匯率、油價及成交量之波動率對股票市場報酬之衝擊：南韓股票市場之實證研究

Abstract

This paper combines the idea of simple variable double GARCH model (Brooks, 2001) and the idea of GJR-GARCH model (Glosten, Jaganathan & Runkle, 1993), proposed a double threshold-IGRACH model of the three variables, we uses this model to discuss the influence of the turnover volume, the oil price and the exchange rate volatility rate on the South Korea stock price return volatility, and takes the threshold by the turnover volume, the oil price and the exchange rate volatility rates' positive and negative value. By the empirical diagnosis results demonstrate that the double threshold-IGRACH (1, 1) model of the three variables to discuss the turnover volume, the oil price, and the exchange rate volatility rate to the South Korea stock market return influence is appropriate, also responded the South Korea stock market has an asymmetrical effect. By the empirical diagnosis result also shows that the eight kind combinations of the positive and negative value for the turnover volume, the oil price and the exchange rate volatility rate, the turnover volume, the oil price and the exchange rate volatility rate information actually affects the stock market return volatility. This result also shows that the turnover volume, the oil price and the exchange rate volatility rate can affect the variation risk of the stock market return volatility.