外生衝擊對股價報酬波動的影響

The Impact of External Shocks on the Volatility of Stock Returns: New Evidence from Four Developed Countries

本文以美國、德國、法國及英國的股票市場為研究對象，探討外生衝擊（例如2008年全球金融危機、2019年COVID-19新冠肺炎）對於股市報酬率波動的影響。我們採用無法觀測的項目馬可夫轉換異質模型（the unobserved component Markov switching heteroscedasticity model，UC-MS），以股價報酬率月頻及日頻資料進行實證分析。UC-MS模型的優點是允許我們分解股價報酬率波動的恆常性項目（permanent component）及暫時性項目（transitory component）的高低變異狀態。實證結果顯示，過去歷史重大事件的確會對股市報酬波動幅度產生擴大效果，其中COVID-19新冠肺炎對於股市報酬率波動的暫時性項目及恆常性項目皆造成影響，顯示COVID-19新冠肺炎對股市波動造成的衝擊不僅僅是短暫的風潮（transient fad），亦有恆常的影響效果。平均而言，暫時性項目的高變異狀態持續期間很短，會很快地回復到低變異狀態，而且暫時性項目的變異程度顯著地大於恆常性項目的變異程度。

This paper re-investigates the influences of external shocks from history, e.g., the global financial crisis (GFC) or the coronavirus epidemic 2019 (COVID-19), on the volatility of stock returns of four developed countries. To this end, we employ the unobserved component Markov switching heteroscedasticit model (UC-MS). A merit of the UC-MS model is that it allows us to evaluate the influence of external shocks on the permanent and transitory components of stock returns separately. The empirical results show that, in the US, Germany, France, and the UK, on average the duration of the high-volatility regime of the transitory component is short-lived and speedily reverts to the low-volatility regime. The UC-MS measure of volatility suggests that the COVID-19 pandemic is not only a transient fad, but also the fundamental cause. It impacts the volatility of stock returns in the transitory and permanent components at the same time. The high volatility of stock returns comes mostly from the transitory component of stock returns rather than the permanent component.