匯率、美國股價報酬與日本股價報酬波動之靜態關聯性分析：誤差修正與三變量GJR-GARCH-M模型之應用

Abstract

This paper studies the association and the model construction of exchange rate, Japanese and U.S. stock markets, the data period is from January 1998 to June 2006. In this paper also uses the heavy-tailed Student's t distribution to analysis the proposed model. Empirical results show that the relationships of exchange rate, Japanese and U.S stock markets, we can construct a trivariate GJR-GARCH (1,2)-M model to evaluate them, and the exchange rate and U.S. stock markets do have the asymmetrical effects. The empirical results also show that the U.S. and the Japanese stock market returns have the positive relations, namely the two stock market returns' volatility are mutually affect, and they are synchronized each other. And the Japanese stock market return volatility receives the previous 1 period influence of the U.S. stock market return volatility. The exchange rate and the Japanese stock market return have the negative relations, namely the two market volatility are the reverse influence, and the Japanese stock market return volatility also receives the previous 1 period influence of the exchange rate volatility. The exchange rate and the U.S. stock market return also have the negative relations, namely two market volatility are the reverse influence, also exchange rate does not have receive the lags' influence of the Japanese and the U.S. stock price market return volatility. Besides, under the bad news in U.S. Stock market, the variation risk increases in the U.S. stock market. Under the bad news in Japan's exchange rate market, the variation risk increases in the Japan's exchange rate market. As such the error correction and GJR-GARCH-M model has the best explanatory ability as compared to the model of the error correction and GARCH-M. Of these evidences may suggest, for example, the stock market investors or international fund managers, on the decision-making before of the investment stock or the evaluation stock market, they must considers the risk and the relatedness of the exchange rate volatility and the stock price return volatility.