台灣股票及外匯市場價量線性與非線性因果關係之探討

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(1)«É$ £Õ− Òg¾(4DÝ(4Ä‹É[5«n. ÏDQ ‰½×ç%ÈÍ 40744 «2 a·–«2Â˜ú¨ 181 U TEL: 886-4-23590121 ext. 2922 FAX: 886-4-23590702 Email:schen@mail.thu.edu.tw. Ï?Q ‰½×ç%ÈÍ. April 10, 2004. 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(2) ¿b A*¬ÅþÉHÇá, Ñß@À¢ ÒÅÒ“í0äã¼, BÅ\µñ™¹ü 7À¢Aâ“ ÅÒ“J£ «ÉAÑ=ØÐ«2-, Ä7[ ÕAI’, =ª„‰ ÒíÅÒ“, Åq%È£À¢ê í¿£ZM¥Ø ÓOÕAI’Åq$ ’ÀíÓ‹, ‹,I’6ª?%âÕ− ÒªWf Ô, Ä¤$ £Õ− Ò5Èíšª?æÊó àíÉ[, 7g¾5ÈíÉ[u…dFÉ-í ‡æ Ñ7nj$ − 5Èª?æÊíGÉ[, BbílSàÖ‰¾ABc¦_, J Granger (4Ä‹É[ì¶ªW«n Î¤5Õ, 1yªø¥Sà Hiemstra and Jones FT|íÝ(4 Granger Ä‹É[ì, e«É©n$ − g¾Èª?æÊíÝ(4GÉ[ õ„!‹êÛ: « É$ − g£>q¾5È ZæÊO(4Ä‹É[, 7ÊÝ(4Ä‹É[jÞ, †u− A>¾ä l$ A>¾, 7$ A>¾D$ Ñ{0æÊ¥—É[, $ Ñ{0äl−0‰0 Ou%¬š æ”4|c5(, BbêÛÝ(4Ä‹É[.+æÊ, wª?ŸÄu«É$− g¾ÈÝ(4Ä‹É[ uâš4ˇ^‹FÄ. ÉœÈ: $ Ò Õ− Ò (4£Ý(4 Granger Ä‹É[BDS ì JEL }éHU: C12, G1. 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(3) 1 ‡k CÉË–%Èñ”˘küÇ[%È, úÕüqYæÝò, /ÊÀ¢=1nÇ[5Ò, À¢ Ò5Aâ“DÅÒ“˛AÑ0ä3¼, Ñ¤, \¡V? ”^ZóÉÀ¢dı¸Ç[…ÅÀ¢ Ò, 7¤øÇ[4\µ, øÓOÕAI’Åq$ ’ÀíÓ‹, J£ÅAúÕÅÀ¢’ßíI’, U)« ÉDwF®Å5%ÈBVBkc¯, Ä¤FÅí’ß Ò (à$ Ò£Õ− Ò) 5ÈíÉ[?y ‹ò~, °øÅðqí®’ßgíš?ª?ó à ÌOU)Åq$ Ò¸Õ− Òy‹ 'ò!¯ $ ÒígÊÀ¢º2rÆO½bíiH, Ìu*ÅðêCu*$“Õ’íiVõ, $ gíš} à’ßº0í8”; u]$ ÒgšDwF%ÈºíÉ:4, øòuç6F É·íuæ 1973 ÓáRŠñÍÄá, 0ä®ÅÕÕZSª−0, −0íguâ Ò5XÛ‰ ¾Fu°²ì, 71jur7¼¦5ŒÞ, «ÉúÕüq53b>qŒÞ?J1jÑlgÀP, Ä¤, h «Þú1j−05ší.üì4ò, ú«ÉíÀ¢ ÒDüqß“í àÿ× ‹,«É¡V íÀ¢Aâ£r7“, ’À£I’A…Mn±Q, U)ÕAI’íœ}£<èÓ‹, ×¾Õ’í¼p ø‚Åq’… Òí|, U)$ g,Ùª7=U%Èõ•; óúí, Jøï¥<Õ’ˇÍ‚| v,. 1. øÄøÅ‚0Ês‚q},¯, %âH^‹U)$ g-, ‚02M, Ä%ÈÁîÝB. «¢ * 1980 Hí…1¹íÅÒ`·œ 1994 4aëíÀ¢·œ D 1997 =¹À¢êˇ·u ÄÑIœ’À¼, Ä−0š, ª7 à$ Ò, Ä]-·œ …díû˝ñí¹Ê«nÕ− Ò£$ Ò5ÈíÉ:4, BbÔ‡úÕ− Ò£$ Òí g¾É[ªWn J%¬ ÅqÕd.ú¥<‰bÈíÄ‹É[×ÖJ(4_ªW«n, Í7 Brock, Hsieh, and Lebaron (1991) £ Hsieh (1991) , „õ$ Ñ{0xÝ(4íGÉ[, Jones (1992) ?„õ>q¾xÝ(44” Î7‰bABóÉGÑÝ(4Õ, $gD>q¾È?ª?æ ÊOÝ(4Ä‹É[ ¡k¤, …û˝ø‚à Granger (4Ä‹É[ì¶J£ Hiemstra and Jones (1994) FT|íÝ(4 Granger Ä‹É[ì¶, û˝$g $ >q¾ −0D− >q¾û 1 Õ’}Ñú, }u ÕAòQI’ÕA„‰I’ £ ÕAwFI’. øOF‚íÏÂ, Níu ÕA„‰I’. 3 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(4) _‰bÈíÉ:4, tOš$ − 5Èª?æÊíGÉ[ Bb°v;W’eÔ4Z GARCH(p, q) £ EGARCH(p, q) _, |c®‰bª?æÊíšæ”4(, yªWÄ‹É[ì ¬ d.Ö‡ú$ íg¾É[ªWn, ºýn− Èíg¾É[, 7/×·Õ2Àø Ò í‰bn ÿ¶}F Òín, ccÉn¶}‰bíóÉ4, ýATF ÒírÞ4É [ì …dÎ7«nÀø Òqíg¾É[5Õ, °vyªø¥úF Òíg¾É[ªW}& …dí-Zu}Ñü, Î…‡kÕ, ùÑd.è, úÜ…díõ„j¶, ¨(4 Granger Ä‹É[ì£Ý(4 Granger Ä‹É[ì ûnõ„!‹, üÑ!. 2 d.è g¾É[øòu‹£%Èç6¿>Eí‡æ, óÉíû˝?.(Ô, ÍÄû˝úïí.°£ Uàíû˝j¶.°, 7bÍ.°í! ¥6u…í‰v˝.«íí]5ø rÖÜªàV j„Ékg¾íÉ[, …dðu·H‰bÈíÄ‹É[, ]°‚óÉ4ø.ÖÅH 2 ¬ ç6íõ„û ˝, „õ$ Ñ{íšD>q¾ÈüõæÊOF‚óÉíÄ‹É[, ‡ú¤ÛïT|®.°í%È Ü£_VªWj„, ccÜà-. 2.1 Üd. Copeland (1976), Jennings, Starks, and Fellingham (1981) í åm7ƒ®_(sequential information arrival model) wÑ$ Ñ{0D>q¾5È, ˛¤æÊO£²íÄ‹É[ Ê.ú˚ m7í_4-, çhm7ªp Ò°v, ø¶}íI’6ø¦³¤m71T|¥@, 1øm7f]BÇ ø¶}I’6, ¥ºf]¥@, òƒFI’6·Ëm7/T|óÉ¥@ /Äm7Øà¬˙xå 4, Ä¤, Ê|m7k}´Ð5-íêrÌ©‡, }øås Ì© 6âk¤’ef]íÔ4, U)g (¾) ívÍ’eú¾ (g) ã¿?