日、韓、港、新與台灣等亞洲主要股市報酬變異分析－多重波動性狀態馬可夫轉換模型的應用

Abstract

This study adopts multiple-volatility-state Markov-switching models to examine the return variability for Taiwan Stock Exchange (hereafter TSE) weighted index, Nikkei (price-weighted) index, Seoul Composite index, Hong Kong Hang Seng index and Singapore Straitrs index. The SWARCH forecasting models appear to outperform the competing constant variance, ARCH and GARCH models. Moreover, our findings are consistent with the notion that the three-volatility-regime setting is descriptive for TSE and Nikkei, and Seoul Composite indices. In contrast, the contemporaneous Hang Seng and Straitrs indices have only two regimes. Furthermore, Japanese market return is significantly less volatile than those of the other markets, including TSE, during the East Asian financial crisis. The relative volatility of the concurrent TSE returns, nevertheless, does not appear to be significant as compared with that of the past TSE return series. Our empirical results also lend an explanation to such phenomenon: the probability that TSE directly move from a low (high) volatility regime to the high (low) volatility regime is trivial, whereas TSE happened to be in a low volatility regime during the pre-financial-crisis period from April, 1996 to July, 1997.