| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運系碩士班 === 89 === The purpose of this study is to explore sources of stock return volatility and its persistence. To address this issue empirically, we employ a GARCH model while allowing the return volatility to be affected by periodically announced macroeconomic news and occasional monetary policy shifts. The daily data of stock return are the Capitalization Weighted Stock Index of the Taiwan Stock Exchange. The sample is the period form January 1, 1990 to December 31, 2000. The empirical findings are summarized as follows: The stock return volatility increases substantially in response to the trade account announcements. However, this increase in volatility is purely transitory. In other words, there is no information contained in trade account announcements that is helpful in forecasting return variance on the day after an announcement. In contrast, price index announcements and central bank’s required reserve policy shifts do increase stock return volatility on the day and the day after an announcement.
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