本文藉由雙變量EGARCH模型探討金融海嘯前後台灣地區股票報酬率與匯率變動之間的相互依存關係，資料期間為1/4/2004 到 10/31/2013，共有2442個交易日期，資料來源為台灣經濟新報（TEJ）資料庫。 實證結果顯示在金融海嘯前後由匯率變動到股票報酬率的波動性外溢效果是確實存在的，但由股票報酬率到匯率變動波動性外溢效果卻沒有證據顯示是存在的，另外我們也發現波動性外溢效果在金融海嘯之後有降低的現象。 關鍵字：EGARCH、波動性外溢效果、金融海嘯 This paper is to investigate the interdependence of stock returns and exchange rate changes in Taiwan around Financial Tsunami using a bivariate EGARCH model. The sample period spans from 1/4/2004 to 10/31/2013. We use 2442 daily datum from Taiwan Economy Journal (TEJ) database. The empirical result shows that the volatility spillovers do exist from exchange rate changes to stock returns in Taiwan around Financial Tsunami. No evidence is found of volatility spillovers from stock returns to exchange rate changes. But we also found that the volatility spillovers effect from exchange rate changes to stock returns is reduced after Financial Tsunami. Keywords: EGARCH, volatility spillovers effect, Financial Tsunami
