美元波動對臺灣機電類股票報酬之動態關聯性分析：雙變數IGARCH模型之應用

Dynamic Associated Analysis of U.S. Dollars Volatility on the Taiwan Mechanical and Electric Category Stock Price Returns: Using the Bivariate IGARCH Model

本文以2001年1月2日至2006年12月29日之機電類股價與台幣兌美元之匯率資料，探討台幣兌美元之匯率波動對台灣機電類股票市場的關聯性與其模型之建構。實證結果得知，台幣兌美元之匯率與其股票兩市場之相互影響可建構在動態條件相關之雙變數IGARCH(1,1)模式上來分析它。實證結果分析也得知，兩市場之動態條件相關係數平均估計值為（平均值）ρ(下標 t) =-0.1767，顯示台幣之匯率波動是負向影響台灣機電類股票市場報酬。實證結果分析也顯示，台灣機電類股價市場報酬波動與台幣匯率波動是未具有不對稱性現象。基於Engle(2002)之文章，動態條件相關之雙變數IGARCH(1,1)模型是比非動態條件相關之雙變數GARCH(1,1)模型具有解釋能力。這些證據可建議股市投資人或國際基金經理人，在投資股票決策之評估時，需考慮匯率波動的風險及其關聯性。

This paper studies the relatedness and the model construction of exchange rate volatility and the Mechanical and Electric Category stock price returns for the period from January 2001 to December 2006. Empirical results show that the relatedness of exchange volatility and Mechanical and Electric Category stock prices, we can construct a bivariate IGARCH(1, 1) model with a dynamic conditional correlation (DCC) to analyze them. The average estimation value of the DCC coefficient for these two markets equals to (average)ρ(subscript t) =-0.1767, and this result indicates that the exchange rate volatility negatively affects the Mechanical and Electric Category stock price returns. Empirical results also show that they do not have the asymmetrical effect for the Mechanical and Electric Category stock price returns and the exchange rate volatility. Based on the paper of Engle (2002), the bivariate IGARCH(1, 1) model with a DCC has the explanation ability compared to the bivariate GARCH(1, 1) model with a non-DCC. The evidence suggests that stock market investors or international found managers in stock market with the evaluation of the stock investment decision before, they also need to consider the risk of exchange volatility and the relationship between stock and foreign exchange markets.