股票市場的報酬與波動性外溢效果之探討--以亞洲地區為例

The Study of Spillover Effect between Return and Volatility on Stock Markets--The Case of Asia Area

本文主要探討美國、日本、台灣、新加坡、南韓、香港、與中國大陸股票市場的報酬與波動性外溢效果。實證結果發現，亞洲六國股票市場皆顯著受到美國股票市場之影響；此外，日本股票市場亦受到新加坡、中國大陸股票市場之影響；台灣股票市場亦受到新加坡、香港股票市場之影響；新加坡股票市場亦受到日本、南韓、香港股票市場之影響；南韓股票市場亦受到日本、新加坡股票市場之影響；香港股票市場亦受到日本、台灣、新加坡股票市場之影響。而本文進一步使用馬可夫狀態轉換模型將美國股票市場區分為高波動狀態與低波動狀態，來分析各國股票市場的報酬與波動性外溢效果。其實證結果發現，在高波動狀態時，亞洲六國股票市場之研究結果皆極為類似。在低波動狀態時，中國大陸股票市場顯著受到日本股票市場之影響。綜合上述，本文發現亞洲六國股票市場的報酬與波動性皆顯著受到美國股票市場的報酬與波動性之影響，且皆呈現正向關係。

This article discusses the spillover effect of return and volatility of the US， Japan， Singapore， Korea， Hong Kong and the China stock markets. We approved that the six Asian countries stock markets all would be affected by the US stock market， no matter depend on GARCH model or GJR-GARCH model. Besides， the Japan stock market would also be affected by Singapore and China stock markets; the Taiwan stock market would also be affected by Singapore and Hong Kong stock markets; the Singapore stock market would also be affected by Japan， Korea and Hong Kong stock markets; the Korea stock market would also be affected by Japan and Singapore stock markets; the Hong Kong stock market would also be affected by Japan， Taiwan and Singapore stock markets.Furthermore， we had separated US stock market to high volatility state and low volatility state by Markov regime-switching model， and analysis the spillover effect of return and volatility of different countries. The result is that when in the high volatility state， there goes almost the same way in the experiment result of the stock market between the six countries. When in the low volatility state， there also goes the same way no matter depend on GARCH model or GJR-GARCH model， except that there is a slightly different in China. Finally， in addition to the above， the return and volatility on the six Asian countries stock markets are significantly being affected by the return and volatility on the US stock market， and they appear positive correlation.