本文建立一個完整的雙變量EGARCH模型，並以1999年1月5日至2004年8月27日台灣半導體產業上、中、下游各前12名營收編製產業上、中、下游股價加權指數，探討台灣半導體產業上、中、下游股價的報酬與波動之外溢效果。實證結果如下： 一、三者之間不僅受其本身的遞延影響外，也會受到另一市場影響。亦即上游加權股價指數報酬除受到其本身的遞延影響外，也受到中游加權股價指數報酬的遞延影響，其餘兩組之實證結果亦相同。二、至於變異數方程式的估計結果顯示，上、中、下游加權股價指數報酬的波動性明顯存在GARCH效應，這表示兩兩市場間的波動遞延外溢效果明顯。然而此外溢效果除會對自己造成影響外，還會正向的外溢至另一市場。三、波動的不對稱現象除了在中游和下游顯著外，其餘皆不顯著。四、上、中、下游股價指數報酬三者對匯率變動與利率變動的波動性外溢效果的反應程度，以中游股價指數報酬對匯率變動及利率變動反應程度最大，上游股價指數報酬反應程度最小。 By mainly applying bivariate EGARCH model, this paper has demonstrated that the volatility spillovers effect appears in Taiwan’s upper middle and lower stream of semiconductor industry. The daily stock prices in the trading period of five years (1999-2004) have been examined. It is found that reciprocal volatility transmission exists between one to another of these three indexes. As for the return spillover effect, the three indexes show two-way return spillover effects. The conditional return variance of these three indexes have been significantly affected by one-period ahead the conditional variance and residual square which shows a significant GARCH effect. For the volatility transmission effect, two-way effect exists in these three indexes. Empirical results also show that the asymmetric effect does not exist between one to another of these three indexes with an exception of middle and lower stream. These three indexes also reflect reactions with level of exchange rate change and interest rate change, the highest is the middle stream stock return, and the lowest is the upper stream stock return.
