contagion effects;

moreover, these implicit effects are a long-term phenomenon. Key Words: asymmetrically, contagion effect, leverage effect, EGARCH model, DCC model

一、前言 国与国之间基本面的?系途径,大致可分为三种,?融 ?系途径(financial links) 、实质的?系途径(real links) 、 以及政策的?系途径(political links) .?融?系途径?明二 国经济会藉由国际?融体系相互?结(如Clare &

Lekkos, 2000;

Wong, 2000;

Forbes &

Rigobon, 2002) ,实质的?系途 径表示二国之间关系会经由国际贸?等经济基本面相互? 结(如Forbes, 2001;

2002) ,而政策的?系途径则强调由政 策因素相互?结 . 影响国与国之间?系途径或检验国与国之 间?系途径是否存在,通常以验证市场繁衍机制(propagation mechanism)是否存在为基准(如Edwards, 2000;