論文名稱：台灣股票集中市場成分波動性之實證研究
校系：成功大學企業管理研究所碩士班
學年度及論文別：九十學年度碩士論文
研究生：洪 銓 指導教授：許溪南 博士 譚伯群 教授 聯合指導
關鍵字：成分波動性、風險估計、時間數列、ARCH模型、法人買賣超

論文摘要：
本研究主要利用Campbell et al.（2001）所推導，根據市場模型、市場調整模型與加權加總等程序之總和分解法來分解總體波動性，此方法的優點即是將各公司間與產業間之共變異數消除，並且不必估計個別公司之Beta係數，因此本研究即是利用上述程序分解成成分波動性，其中分解成市場波動性、產業面波動性及公司面波動性。
實證研究方法主要有時間數列分析法來觀察成分波動性之時間變化及ARCH模型來探討總體經濟變數對成分波動性的影響。實證期間中（1995年1月至2001年11月），發現在本文實證研究初期，各成分波動性中以市場波動性所佔成分最高，因此投資人在期初可以視市場波動性為總體波動性之估計值。但是隨時間變化，公司面波動性逐漸增加，顯示投資人利用市場波動性作為風險估計之正確性產生偏差。因此建議投資人需要更進一步估計其他成分波動性，如此一來才能有更正確的風險估計。
至於總體經濟變數對於成分波動性之影響，其結果顯示成分波動性可以由過去風險加以預測。影響變數之長期因子中，工業生產指數波動性對於產業面波動性有顯著之正向影響，隱含工業生產的波動程度加大時，公司產出與獲利不穩，因此連帶影響股價波動程度加劇。在短期因子中，法人交易行為上，自營商與投信僅有部分影響成分波動性，但效果並不顯著。但是對於外資的買賣超，卻很明顯發現與成分波動性有很強烈的正向關係，顯示外資的買賣行為會影響到股價變化。尤其當外資在短期間大筆買進及賣出時，台灣股市的震盪即會加劇。因此可以提供政府機關修訂外資進入台灣股市的參考，採取適當的機制來避免外資的劇烈買賣行為。

Abstract

This study used the model developed by Campell et at. (2001) that based on market model, market-adjusted model and weighted average approach to disaggregate the aggregate volatility into three components including market index return volatility, industry-level volatility and firm-level volatility. The advantages of this procedure are that it can eliminate the covariance terms of firms and industries and eliminate the need to estimate the coefficients of the firm-specific beta.
The period covered under this study is from January 1995 to November 2001. In this study, the time-series analysis and the ARCH model are used to analyze the trends of the aggregate volatility components and to examine the impacts of the macroeconomic variables on the aggregate volatility components. The findings of this study are:(1) the market index return volatility has the highest proportion among the three components of the aggregate volatility. Thus, one can use the market index volatility as an estimate for the aggregate volatility. However, the firm-level volatility increases over time. This indicates that the use of market index volatility solely to estimate the aggregate volatility may generate bias results. (2) testing of the impacts of the macroeconomic variables reveals that the components of the aggregate volatility can be estimated from the risk in the past. In this context, the volatility of the industrial production level has significant positive impact on the industry-level volatility. This implies that the more volatile the industrial production, the more volatile the stock price. It is also noted that the overbuying or overselling behavior of the foreign institutional investors can have significant positive effect on the three components of the aggregate volatility, suggesting that the government should set appropriate policies to monitor the flows of foreign funds so as to regulate their overbuying and overselling behaviors.

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