槓桿與波動度回饋效果及傳染效應之實證分析、衍生性商品定價與風險管理(第2年)

Abstract

近年來相關文獻指出，金融市場衡量權益價格報酬率與其波動度之影響關係，日資料價格均呈現槓桿效果(leverage effect)與波動度回饋效果(volatility feedback effect)之因果關係，受惠於電腦高速運算之便捷下，使研究可進一步深入到日內價格之衡量，將實質波動度分解為連續波動度及實質跳躍項，並且偵測連續波動度及實質跳躍項是否有槓桿與波動度回饋效果。因此，本研究主要探討美國與歐洲股票市場在金融危機傳染行為之槓桿與波動度回饋效果。實證結果顯示，在各種抽樣頻率下， S&P 500指數期貨、英國指數期貨及泛歐洲指數期貨，在全部樣本及危機期間均具有顯著的槓桿效果，而道瓊工業指數期貨在各種抽樣頻率下均具有顯著之波動度回饋效果。另外，在連續波動度與實質跳躍項納入於日內報酬率之VAR模型中，槓桿效果具有優占(dominate)波動度回饋效果，與Bekaert and Wu (2000)實證發現並不相同，受到槓桿效果影響程度大於波動度回饋效果，具有波動度回饋效果優占槓桿效果之現象，也就是當指數期貨價格上升時，財務槓桿將會下降，公司破產可能性下降，導致預期波動度下跌。因此，在預期未來將有事件發生時，將導致預期波動度下跌，投資人應即時因應此情形，進行有效之投資策略。

In the previous study, the impact on the relationship of the financial markets for equity prices is their returns and volatilities. The daily price was showed in the causality effect, including leverage effect and volatility feedback effect. Benefit from the convenient computing under high-speed computer, researchers can further measure intraday price which can decompose the realized volatility into continuous variation and discontinuous jump term, and detect the continuous variation and discontinuous jump term whether has leverage effect and volatility feedback effect. Thus, this study mainly explores the financial contagion with leverage effect and volatility feedback effect. In the empirical result indicate S&P 500 index futures, FTSE index futures and STOXX index futures have significant leverage effects at various sampling frequencies for the all sample and crisis periods. Dow Jones Industrial Average futures have significant volatility feedback effects at various sampling frequencies. In addition, the leverage effect has dominated volatility feedback effect in the VAR model in which the continuous volatility and the real jump are included in the daily return rate. And\nBekaert and Wu (2000) empirical findings are not the same. With the effect of fluctuations in the feedback effect of the phenomenon of excellent leverage effect.