| Summary: | 碩士 === 國立中興大學 === 企業管理學系研究所 === 92 === This study investigates the dynamic relationships between stock index volatility and market volatility using the monthly data running from January 1984 to March 2003 in Taiwan. The market volatility being investigated in this study involves interest rate volatility, exchange rate volatility, unemployment rate volatility, oil price volatility, inflation rate volatility and industrial production volatility. All the variables examined present a unit root by the ADF and the KPSS test. By Johansen cointegration test, this study finds the result that there exists the long run equilibrium relationship between the stock index volatility and the market volatility. The stability test of CUSUM of squares also confirms that the series are consistent and stable. The result of Granger causality test indicates that, among all volatilities analyzed, only the stock index volatility one-way leads the inflation rate volatility.
The empirical results of impulse response functions point out that, the stock index volatility reacts in a steady and smoothing way while the market volatility changes over time. Evidence of variance decomposition shows that stock index volatility caused by all the other volatilities would gradually diminish after twelve periods. In addition, the other four variables underlined, including the stock index volatility, the interest rate volatility, the unemployment rate volatility, oil price volatility and the exchange rate volatility present strong exogeneity orderings whereas both the inflation rate volatility and the industrial production volatility show weak exogeneity orderings in the system.
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