‰ Lakonishok and Smidt (1989) wÑ>qu´{˘?} à$ Ñ{0D>q¾ÈíÉ[ ÊÔ ì‹}l‚È, −£{˘í>qœD’…‚)£¸Üí|7vœu77óÉí .−£{˘í>q 2 °‚óÉ4íÜA”OwóÉ4uN¬ú‰bíÈQ à,. 7¥¶}uÌ¶„õší, ]‡4œ×. 4 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(5) œ†¨¢ò (window dressing) I’ ¯½. (portfolio rebalancing) £¥²ÍT (contra-. ian strategies) âk−£{˘D´í>qœ à, ç‚í>q¾}D¬ $ g‰ßÞÉ: ç>qœ−£{˘v, $ Ñ{šD>q¾5Èu×ÛŠóÉí °Ü, ç>qœ.−£{˘v, $ Ñ{šD>q¾5Èu×Û£óÉí Clark (1973) £ Epps and Epps (1976) †T| ¹¯}º_(the mixture of distributions models), 1T|ç‚$ Ñ{0D>q¾×Û£óÉí.°j„ Ê Epps and Epps (1976) í¹ ¯}º_2, ©çhm7¼p Òv, I’6}ú™íÓ-2êÔ4’ßí\GgMT^£, Í^ £j²1Ýø_7}F}t, Ä¤ßÞÏæ, 7Ïæí˙†ªà>q¾ªJàV·H uJ, çI ’6í}t×v, >q¾†}× ¤_wÑ>q¾D$ Ñ{í"úM£²Ä‹É[ Çøj Þ Clark (1973) ø¹¯}º_, e>q¾Ñ©¾m7¼§ (speed of information flow) íHÜ‰b, ?¹°v à>q¾D$ Ñ{íu°àÊÄä (latent common factor) Ê Clark (1973) u°àÊÄä_2, >q¾ú$ Ñ{³püíÄ‹É[ |( Æm>q6_ (noise trader model), ªàVj„$ Ñ{0D>q¾ÈíÄ‹É[, ¤_ªJj„Å s‚,¯Ñ{0 (aggregate stock returns) åóÉÔ4íÏæ ÊÅ‚v, , ¯Ñ{0}Š²íåóÉ, Os‚v, º£²íåóÉ ÄÑ, Æm>q6í>qÝ !k%È !…Þ, Ês‚È, }f]s í˜Ï,gB$g, OÅ‚-, ¥<s 4˜Ï,g}¾Ü, U$gÑ {ßÞÌb+ (mean reversion) íÛï uJ>q¾ú$ Ñ{0£²Ä‹É[, 4ÄkÆm> q6íµI à$g‰FÄ, ÇÕ, Æm>q6í£²¥— (positive feedback) >qµI, U) $ Ñ{0ú>q¾£²Ä‹É[, ÄÑÆm>q6¦u¡5¬ $g•‘V²ì>qµIí 3. 2.2 õ„d. $ g¾û˝|oªJN Osborne (1959) T|$ g¾Èx/É:íçÜ, õ„,†â Godfrey, Granger and Morbenstern (1963) «à>Œm$}&¶ (cross-spectral method), }&Ò „»>q2- (NYSE) F êÛ$gNbD>q¾1ÌéOÉ[, Í Ying (1966) ZJ−ª “N 3 ¡5. Delong, Shleifer, Summers, and Waldmann (1990). 5 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(6) b (S&P500) D NYSE íA>¾Ñû˝úï, ºêÛg¾5ÈüõæÊø<óÉ4 òB Granger (1969) ABóÉä³_1T|(4Ä‹É[ì(, çäà×B£, ¤ìª˜àJ,ñ‰ bÈíÄ‹É[, J¤TÑ!íóÉô.û˝A§ê, çÍ6¨$ g¾íõ„û˝ à Rogalski (1978) J Granger Ä‹ìú 10 $ £w˛„~’eT«n, êÛ$gDA>¾æÊ£ó É (´ Copeland (1976) £ JennigsStark and Felligham (1981) †øÿõ[ÊA>¾D" úÑ{0, Harris (1986) †ú 1976 B 1977 í 479 $ ’eTg¾}&, !‹êÛ$ g¾üõ æÊ£óÉ Smirlock and Stark (1988) †u}& 1981 6 ~ 15 nB 8 ~ 21 È S&P500 2 300 ðt−5Œìtµ£M°>q’e, êÛ$g‰5"úMDA>¾xÂ²Ä‹É[ Åq†Ï‰ p (1991) Ï¯_ (1993) ÌêÛ«É$ g¾xÂ²Ä‹É[ ÖÍ Granger Ä‹É[ìÊ´Ð‰bÈí(4Ä‹É[.˜íì‰, OÊj„Ý(4É[ v, †Ié.— ÄÛõ2rÖgCA>¾íˇÍšu(4É[FÌ¶j„í 7 Brock, Hsieh and LeBaron (1991) , Hsieh (1991) £ Jones (1992) ?}„õ7$ Ñ{0£A>¾xÝ(4 óÉ Brock (1993) êÛ.°>qˇñÈ, $gš4£>q¾šíÉ: Campbell, Grossman and Wang (1993) N|$gÑ{íABóÉu>q¾íÝ(4ƒb, /õ„!‹êÛ$gÑ{íA BóÉ}Ó>q¾íÓ‹7]Á Ñ7yüí·H’e4”£‰bÈíÝ(4É[, Gallant, Rossi and Tauchen (1992) ‚àÝ(4§U¥@ƒb (nonlinear impulse response function), }& S&P500 NbÑ{D NYSE >q¾, êÛÑ{0úA>¾xälÉ[ 7( Baek and Brock (1992) ‚àóÉ }ê|øPÌ‚bì¶, àkê¨øOf$(4 $lìFÌ¶´Ðím7 ( Hiemstra and Jones (1994) ø Baek and Brock (1992) _ ‹^Z, 1!¯ Granger Ä‹É[ì, wT¶ulø‰b (4c¦_, y‚àf$ Granger Ä‹É[ìg¾Èí(4Ä‹É[, 1øg¾(4d_F)í{ÏªW Baek and Brock Ì‚ b5Ý(4ì, !‹êÛ, s‚È, $ Ñ{0úA>¾í‰0·xÀ²í(4Ä‹É[, /g¾ ·xÂ²Ý(4Ä‹É[ Åq†˜¯l (1996) ªW(4DÝ(4 Granger Ä‹É[õ„û˝, !