個股波動不對稱性之實證研究：以臺灣股票市場為例

An Empirical Study on the Asymmetric Volatility of Individual Stocks: The Case of Taiwan Stock Market

本文研究臺灣股票市場個股報酬波動性之不對稱性，並檢定槓桿效果假說與當期報酬－波動假說何者較能解釋臺股波動的不對稱性。研究其間為1993年到2001年，涵蓋亞洲金融危機前後時期。實證結果為（1）在金融危機前後兩時期，股票報酬波動呈現不對稱性的上市（上櫃）公司分別僅佔樣本的13%（9%）與10%（2%），顯示臺灣股票市場個股波動的不對稱性並非普遍存在，而與目前文獻的研究結果不同。（2）在金融危機前後時期，個股報酬波動的不對稱性並不相同，隱含市場結構性改變影響波動不對稱性的行為。（3）無法支持槓桿效果假說而當期報酬－波動假說有部分的解釋能力。

This study investigates the behavior of the asymmetric volatility of all the individual stocks in Taiwan stock market. The daily data from 1993 to 2001 are used, covering the period of the Asian financial crisis. The empirical results show that only 13% (9%) and 10% (2%) of he listed companies (OTC companies) exhibited asymmetric return volatility before and after the Asian financial crisis, respectively. This result differs from those of current studies on index and individual stocks. Furthermore, it was found that before and after the financial crisis, the volatility asymmetry on the return of individual stock has not been the same. This implies that the structural change of the market did affect asymmetric volatility behavior. Finally, the empirical results do not support leverage effect hypothesis, and the hypothesis proposed by Duffee (1995) can explain the part of the asymmetric volatility behavior.