匯率波動對臺灣股票市場報酬不對稱性之研究：雙門檻-GARCH模型之應用

An Empirical Study on the Asymmetry of Impact of Exchange Rate Volatility on Taiwan Stock Market Returns: An Application of Double Threshold-GARCH Model

本文是依 Tsay (1989)所提之門檻自我迴歸模型及Glosten, Jaganathan 與Runkle(1993)所提之GJR-GARCH 模型之想法，提出一個雙門檻-GARCH 模型探討台灣加權股價指數報酬與匯率間的波動關係，且以匯率波動的正負值作為門檻，其研究資料期間是採用1998 年1 月5 日到2005 年12 月29 日的台灣加權股價指數與臺幣兌美元匯率的資料。而由實證結果顯示AR(1)-雙門檻-GRACH(1，1)模型對探討匯率波動對於股票市場報酬的影響是合適的，且反應出台灣股票市場是具有不對稱效果。而由實證結果也顯示匯率波動將負面影響股票市場報酬，且也反應在匯率波動為正負值時，將影響股票市場報酬波動的變異風險，此也反應出雙門檻-GARCH 模型是比傳統之GARCH 與GJR-GARCH 模型較有解釋能力。

This paper uses the idea of threshold auto-regression model (Tsay, 1989) and the idea of GJR-GARCH model (Glosten, Jaganathan and Runkleafter, 1993) to propose a double-threshold-GARCH model to study the relationships of the Taiwan stock return and exchange rate volatility, using the positive and negative values of the exchange rate volatility rates as the threshold. The study period is from January 1998 to December 2005. Empirical result shows that the affects of exchange rate volatility and Taiwan stock market return can be captured by an AR(1)-double threshold-GARCH(1,1) model. This model also shows the asymmetrical effects of the Taiwan stock market returns. Empirical analyses also indicate that the exchange rate volatility will negatively affect the stock market returns. The positive and negative of exchange rate volatility will affect the variation risk of stock return volatility. Proposed model is better than the traditional models of GARCH and GJR-GARCH.