‹êÛÌu_$ ß “£ ÒÅ‚È·æÊO(4£Ý(4Â²Ä‹É[ rÌœ ôdY (1997) ª7}*Ñ{0DA 6 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(7) >¾ Ñ{0DA>¾‰0VìÄ‹É[, õ„!‹uÑ{0DA>¾CA>¾‰0·x(4 £Ý(4Â²Ä‹É[ ŠïÒ (1996) †‡úÀ¢$, ‚à Granger Ä‹É[ì Sims ì, ªW (4ì, 1J Baek and Brock j¶ìÝ(4¶}, ú«É$ ‹Nb£A>¾íÉ:Tõ„ ì, !‹êÛ, Ìu(4CÝ(4ì·uÉgÀ² à¾, ¾†Ì¶ àg ¤ìj¶u !kÌ‚b$lj¶, „úš…}ºT9‡í3hqì, Ä¤x U4 (robustness) íÔ4 6Ä¤ Hiemstra and Jones (1994) íd., \J(,ñC‹çðTÑÏ2, Ébu ªW,ñC‹‰bÄ‹É[«níd.·}ùà¤ì¶, ×¶}EuÿÀ¢ Òíg¾T«n, y ¶}ç6Ø×«nF Òíû˝ Wà: Õ2 ÒDçå Òíg¾É[ $gNb‚ŒDÛŒg íÉ: w˛„D™í$ ÈíÄ‹É[ .ß’ßD$ ÒíÉ:, Ébuç6wÑª? Cuí‡æ·uû˝í{æ .¬'ýd.u‚à¤¶V«n$− íg¾É[, ÖÍ¬ 'Öû˝uó]1„õ− £$ Èx/<É:, Í×ÖuO½k−0D$ g, s ÒÈgúgí à, 7I¾ú¾ Cu/ø ÒígúÇø Òí¾í à Frank and Young (1972) uí¹«n$ gD−0É[íû˝d, !‹êÛs‹‰¾Èu .óÉí Aggarwal (1981) «Ø1j−0‰D$gNb‰Èí©É[, !‹êÛ$gD1j gM×Û£óÉ, /¤É[Ês‚í^‹ªÊÅ‚V)# Soenen and Hanniger (1988) †uêÛ $gD1jgM×Û'#íŠóÉ, Íçyªø¥J.°‚È}&v, êÛÊ$gí½hìgéOí Š²§U Ajayi and Mougoue (1996) †êÛçÅq,$gÓ‹v, úÅqí¦ŒgMs‚íŠ²É[, Ä¦Œ2M, OÅ‚†¥7u£²É[, 6ÿuÅq,$gÓ‹v, }Ä¦Œ¯M, Í7, ¦Œ2M úÅqí$ Òs‚íŠ² à‰ Yu (1997) û˝îÂ ‰@£h‹í$gNbD−0, !‹êÛ, ÊîÂ£‰@, −0‰}äl $g‰, 7h‹†Ì¤É[, 7Ê$g‰äl−0‰íÉ[, É‰@uéOí, 6ÿuÊ‰@, −0‰D$g‰ÿÂ²í¥—Ä‹É[ Issam S.A Abdalla and Victor Murinde (1997) @ àuc¯}&}úÑ!g œÚ p ûÅí$ gDõ”^−0ÈíÅ‚É[d« 7 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(8) n, Fbíõ„!ÑÑ!g£œÚí$ gDõ”^−0È1ÌÅ‚É[, O¸p ü õÅ‚É[ Fb?‚àøO Granger Ä‹É[ìV}&Ñ!gDœÚí$ gDõ”^ −0ÈíÄ‹É[, êÛÑ!gDœÚí−0äl$ g, !k¸p $ gDõ”^ −0ÈÅ‚É[, †u‚àÏÏ^£_V«n¤sÅí$ gD−0íÄ‹É[, êÛu− 0äl$ g, p †uó¥, u$ gäl−0 Granger, Hung and Yang (2000) ú=¹øu _ÅðªW$ gD−0É[ªW«n, úï uîÂ n… œÚ − h‹ «É ïVa= p œÅ õ„!‹êÛ: Ên…£œÅ, −0 u£óÉäl$ g, ¥5«Éu$ gŠóÉäl−0, uh‹†u.óÉ, wF†×ÛÂ²í ¥—É[ Ong and Izan (1999) êÛnÆ£¶p‰ím7}Êûr‚(k}¥@Ê1Å$ Ñ{ ,, ¤!‹<âO1Åí$ Ò£−0 ÒóÉ˙íÉ:, FbRiøÅí¦Œ2M}Ä$ Ñ{íÓ‹, 7¦Œ¯M?óúí^‹, }Ä$ Ñ{íÁý Åq¶}’‰ (1997) õ„!‹XM−0ú$gæÊÀ²íÄ‹É[ „dŠ Ïı (1998) } J«Þ5õ”^−0NbD«Þf1j5−0s −0í~Ì’e, «nw®A¸«ÉêW¾ ‹$gNb5ÈíÄ‹É[, 1°vSà Granger D Hsiao sÄ‹ìj¶, õ„!‹êÛ, « Þf1j−0D$gNb5ÈæÊOÂ²íÄ‹É[ SLë (1998) «nÕ− Òšú$ ÒF ßÞ5 à, õ„!‹êÛ, −0D$gpéxŠ²‰É[ |=~ (2000) «n−0‰D$g‰ É[, ¹s65Èíj²D àÉ[Õ, 1°vJ.°5Ö‰¾ GARCH _V«n$ Ñ{ D−gÑ{5ó àÉ[ yJÀ¢êˇÑÔì9K, ªW®ä‚È¶}&, õ„!‹êÛ)ø− D$ Ñ{‰Dš1ÌÂ² àÉ[, OÔì9K5êÞ , àÀ¢êˇ, }U)s ÒÑ{05 ‰£šxéO5Â² àÉ[. 3 õ„j¶. Bbíl ø_ABc¦²¾ä³_ (vector autoregressive model, ŸA VAR), øF ’eÈí(4É[Î, Í(øF)í{ÏUà BDS ìªWÝ(4É[ì, |(yªWÝ(4í 8 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(9) Ä‹ì, Ììj¶ÊJ-TªíÜ BDS ìu‚àÌ‚b¶VìåóÉ4£u´xÝ(4í!Z, ç}&,ñ£‹óÉÓœ vÈåv, püíÝ(4GÉ[£ã$Ü@àËóç˜ â Anderson, Arrrow and Pines (1988) £ Brock (1988) ídíÇwê−, QO Brock, Dechert and Scheinkman (1987) q l|Ì‚b¶ìvÈå’eíÝ(4G_, (¢% Brock, Dechert, Sheinkman and Lebaron (1996) yªø¥ZG7A BDS ì ¤ìu k Gressberger and Procaccia (1983) Fê|íóÉ }í–1, àJ–}ã$ íüì4CuÓœÍ$, lJ }íì2à-: I xt Ñøìb¾, âøœ0òƒb f FÓœßÞ|í vÈå, $Aø m &ä³ (m-histories) , x tm = (xt , xt+1 , ..., xt+m−1 ) #ìøÔì m &íóÉ }5là-: Cm.t (ε) = 2. Tm−1. Tm. ∑ ∑. t=1 s=t+1. Iε (xtm , xsm )/(Tm (Tm−1 )). 