重大事件對台灣股匯市之影響 : 利用跳躍-擴散模型

Abstract

Abstract： This paper uses jump-diffusion model to examine the extraordinary impact of major events including political events, disease events, Cross-Straits crisis events, and international financial events, on the Taiwan stock market and exchange market. The model estimates the jump probability, jump frequency and jump volatility to verify the impact of the major events on the Taiwan stock market and exchange market. Our approach permits us to track jump risk in stock market and exchange market stemming from these major events, and to separate the impact of routine trading and jump on the mean and volatility of stock returns and exchange returns in event periods. The empirical results indicated that: (1) The major events rise jump risk in stock index. (2) In stock markets, the volatility of jump process in event periods is higher than non-event periods. The implication is that the market volatility rising from major events is mostly coming form speculative trading. (3) Presidential election affects stock market more than Congress election. (4) Central Banks intervene exchange rate in Presidential election more than Congress election. (5) The shock from international event like Asia Finance Crisis affects exchange market stronger than regional events. (6) The shock form political elections affect stock markets stronger than the other three events. (7) The Cross-Straits crisis events affect stock markets and exchange market weaker than other events (8) The investors should not invest high leverage financial merchandises and too speculativly before or after the events.