Impacts of Asian Financial Crisis on the Co-movements across Stock Markets Volatility in ARJI Model

[[abstract]]本研究以ARJI跳躍擴散模型探討金融風暴對美國、日本、韓國、香港、新加坡與台灣股市產生跳躍頻率與跳躍所引起的變異，並比較總變異、跳躍所引起的變異與擴散所引起的變異在金融風暴期間與非金融風暴期間比較是否有差異，最後利用一般化衝擊反應函數來分析美國、日本、韓國、香港、新加坡與台灣股市波動性間的關係。實證結果發現：1.各國股價指數報酬率均存在著跳躍行為與跳躍頻率是隨著時間變動，跳躍過程所引發的變異是不可忽視的重要因素。2.金融風暴事件對台灣股市波動性並沒有很重大的影響；此外，金融風暴期間的美國股市的波動性小於非金融風暴期間。3.本研究利用波動性的Pearson相關係檢定發現各國波動性間的關係皆呈現顯著，在金融風暴後的波動性相關係數幾乎皆比在金融風暴前的相關程度更高。4.在金融風暴後，美國股市波動性較具獨立性的特性，其干擾項的影響對其他國家最為顯著，其次為台灣，因而提供投資人在進行跨國投資組合的決策時，美國或台灣市場是一個值得考慮投資市場。[[abstract]]This paper employs ARJI model to examine jump frequency and volatility of the co-movements across stock markets and compares whether jump and diffusion induced volatilities are different during Asian Financial Crisis period. Financial utilize GIRF to analyze the relationship among U. S., Japan, Korea, Hong Kong, Singapore and Taiwan. The empirical results indicate that, firstly, jump intensity and frequency are time variant. Second. Asian Financial Crisis does not bring great impact to Taiwan. Volatility of US stock market during non-Asian Financial Crisis period is smaller than that during crisis period. Thirdly, the results of Pearson test indicate that the relationships of volatility among these countries are significant, and the coefficient correlation of volatility after Asian Financial Crisis is mostly higher than that before crisis. Fourthly, after Asian Financial Crisis, the volatility of US stock market relatively has independent character and impact to other countries, secondly is Taiwan. Therefore, while making the investment decision in oversea market, it is worthy to consider the stock market of U.S. or Taiwan