2 Tm = T − m + 1, Iε (xtm , xsm ) uøN™ƒb (indicator function)    1 à‹kxtm − xsm k ≤ ε, m m Iε (xt , xs ) =   0 wF8”. kxtm − xsm k =. max. i=0,1,...,m−1. |xt+i − xs+i | < ε. (1). (2) (3). Ä¤, óÉ }u¿¾ÊÔì m &-, ss’eÈíÏÊük ε 2F ¯íª0 T ‚vÈåí BDS $l¾ì2à-: 1. BDSm,T (ε) = T 2 [Cm,T (ε) − C1,T (ε)]/σm,T (ε). (4). 2 T uš…b, ε uL<²ìíHÜ¡b, σm,T (ε) †Ñú@Ôì m &-íš…™ÄÏ, BDS ì, ÿu‚à’eÊ m ‚È, Aú’e5ÏükÔì ε ¸ˇqxˇíÔ4, ªJš|’eF¿R5Ý ÓœíG 4 4 f$ªW BDS ìv, .â9l'si4íY$lÜ²ì¶M¡b, Í7¥ª?²à7._çí¡bM, 7 à7 ì‰ uJ, AT|ZG, Ê²ì¡bvÝsi4²ìø_bM, 7uîhË²Ïø–È, é’eAÐ²ì²àœ7í¡b M, øì?‰TB|òíø_bM Ì¬˙~¡5: Evzen Kocenda (2003). 9 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(10) k}&‰bÈís‚É[ (à−0D$ Ñ{0ÈíÉ[), øOÿ$lòglú‰blóÉ[b ä³, 7jwóÉ˙(yªø¥TGÉ[}&, Ou, óÉ[bcªø‰bÈí(4óÉ˙, 7 Ì¶*5«°‰bÈíG5 à˜É[ (6ÿu¨ø_‰bl‰, ª7ù–Çø‰bí), Ñ¤, B b@à Granger Ä‹É[ì íl, Bbl ø VAR _: Xt = Yt =. n1. n2. i=1 n3. i=1 n4. i=1. i=1. ∑ α1i Xt−i + ∑ α2i Yt−i + UX,t , ∑ β1i Xt−i + ∑ β2i Yt−i + UY,t,. t = 1, 2, ....,. (5). 2 Xt , Yt [Bbk«nís‰b, n1 , n2 , n3 , n4 u]ô‚b, 7c¦ÏÏ UX,t D UY,t ˛¤Èó Ö 1¯¯ÌbÑÉ ‰æ ìíÌø}º ÑìÊ(4!Z-, Yt ú Xt u´xÃ Granger Ä‹É[, ªUà:¯ì, e Yt ¬ ím 7ú Xt u´éOã¿?‰, ™ÌcqÑ H0 : Yt Ì¶Ãû_ Xt , ?¹ α21 = α22 = ... = α2n2 = 0, ‚à:¯ìŒ α2i (i = 1, 2, .., n2 ) u´Ý°vÑÉ, à‹u, 6ÿu‡" Yt Ì¶Ãû_ Xt í™ Ìcq, ¹ Yt ¬ ím7úÛÊ Xt xã¿?‰ (Yt ⇒ Xt ) °Ü, ç β 1i (i = 1, 2, .., n3 ) .r¶Ñ Év, [ Xt ¬ ím7úÛÊ Yt xã¿?‰ (Xt ⇒ Yt ), 7ç α2i £ β 1i îÝ°v.ækÉv, [ ý Xt , Yt æÊÂ²Ä‹É[ (Xt ⇔ Yt ) (bidirectional causality or feedback) 7J%«ns‰bÈ5Ä‹É[cÌk(4, ÍõÒ,%È‰b%%uÝ(4íÉ[, Ñ¤Bb lªW,HFT5 BDS ì, ìw‰bÈüõEæÊÝ(4É[ fnçJ(4ì‰bÉ[v I7Ý(4É[7±Qwã¿?‰ Brock (1991) T|ø_ÀíÂ‰¾Ý(4_Vzp, f$í (4Ä‹É[ì (à Granger ì) øÌ¶´Ð‰bÈÝ(4íã¿?‰, FUàí_à-: Xt = βYt−L · Xt−M + et. (6). 2 Yt D et ˛¤Ö /_* i.i.d N(0, 1) 5vÈå β ì2Ñ¡b, L, M †ì2Ñ]ô‚b à‹Yf$(4Ä‹É[ì, †ABóÉ£>ŒáÉ[bøÑÉ, Ä7ø˜ÏËJÑ Xt D Yt ÈÌ] ôGÉ[, Í79õu Xt D Yt ívÍMxóÉ4v, ?¹ Yt ¬ m7í‹pŒkT¯ Xt í ã¿?‰ ÑN£wÏ, Baek and Brock (1992) T|J-íÝ(4É[ì, J¿|¥Ý(4É 10 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(11) [ Baek and Brock (1992) T|Ì‚b$l¶Vj„f$(4Ä‹É[ìFÌ¶´ýíÝ(4Ä ‹É[ Fbíj¶‚àxvÈ4”í˛Èœ0¡b–óÉ } (correlation-integral) V·HvÈå ÈíÉ[, J¤j¶üõêÛŒÞ£F)5È (Baek and Brock, 1992), ,$ Ñ{0 (aggregate stock returns) D,ñbÖ (macroeconomic factors) È (Hiemstra and Kramer, 1993), Þß6 £R»ÓgNbÈ (Jaditz and Jones, 1992) xÝ(4Ä‹É[ Ê¤BbøÅH Baek and Brock (1992) ìÝ(4Ä‹É[íj¶, FbàVðÝ(4Ä ‹É[íj¶uô. BDS ì, ‚àÌ‚b$l¶˛Èœ0¡b–óÉ }HvÈå}& Denker and Keller (1983) „p: úø_Ã ì (certain strictly stationary) £ÿóÉ¬˙ (weakly dependent process) wóÉ }¡buø_ ( ì) í âŸì2, [ýÿóÉ¬˙éýåÈíó É4«¢í§óç0us‚óY (Denker and Keller (1983, 505-507)), âJ,˛ÈóY (spatial dependence) –1, øf$ìÃ Granger Ä‹É[íì2ZŸÑìÝ(4É[íì2 5 ?svÈå X, Y x,HsÔ4: (1) ø_Ã ì£ (2) ÿóÉ¬˙, w2 m Ñ‰b X íäl‚ Ly. Lx , Y b, L }[ýÑ‰b X, Y ír(‚b, uJ, Xtm Ñ Xt 5 m ‚äl²¾, Xt−Lx t−Ly }Ñ Xt. ¸ Yt 5rb L x , Ly 5²¾, Xtm ≡ (Xt , Xt+1 , Xt+2 , ..., Xt+m−1 ). (7). Lx ≡ (Xt , Xt+1 , Xt+2 , ..., Xt−Lx ) Xt−Lx. (8). Ly. Yt−Ly ≡ (Xt , Xt+1 , Xt+2 , ..., Xt−Ly ). (9). Ê#ì m M-, J£ L x , Ly ≥ 1 ¸ e > 0, J, Y ú X ÌÄ‹É[, † Ly Ly Lx Lx Pr kXtm − Xsm k < e | kXt−Lx − Xs−Lx k < e, kYt−Ly − Ys−Ly k < e. Lx Lx k < e}, − Xs−Lx = Pr{kXtm − Xsm k < e | kXt−Lx. (10). ,2, Pr() 2ì2Ñœ0, 7 k · k [ý|×ÏÏ¸b (maximum norm) 2U˝i[ý, Ê° Ly. Ly. Lx Lx ²¾}¾ (component) È|××J£ Yt−Ly D Ys−Ly ²¾}¾È|× D Xs−Lx v#ì Xt−Lx. 11 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(12) ×Ìük e ím7-, ã¿ Xtm D Xsm }¾È|××ük e í‘Kœ0; U¬i[ý, Ê#ì Lx Lx ²¾}¾È|××ük e ím7-, ã¿ Xtm D Xsm }¾È|××ük e í‘K D Xs−Lx Xt−Lx. œ0 Ä¤ç,.A v, [ý‹p Y ‰b]ôMím7} àú X ‰bíã¿, †ªe Y Ñ Ä7û_ X Ñ‹, ?¹[ý X , Y s‰bÈÝ(4Ä‹É[ ÑjZTÜ,Bb‚àó«ìÜ Pr(A | B) = Pr(A ∩ B)/Pr(B), øw‘Kœ0í$Z ŸÑóú5:¯œ0íªMJ C1(m + Lx, Ly, e)/C2(Lx, Ly, e) £ C3(m + Lx, e)/C4(Lx, e), } ì2Ñ2U˝¬iFú@5:¯œ0íªM, J-Ñ:¯œ0ì2: Ly. Ly. m+Lx m+Lx C1(m + Lx, Ly, e) ≡ Pr(kXt−Lx − Xs−Lx k < e, kYt−Ly − Ys−Ly k < e), Ly. Ly. Lx Lx C2(Lx, Ly, e) ≡ Pr(kXt−Lx − Xs−Lx k < e, kYt−Ly − Ys−Ly k < e), m+Lx Lx C3(m + Lx, e) ≡ Pr(kXt−Lx − Xs−Lx k < e), Ly. Ly. C4(Lx, e) ≡ Pr(kYt−Ly − Ys−Ly k < e).. (11). Í(Ê#ì m M-, J£ L x , Ly ≥ 1 ¸ e > 0 øÝ(4Ä‹‘KZŸÑ-: C1(m + Lx, Ly, e) C3(m + Lx, e) = , C2(Lx, Ly, e) C4(Lx, e). (12). QO, Baek and Brock (1992) û|óÉ },lH,H:¯œ0, [ýà-: C1(m + Lx, Ly, e, n) ≡ C2(Lx, Ly, e, n) ≡ C3(m + Lx, e, n) ≡ C4(Lx, e, n) ≡. 2 Ly Ly m+Lx m+Lx , xs−Lx , e) · I(yt−Ly , ys−Ly , e), I(xt−Lx ∑ ∑ n(n − 1) t<s 2 Ly Ly Lx Lx I(xt−Lx , xs−Lx , e) · I(yt−Ly , ys−Ly , e), ∑ ∑ n(n − 1) t<s 2 I(x m+Lx , x m+Lx , e) n(n − 1) ∑t<s∑ t−Lx s−Lx 2 I(x Lx , x Lx , e). n(n − 1) ∑t<s∑ t−Lx s−Lx. (13). t, s = max(L x , Ly ) + 1, ..., T − m + 1; n = T − max(L x , Ly ) − m + 1 w2 I(Z1 , Z2 , e) ÑN™ ƒb J kZ1 − Z2 k < e , †I(Z1 , Z2 , e) = 1, wF†ÑÉ Beak and Brock (1992) „p, Ý(4 12 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(13) Granger Ä‹É[A v, / Xt , Yt *ÃìG, ÿóY£Å—Ì0“ (ergodicity)(Denker and √ Keller (1983)) v n J (3.11) 5óÉ,l¾ªM5ÏøY¹BG}ºà (3.13) Fý, √. n. . C1(m + Lx, Ly, e) C3(m + Lx, e) − C2(Lx, Ly, e) C4(Lx, e). . a. ∼ N(0, σ2 (m, Lx, Ly, e)). (14). 4 õ„!‹ 4.1 ’ezp££}& …dFUàíû˝’eÑ: $ jÞuJ«É„>qF©nYbv5êW¾‹$gNb (PST) £w,A>¾ (VST) , − jÞuJ©nYbvh«Þú1j5−0 (PEX) ; £w,A>Àç (VEX) Jh«Þl ’eVÄ¦A`>¶FZí AREMOS %È’eé£«”Õ− Òêãº}, ’e ‚È¦A 1994 01 ~ 12 nB 2003 07 ~ 31, 5 âk$− >qnÝø_, Ä¤É²¦’e‚È $− xø_5>qn, øuÑ 2577 °hôM Bbyø‹$gNb“A$ Ñ{0 (PSTR t ), J 100 ∗ log(PSTt /PSTt−1 ) l7Ví, w2 Pt , Pt−1 }[ý t, t − 1 ‚‹$gNb, −0?u, ²AéNÑ{0í’e (PEXR), 7$− >q¾†¦úbM ÊªWÄ‹É[ì‡, Ñü\õ„’eí0ì4”, Bbílúõ„‰bªWÀ;ì}&, Jf n Granger and Newbold (1974) FT|í™cc¦í½æ. 6. ílBbhôõ„‰bívÈ‘. (¡©Ç 7), êÛ’e2í‹$gNb −0 $ A>¾ £− A>¾, îpéívÈ‘, ] BbUàxvÈ‘‰¾_VªWÀ;ì, 7$ Ñ{0, −0Ñ{0, †Ìpé‘, ]ìvJ ÌvÈ‘‰¾_, Bb‚àl‡FT ADF, PP À;ì¶Vìå’eí0ì4, w!‹cÜ k[ 1 ì!‹, êÛ‹$gNb −0îÌ¶‡" I(1) í™Ìcq, 7$− >q¾íúbMw Ñ{0£†Ñ I(0) 0ìíå, uJBb²¦−0Ñ{0TÑ− g íHÜ‰b, − A>¾íú 5 AREMOS. %È’eéæÑ http://140.111.1.22/moecc/rs/pkg/tedc.htm, «”Õ− Òêãº}æÑ http://www.tpefx.com.tw/ 6 F‚™cc¦uN:. Js_Ö /ÌÉí I(1) ‰bªWc¦,l, †ª?)