匯率對內需概念股股價的波動性分析; The Volatility Analysis of Exchange Rate and Domestic Stocks

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题名:	匯率對內需概念股股價的波動性分析;The Volatility Analysis of Exchange Rate and Domestic Stocks
作者:	葉憲之;Hsien-Chih Yeh
贡献者:	產業經濟研究所
关键词:	內需概念股;波動性分析;Volatility Analysis;Domestic Stocks
日期:	2011-07-27
上传时间:	2012-01-05 15:08:21 (UTC+8)
摘要:	本文章將利用一般自我相關回歸條件異質變異模型(GARCH)探討內需概念股股價與匯率波動率之間的波動的群聚現象，即是否匯率市場的大波動會伴隨內需類股的大波動，匯率市場的小波動，會造成內需類股的小波動，此外，將利用Granger causality test確立四種內需概念股的總合與個別報酬率，對匯率波動率的因果關係。 The dynamics relations between exchange rate and stock price have been concerned by many economists. Exchange rate and stock prices are indeed on the impact of a country’s economic development. The relationship between exchange rate and stock prices are often used to predict future trends among their own. In an open economy, the forecast relative currency values affect the overall domestic economic variables. First ,this article will use the co-integration analysis to verify the concept of domestic-oriented stock prices and exchange rates in Taiwan which having long-run existence of the phenomenon of co-integration. If there’s no long-run co-integration relationship. We will use Generalized AutoRegressive Conditional Heteroskedasticity model(GARCH) and Granger causality test to capture the causality between rate of return of each current domestic-oriented stocks and current exchange rate’s volatility. That is ,changing in exchange rate market will affect the domestic-oriented stock price.
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