A RESEARCH ON THE INTERACTION BETWEEN US/ EURO DOLLAR EXCHANGE RATE VOLATILITY AND TAIWAN WEIGHTED STOCK INDEX VOLATILITY

• Main Authors: Meng-che Lee, 李孟哲
• Other Authors: Ching-jun Hsu
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/64551130426832559206

碩士 === 南華大學 === 財務管理研究所 === 94 === 　　Previous researches have been mostly focus on analyzing the effect by single exchange rate. However, as the European Union emerged, Euro Dollars has become a significant currency of the world. The variation between the exchange rate of Euro Dollars and US Dallars more and more influences the international market and stock price every day. This research uses the direct rate of US Dollars to Euro Dollars and the weighted stock index in Taiwan from January 1st, 2002 to June 30th, 2005 to analyze the interaction between US/EURO Dollar exchange rate volatility and Taiwan weighted stock index volatility. The bivariate EGARCH models are employed to investigate the interaction between US/Euro Dollar exchange rate volatility and Taiwan weighted stock index volatility and the effect of stock returns and volatility spillovers as well. The results are as followed： 　 　　The EGARCH mean equation shows that Taiwan s stock market return is positive and is affected by itself and earlier stage of the variation of the exchange rate between US Dollars to Euro Dollars. The variation of the exchange rate of US Dollars to Euro Dollars is positive affected by itself and Taiwan s stock market return at earlier stage. 　 　　The EGARCH variance equation shows that the variation of the Taiwan s stock market return is positive which is affected by earlier stage the variation of the Taiwan s stock market return and earlier stage the variation of the exchange rate of US Dollars to Euro Dollar. The variation of the exchange rate of US Dollars to Euro Dollars is positive affected by itself and Taiwan s stock market return at earlier stage. 　 　　Taiwan s stock market return and the variation of the exchange rate between US Dollars to Euro Dollar show a significant GARCH effect, and the volatility is affected by the variation of the stock price and the variation of the exchange rate at earlier stage.