ƒs_‰bxòóÉí!‹, ¥@Ê M'òO DW Mº'Q Granger and Newbold (1974) ÉT|_Ò (simulation) í!‹, òƒ Phillips (1986) nT|êcí„p R2. 13 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(14) bMTÑ− ¾ íHÜ‰b, $ Ñ{0TÑ$ g íHÜ‰b, $ A>¾íúbMTÑ$ ¾ íHÜ‰b. 4.2 (4 Granger Ä‹É[ì!‹ âJ,%²(í’e, Q-V J-í²¾ABc¦_ (VAR), 1N¬¤_V«n$−s _ Ò5Èg¾í(4 Granger Ä‹É[ì PSTRta. m1. =. VSTLta = PEXRta = VEXLta =. ∑. i1 =1 m2. ∑. i2 =1 m3. ∑. i3 =1 m4. ∑. i4 =1. a A1i1 PSTRt−i 1. n1. +. a + A2i2 PSTRt−i 2 a A3i3 PSTRt−i + 3 a + A4i4 PSTRt−i 4. ∑. j1 =1 n2. ∑. j2 =1 n3. ∑. j3 =1 n4. ∑. j4 =1. a B1 j1 VSTLt−j 1. o1. +. a + B2 j2 VSTLt−j 2 a B3 j3 VSTLt−j + 3 a + B4 j4 VSTLt−j 4. ∑. p1 =1 o2. ∑. p2 =1 o3. ∑. p3 =1 o4. ∑. p4 =1. a C1 p1 PEXRt−p 1. p1. +. a C2 p2 PEXRt−p + 2 a C3 p3 PEXRt−p + 3 a + C4 p4 PEXRt−p 4. ∑. a + et D1q1 VEXLt−q 1. ∑. a D2q2 VEXLt−q + εt 2. ∑. a D3q3 VEXLt−q + νt 3. ∑. a + ϑt D4q4 VEXLt−q 4. q1 =1 p2 q2 =1 p3 q3 =1 p4 q4 =1. JøÑW, JBb‡" B1 j1 = 0, ∀j1 í™Ìcq, †[ý$ A>ÀçíúbM{VSTLta} ú$ Ñ{0{PSTRta } xã¿?‰, 7_2í|_r(‚b, mi , ni , oi , pi , i = 1, 2, 3, 4 u%â Akaike ’mÄ† (Akaike’s information criterion, ŸA AIC ), ó«’mÄ† (Bayesian information criterion ŸA BIC ) F²ì 7 ‰b X ú‰b Y uúx(4Ä‹É[uJ‰b X F]ô‚b[bí:¯ì ( F ì) T Ñ‡iYW, à‹ì!‹ÑéO, [ý¤‰b X í¬ ’m, ú‰b Y xj„?‰, ²k5, ‰b X ú‰b Y xälíN™Tà ì!‹à[ 2 Fý, øh}ì$ g¾í Granger Ä‹É [, F–$l¾Ñ 8.5053 éO®ÄÑ 0.0036 éO‡" H0 : $ A>¾ú$ Ñ{0Ì(4 Granger Ä‹É[, Çø_ F–$l¾Ñ 8.0998 éO®ÄÑ 0.0000 éO‡"H0 : $ Ñ{0ú$ A>¾Ì( 4 Granger Ä‹É[, Ä¤Bb)ƒ$ g¾x Granger (4¥—É[, ˛¤Èuó à, ¤! Dl‡×¶}íd.!ó¯, !‹1.XM Ò^04ícq 1Å$ íg¾5È†ÌÄ‹É[ 7 c¦©ø‰b|×]ô‚bqÑ 36, J AIC, BIC 5|üMV²ì5|_r(‚b, Ä<‰bJÀø AIC j² ¦, wbM}ÓwbÓ‹7]Á, ]Ì¶ÊÌ„|×‚b-²¦|_‚b, ]y.J BIC TÑ²¦|_r(‚bíÄ†. 14 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(15) æÊ, éý Òúkh’míTÜx^04 ¤vBbÊÌhô_[bìv, êÛss·u] ôø‚éOóÉ, /ÑŠóÉ, ªRòA>¾Ê„V}œQ5$ Ñ{, ¥5, QA>¾5Ê„Vø œ75$ Ñ{ ¤!D×¶}d.)ƒÑ£óÉuó¥, CruAÑ„ÄÖÄ Òœ„í. £, 7«ÉíÙÙÌ„ª?uŸÄ5ø 8 wŸùíì!‹Ñ$ Ñ{0ú−0‰0älÉ[, éý$ Òíš} à−0í š, ¤!XM|=~ (2000) 2í!: Å‚š…-$ Ñ{0šÉÀ² à− Ñ{0š, 1 D Granger, Hung and Yang (1998) ó@ Bk†−0‰0ú$ Ñ{0Q§Ì Granger ( 4Ä‹É[í™Ìcq, ¤!‹DÜã‚F|p, ÄÑÊ−0×Ùší, }‹½ÕAI’$ íê Ô, ª7 à$ Ñ{0 .¬1.[ý−0‰0ú$ Ñ{01Ìã¿?‰, ª?uN¬Ý(4 íÉ[V à, 7¥¶}uÛ¼¨(4_FÌ¶ší ú û†·H$− g¾í>ŒÉ[, ì!‹îÌ¶‡"Ì Granger (4Ä‹É[í™Ìc q, |íuüF×Ûíð!‹: $ >q¾D− >q¾xÂ² Granger (4Ä‹É[, âkýd.û˝«n$− >q¾5ÈíÉ[, ]ÌØÖ1„d. Bb“¿$− >q¾È¥—Ä ‹É[ª?uâk¶} Ò>q6, Js ÒÑóHíÀ¢¼¹, TÑI’ ¯, ?CuÕAI’ú «É$ í’À¼ªD¼|−f°¥¥@Ê− >qFÄ ý†u−0‰ú− >q¾À² Granger (4Ä‹É[, ¤!DÖ3 (1997) ó°9wóÉ[bÑ£, DBbõ„ÑŠFÏæ, ª ?uF²àíš…‚È ×ü£ð_ÏæF_. 4.3 Ý(4 Granger Ä‹É[ì!‹ Ê,Hì!‹2J)ƒÑÌ Granger (4Ä‹É[, 1.H[‰bÈ.æÊÝ(4íÄ‹É[, J-øN¬Ý(4íÄ‹ìjªW«n, ÊªWÝ(4Ä‹É[ì5‡BblŒ: «É$ £ Õ− g¾‰bÊ%J, VAR (4_j„(, F){Ïu´öí´xÝ(4É[? uJBb‚ à Baek and Brock (1992) FT|í BDS $l¾ì(4_í{Ïá, u´‡"Ö /ó°}º í™Ìcq, J‡"™Ìcq†[ý‰bÈª?´æÊø<Ý(4íÔ4, 7¥¶MíÔ4uf$(4 8 ÙÙÌ„æÊüõuß× Ò^0íÛï,. ¡©†/(2001) . 