從日本觀點看日股與台灣、韓國股市之關聯性

Abstract

本研究目的在探討日本與台灣、韓國股票市場之關聯性，利用EGARCH模型來進行分析。同時，為瞭解日本股市2003年4月28日最低點(7,607.88點)所產生的市場結構性改變，本研究亦比較此時間點前後三國股市之長期均衡關係、波動性外溢與以及波動不對稱性，分析日本股市與其他國家股市是否具同步化。此外，檢視台灣股價指數期貨與現貨兩市場間價格的長期均衡關係與動態關係。

This paper investigates the stock market relationships of Japan, Taiwan and Korea. We research the long-run equilibrium relationships, volatility asymmetry and the volatility spillovers by use the EGARCH model between the three stock markets. And we cut the time serious from the low point of Japan's stock market to find the exchange of three markets' cointegration relationship. We also investigate the dynamic relationship between the spot market and stock index futures market in Taiwan.