台灣本身是一個對外貿易依存度相當高的國家，經濟活動以國際貿易為主，如果我貿易出口國的經濟情況有變化時，也會影響到我國。而美國是全球經濟的領導國家，其經濟的枯榮攸關著全球景氣狀況。而且美國亦為我國第一大的出口市場，對我國經濟有重大的影響。因此本論文選用雙變量EGARCH模型分析探討美國NASDAQ指數與台灣電子類股股市間波動外溢與不對稱之關連性，以分析兩國股市間之資訊傳遞效果，以期提供台灣之投資人於投資及避險之參考。實證結果整理如下： 1.臺灣各類股指數與美國NASDAQ指數的報酬條件變異數皆顯著地受到前一期 條 件變異數與殘差平方項的影響，表示有明顯的GARCH效果，即前期股市波動越大時，當期也會存在較高的波動。2.在報酬的外溢效果方面，除了NASDAQ與通訊類股和NASDAQ與印刷電路板類股，這兩組是NASDAQ單向的對台灣二個市場有影響外，其他四組樣本皆顯示台灣各類股指數與NASDAQ有雙向的報酬外溢的效果。3.就波動性傳導效果而言，台灣電子類股和積體電路類股對NASDAQ有雙向的交互波動傳遞效果外，其他光電、通訊與印刷電路板類股指數皆顯示只有單方面受美國波動的影響，且NASDAQ對台灣各類股指數之波動的傳遞普遍皆具有不對稱的效果。4.實證的結果顯示，除了軟體產業類股指數外，NASDAQ與其他類股皆有不對稱的效果。5.本研究中也發現，在模型的配適上，以雙變量GJR模型為較佳。 This study examines volatility transmission correlation between Taiwan’s electric stocks and U.S.’s NASDAQ with electronic, integrated circuit(IC), optoelectronics, communication, PCB and software categories by using bi-variate EGARCH model and GJR model. We furthermore separately explore the spill-over volatility and asymmetric effect. The empirical results are as follows： 1.The conditional return variance of electronic sectors in both Taiwan and NASDAQ have been significantly affected by one-period ahead the conditional variance and residual square which shows a significant GARCH effect, i.e. a larger one-period ahead volatility followed a current- period larger volatility.2.As for the return spillover effect, the communication and PCB sectors are the only one category to show one-way NASDAQ to Taiwan effect. Never the less, the other four sets shows two-way return spillover effects.3.For the volatility transmission effect, two-way effect exists in electronic and IC sectors between Taiwan and NASDAQ. Optoelectronics, communication and PCB sectors shows only one-way NASDAQ-led effect. However, NASDAQ overwhelmingly presents asymmetric volatility effect on all sets of Taiwan. 4. Empirical result also shows that a asymmetric effect exists between NASDAQ and all sectors with an exception of software industry sector. 4.We also found that the bi-variant GJR model shows the best fitting capacity among all model.