15 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(16) Ä‹É[ìFÌ¶šƒ QOBbÊªø¥‚à Hiemstra and Jones (1994) FT|íÝ(4 Ä‹É[ìj¶, þtu´?Dð|«É$ £Õ− g¾Èu´æÊÝ(4Ä‹É[? ®(4 Ac¦_í{Ï BDS ì!‹cÜk[ 3, â[ 3 íì!‹ªJhôƒ, Ê²ì.°íp[& (m = 2, 4, . . . , 10) -, ×Öb%â VAR _ Î¥(4j„?‰í®{ÏM, îb²‡"Ö /ó °}ºó°í™Ìcq QOBbUà VAR _F)5ø(4 Granger Ä‹É[xÎ(í{Ï,lM, ‚àâ Hiemstra and Jones (1994) Fê5Ý(4 Granger Ä‹É[ì, V«n$− 5g¾íÝ(4É[ ì ‡, Û9l²ìäl‚b, m , r(‚b L x , Ly , £ ¡b, e, âk.d(4 Granger Ä‹É[ ì, |_¡bMí²Ï, 1³d.TXóÉíj¶, ]Bb¡5 Hiemstra and Jones (1993) íd¶, LSÝ(4 Granger Ä‹É[ì, ÊUà%™Ä“(íå-, îqìäl‚b, m = 1, r(‚b L x = Ly = 1 ∼ 8, £ ¡b, e = 1.5, σ = 1, Ý(4Ä‹É[ì!‹cÜk[ 4: Ê$ Ñ{0D$ A>¾íì!‹jÞ, Ê]ô 4 B 8 ‚v, $ A>¾í’mú$ Ñ{0, éOíäl4”, /Êr( 4 ‚Ñ¥—Ý(4Ä‹É[, ¤! Dl‡(4ì!‹Cd.ó¯ 7Ê$ Ñ{0D−0‰0jÞ, Î]ô 7 B 8 Â²íÝ( 4¥—^‹Õ, $ Ñ{0Éú−0‰0x à^‹, 7−0‰0ú$ Ñ{0†.x à^‹, ¤ !‹D(4Ä‹É[ìó°, éý−0‰0ú$ Ñ{0íÝ(4É[óç‰Ñ_FW¿.ƒ í, ?Cu−0‰0ú$ Ñ{0;…ÿÌã¿?‰, ÌuJ(4CÝ(4íG, ÍÓO0ä%È BVBkc¯, ®ÅÕ− ÒD$ ÒÈíÉ[6BVBò~, $g¸−0ÈíÄ‹É[Ä®Åí %È=1.°, ×Û.ø_íÛï, J_krÖõ„d.ßÞ.ø_í!, OuEœÖÅðíõ„! ‹, XM 90 Hu−0À² à$gí8” Ê− >q¾£$ Ñ{0íì!‹, Î]ô 6 ‚Â²¥—É[Õ, ÉÊ]ô 6 B 8 ‚− >q¾À²ú$ Ñ{0Ý(4älÉ[ −0Ñ{0£$ >q¾†ÀÓéýÊ]ô 4 B 8 v, $ >q¾ú−0Ñ{0Ý(4Ä‹É[ óœkl‡(4ì!‹$−s íg¾>ŒÉ[æÊÝ (4Ä‹É[, /péíu ¾ à g /×·uälø_r‚í>q TÙ, 6ªJzuø_ Òør‚‡í>q¾’múÇø Òíg‰N™4íTà 16 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(17) 7$ A>¾ú− A>¾ 3 B 6 ‚íÝ(4äl^‹, /xÂÂäl 3 ‚íÝ(4¥—^ ‹, éý¾úÇø Òíg àÕ, ´ú˛¤í¾ à, .¬− ú$ í àœÑ‰ÿÉ 3‚ à‰, 5(ÿšó¹Q 7− jÞg¾jÞ, A>¾Ê]ô 7, 8 ‚ú−0‰0xÝ(4 à^‹, /Ê]ô 5, 6 ‚xÂ ²íÝ(4¥—^‹, ãhJ,_!‹, ×_7k, Ìg¾, $ ’mú− œÝ(4älí^‹, M)·<íu, $ A>¾úwFú‰¾îxÝ(4älí^‹, éý$ A>¾¥ø_’muóç Ô—/½iH, /J,®‰bÈxÝ(4É[í®‚éO®Ä, Ês‚Ñ.éO, Ó]ô‚bíÓ ‹, wéO®Ä 7−0‰0,u\ àí. 4.4 šÕ4£Ý(4 Granger Ä‹É[ì!‹ óU‚àÝ(4 Granger Ä‹É[ìªJ^š(4!ZF.?·HíÝ(4É[, Íâk ‹4í’e ZæÊ ARCH ^‹, 7…íæÊøU)Ý(4 Granger Ä‹É[ìFšíª? ušÕ4 (volatility clustering) ^‹C˚Ñ ARCH ^‹, 9 Ä¤Ä™cÝ(4 Granger Ä ‹É[ (spurious nonlinear Granger causality), 7ÝÓ£Ý(4 Granger Ä‹É[ Ñ¤Bb l‚à Ljung-Box Q $l¾Vì(4 VAR _{Ïáu´ò¼åóÉ, à‹ Q $l¾.éO [ýÌåóÉ 1J LM ìVwì’eu´xšÕ^‹ (volatility clusterung effects), ™ ÌcqÑ H0 : Ìæ”šÕ^‹, ì$l¾Ñ TR2 ÑðBbû˝úï5Ý(4 Granger Ä‹É[!‹í U4 (robustness), Bb‚à GARCH _ (Bollerslev, 1986) £ EGARCH _ (Nelson, 1991) ø(4 VAR _F)5,l{Ï¬˙ ¥ GARCH ^‹, yø¤ Î GARCH ^‹5,l{ÏTÝ(4 Granger Ä‹É[ì, 1ìõ $− Èg¾u´´æÊÝ(4 Granger Ä‹É[ à¤ì|5Ý(4 Granger Ä‹É[, nª JnÎ GARCH ^‹FÄ5Ý(4 Granger Ä‹É[, JfnÏ‡í! 9 f$l¾%È_,. ÏÏáí‰æbîcqÑ ìb, Íø<½bí,ñ‰b, àBbíû˝úï: $g −0î× ÛÝ ìíG, Ìpé,¯C-±í‘, /§ƒ§U(×ÛòM/4, bí‰æb}ÓvÈíí‰7‰“7Ýø ìb. 17 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(18) âkû˝úïÑ$ £− g¾’e, ª?æÊ.ú˚4í^‹ (ú£Š§Uí¥@˙.ø_), Ä¤, Bb?Sà EGARCH(p, q) _ú,l{ÏTšM/4í|c, J VAR _øÑW EGARCH _à-: PSTRta =. m1. ∑. a + A1i1 PSTRt−i 1. i1 =1 p1. +. ∑. q1 =1. n1. ∑. j1 =1. a D1q1 VEXLt−q 1. a + B1 j1 VSTLt−j 1. o1. ∑. p1 =1. a C1 p1 PEXRt−p 1. (15). + et. et | It−1 v N(0, h2t ) ln(h2t ) = α0 + α1 ln(h2t−1 ) + · · · + α p ln(h2t−p )

