An Empirical Study on the Asymmetric Volatility of Individual Stocks: the Case of Taiwan Stock Market

[[abstract]]本文研究台灣股票市場個股報酬波動之不對稱性，並以槓桿效果假說與當期報酬－波動假說驗證台股波動不對稱性。研究期間為1993年到2001年，涵蓋亞洲金融危機前後時期。研究的結果令人驚訝的是：在金融危機前後兩時期，股票報酬波動呈現不對稱性的上市(上櫃)公司分別僅佔樣本的27%(18%)與15%(6%)，隱含台灣股票市場個股波動的不對稱性並非普遍存在，而與目前文獻研究指數與個股的結果不同。此外，本文發現另一個有趣的現象：金融危機前後時期，個股報酬所表現的波動不對稱性也不相同，隱含市場結構性的改變影響波動不對稱性的行為。Duffee (1995)所提出的假說在解釋個股波動不對稱性的能力很弱；然而槓桿效果假說較能解釋波動不對稱性的現象。[[abstract]]This study investigates the behavior of the asymmetric volatility of all the individual stocks in the Taiwan stock market. The daily data from 1993 to 2001 are used, covering the period of the Asian financial crisis. The empirical results show that only 15% and 27% of the listed companies selected as samples exhibited asymmetric return volatility before and after the Asian financial crisis, respectively. This result differs from those of current studies on index and individual stocks. Furthermore, it was found that before and after the financial crisis, the volatility asymmetry on the return of individual stock has not been the same. This implies that the structural change of the market did affect asymmetric volatility behavior. The leverage effect hypothesis can explain the phenomenon of asymmetric volatility