(19) r    

(20) 

(21)

(22)

(23) et−1

(24) e t−1

(25) − 2   + γ 

(26) q + β1 φ  q

(27)

(28) π

(29) h2t−1

(30) h2t−1

(31) r    

(32) 

(33)

(34)

(35) et−q

(36) et−q

(37) − 2   + γ 

(38) q + · · · + β q φ  q

(39)

(40) π

(41) h2t−q

(42) h2t−q t = 1, 2, ...,.

(43) p

(44) q q

(45)

(46) _2 α0 , ..., α p H[ GARCH ^‹¡b, β j φ et−j / h2t−j £ β j γ

(47) et−j / h2t−j

(48) − (2/π) , }[ýÊ‘K‰æ-íú˚mU£ÏÏ#í ARCH ^‹ âkBbû˝½õÊÝ(íGÉ[,. /ã‚šæ”4|cD´ø.} à(4É[, ]òQ* VAR _2F)5,l{ÏTšæ”4 í|c, y½hìÝ(4Ä‹É[ Ñ7øš^‹`¾í Î, Bbø°vSà GARCH(p, q) £ EGARCH(p, q), }‡ú©ø_,l{Ï²||__V¬˙|c, }F²àí_à[ 5 Fý, _|c(,l{Ï$l¾!‹éý˛ÌpéåóÉ£æ”š^‹ 7[ 6 Ñ¬˙(í,l{ÏFTÝ(4 Granger Ä‹É[ì, éý˛ÌpéíÝ(4 Granger Ä‹É[, æÊk$− g¾È/FÉ[í P M·péÓ‹, <âOæ”š^‹üõæÊ, [ý ARCH ^‹úÝ(4 Granger Ä‹É[ì'×í à‰ ªœ ARCH ^‹|c‡(í Granger Ä‹É[ìêÛ, |c‡, $− g¾È ZæÊÝ(4 Granger Ä‹É[, ÌuÀ²CÂ²É[ 7%|c(, J,É[î.+æÊ, éýwx5Ý(4 18 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(49) GÉ[ª?Ñ ARCH ^‹FÄ, uJçBbøw^‹xÎv, Ý(4É[?Ó5¾Ü 7¤^‹ ª?ul‡FTƒíÍ$ÍÏÏ, ÖÍÊ’eTÜíøÇá, Bbÿ‡ú¥¶}T|c£xÎ, Íª? uFSàíj.7, CuwFÄÖ, U)¥éíÏÏøòæÊk’eÔ42, 1„êr¾Î, 7ò ƒSà GARCH(p, q) £ EGARCH(p, q) ¬˙nø¥¶}íÏÏ¬˙¥, à‹öuà¤, éý«É í$− Èg¾íÝ(4É[uâk4íÏÏFÄ, çÍ‰bÈ6ª?uÔìÕÞ§UFÄ ís‚ à, ÍBbFSàí_'Øš1…•¥IøÛí§U, 7ø¤§UÌ¦˘k’e‚È íÅ‚É[2, uJ, ÎJ,ì!‹Õ, ó]$ g¾ÈíÉ[, @v,æwFy¶íÉ[, & J(SJy‰CyÖíì_, ø’eTyÖí&. 5 !D‡ ¬ ‰bÈíÄ‹É[ókl¾j¶íÌ„×ÖJ(4É[T«n, òB Hiemstra and Jones (1994) íÝ(4Ä‹É[ìíT|, Ý(4í¶}n?^íš, Í¬ d.ÖJÀø Ò2‰b Tn, ¹UTF Òín, Ecÿw2¶}‰bÉ[ªWn 7$− ÈíÉ[, ÅqÕVÖ íd.„õuóç˙íÉ:, «wu%Èr7“íê, UwÉ[yuò.ª}, 7‚à¤ì¶« n$ £− íd.yu˛w, uJ…dkJÝ(4Ä‹É[ìVê¨$ £− íÉ:, 1T rÞ4íg¾«n BbøFõ„!‹cÜk[ 7, J‚è6¡5, õ„!‹êÛ, Ê(4jÞ, $ g¾AÂ²Ä‹ É[, /·ur(ø‚éO, 1×ÛŠóÉ, .¬Ê_ABóÉjÞ, $ ígD¾×_,·u×ÛA B£óÉí − A>¾D$ A>¾?×ÛÂ²Ä‹É[, éýs ÒÑóHíÀ¢¼¹, JT ÑI’ ¯, ?CuÕAI’ú«É$ í’À¼ªD¼|í−f°¥¥@Ê− >qFÄ 7$ ígú−0ÉxÀ²Ä‹É[, !‹D Granger, Hung and Yang (1998) ó°, ODÅq¬ íd. <|p, wAÄR¿ª?Ñ’e‚Èí.°FÄ, Cu’eu´úÀ¢êˇT–½FÄ ÍÊÄ‹É[ì, Î‚à Granger Ä‹É[ìÕ, …d°vSà Hiemstra and Jones (1994) íÝ(4Ä‹É[ìj¶Vì, Granger Ä‹É[ì(, (4FÌ¶j„í¶} 7ì!‹ê Û, Î$ A>¾ú$gÑ{0£−0, $gÑ{0ú−0×ÛÀ²Ä‹É[, wì‰¾É[×JÌ×Û 19 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(50) Â²Ä‹É[, «nwÉ:êÛ, − g¾É[}*Ÿ…¥—É[, ‰A>¾ú−0íÀ²Ä‹É [, éý− g¾É[2, ¾ àgí^‰œ# 1/Ê− A>¾D$gÑ{0 $ A>¾D− A >¾2, ?ó°í©¬˙, ãh5, $− g¾û_‰buó à, Í*w‰b à£\ àí_ b2êÛ, w2−0u\w…ú_‰bí à, /…Éú}uA>¾z à, 7$ A>¾ºuúwF ú_‰bí à, OÉ\− A>¾ à, − A>¾?uúwFú_‰bí à, O°v6\wFú_ ‰bí à, 7$gÑ{0Éú−0£− A>¾s_‰b à, ?\$ £− A>¾s_‰b à, uJ* à£\ à‰¾£_b, BbªJR−0u|(F²ì, 7$ A>¾u|ÑøOI’A FùàTÑI’²µí½bÄä, 1°v¥øÊ− A>¾, −!(4DÝ(4íõ„!‹, JJg ¾Võ, s Ì¾í à‰œgV)×, JJ ÒVõ, †u$ à− d2|(yú,l{ÏTšM/4í|c, y½hTÝ(4ì, êÛ‰bÈíÝ(4É[.+ æÊ, uJBb×ARª?Ý(4GÉ[ª?Ñæ”š^‹FÄ, uJçBbøw^‹xÎv, Ý(4É[?Ó5¾Ü …d´rÖËjªJ‹JZª, CuTy¶í«n, ccÜà-, X(/Eíç6¡5, W à: ’e‚ÈªJT9K}’, àÀ¢êˇ‚Èu´}ÄÏæ, Cuw‡(íÏæ, ?C$ Ñ{0ª ZSJß“Cu®$, 7A>¾jÞªJZàA>"bCA>ÀçwFN™, ÇÕ’eG, ª²ày òäí’eà© 5 } , ?C©}yÝu£v’e; Î¤y²C‹pwFóÉ ÒTéNín, W à, $ £lËßíÉ:, ·uóçí‡æ. ¡5d. [1] «É„‰Õ2 Ònq^@r‚^@5õ„û˝–JÅH$l OLS ARCH GARCH GRANGER CAUSALITY _@àªœ, ÙŠxXçÍ$“ÜxXû˝Fî=d, ¬Å 86 6 ~ [2] Ù± (1997), «Éõl½U*ùn„ú$ Ñ{05 à, Å 2Û×ç$“Üû˝Fî =d, ¬Å 86 6 ~. 20 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

(51) [3] Û“î (2000), $gNb‚Œ5vÈ Éæ^@, CÉx×ç’mÜû˝Fî=d, ¬Å 89 6 ~ [4] ŠQˆ (1997), =ØË–3b$ s^‹ õ„!‹5y«n (1991-1997), ’ .C×çÀ ¢û˝Fî=d, ¬Å 87 6 ~. [5] †˚ (1997), Õ− Òr‚^‹õ„-ABc¦‘Kæ”‰æb_5@à, Å «É×çÅÒ $“û˝Fî=d, ¬Å 86 6 ~ [6] †/ (2001), ÙÙÌ„ú Ò5 à–J«É ÒÑW, Å 2£×ç}lû˝F„|î= d, ¬Å 90 6 ~ [7] Ø‰é (2001), $gšD>q¾5É[, œÅÒ×ç%ÈçÍî=d, ¬Å 90 6 ~ [8] Ï¯_ (1993), «É„‰ Ò$ gDA>¾É[5õ„û˝, Å «Éx×ç$“Üx Xû˝F$“Üç˙î=d, ¬Å 82 6 ~ [9] Ï‰p (1991), «$ Òg¾É[5õ}û˝, Å «É×ç¼çû˝Fî=d, ¬Å 80 6 ~ [10] Ï±ö (2001), «É$ .°ä0nq’e5«n, µ±×çÅÒüqçÍî=d, ¬Å 90 6 ~ [11] |=~ (2000), $gD−gÉ:4}&–Ö‰¾ GARCH _«à, µ±×ç‹À¢çÍî= d, ¬Å 89 6 ~ [12] Ö3 (1997), h«Þf1jÕ− Òg¾É[5û˝ , œÅÒ×çÅÒ$“çû˝Fî= d, ¬Å 86 6 ~ [13] ’=ñ (1993), Õ− Ò4æÛï5«n, ×s×ç9“%Ðû˝Fî=d, ¬Å 82 6 ~ 21 第五屆全國實證經濟學論文研討會 The 5th Annual Conference of Taiwan's Economic Empirics.

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