本文以1997年6月至2016年7月臺灣上櫃股票市場做為研究樣本，透過建立一Bivariate Diagonal BEKK GARCH (1,1)-in-mean模型，並以大盤週轉率形成之總合流動性指標與大盤超額報酬率之共變異數做為系統流動性風險之衡量指標，觀察系統流動性風險在臺灣上櫃股票市場是否有被訂價。結論除發現系統流動性風險有確實被訂價外，系統流動性風險溢價還兼具穩定性，且對市場超額報酬率有顯著的影響力。 / By constructing a bivariate diagonal BEKK Garch (1,1)-in-mean model and using the covariance between the excess market return and turnover rate as aggregate systematic liquidity proxy, the study tries to examine whether systematic liquidity risk was priced on Taiwan OTC stock market during the period of June 1997-July 2016. Based on monthly data, the findings suggest that not only the systematic liquidity risk was well priced on Taiwan OTC stock market, but the phenomenon also possessed stability and could have significant impact on stock returns.

本文係針對臺灣50指數期貨與基金於2003年6月30日上市之後，臺灣期貨及現貨市場報酬率間領先落後關係與波動性的變化來進行探討。研究分為兩部份，第一部份是觀察臺灣50指數期貨與現貨之間的關聯性，並探討臺灣加權股價指數、金融保險類股股價指數及電子類股股價指數期貨與現貨市場間的變化；第二部份是採用可模擬現貨走勢的臺灣50指數基金、國泰金及臺積電的股價來做為現貨的替代變數，觀察其與期貨之間的關連性是否與第一部份的結果類似，若是實證結果極為相同，則相關機構與一般投資人將可運用各期貨與其標的指數中市值最大的股票來進行套利操作。此外，本文在進行模型估計時，首度採用一階段估計法，來聯合估計雙變量GARCH模型中的條件平均數方程式與條件變異數方程式，以避免過去相關文獻將兩條方程式個別估計時所造成的估計誤差。 實證結果所獲得的重要結論如下：首先，臺灣期貨市場的發展仍未趨成熟，並不具有價格發現的功能，在考慮風險溢酬方面，僅有臺灣50指數期貨與現貨的投資人會在報酬率之外，額外要求用以補償的風險溢酬，再者，臺灣50指數期貨與基金的上市，並沒有對臺灣現有的期貨與現貨市場造成顯著的影響，然而，替代變數並不能完全取代現貨指數，但相較之下，國泰金在臺灣50指數期貨與基金上市之後的那段期間模擬成效最好。 / This paper investigates the change of lead-lag relationship in returns and volatilities in Taiwan futures and spot markets after the introduction of Taiwan 50 Futures and Taiwan Top50 Tracker Fund (TTT) on June 30, 2003. The study divides into two parts. The first part examines the relationship between Taiwan 50 Futures and spot markets, and also discusses the change of Taiwan Stock Exchange Capitalization Weighted Stock Index, Taiwan Stock Exchange Banking and Insurance Sector Index, and Taiwan Stock Exchange Electronic Sector Index in futures and spot markets. Another part uses the stock price of TTT, Cathay Financial Holding Company and Taiwan Semiconductor Manufacturing Company as the substitutive variables of spot index and goes a step further to examine the relationships between them and futures individually. Additionally, this research used One-Pass Method for first time to estimate jointly the conditional mean equation and conditional variance equation of Bivariate GARCH Model to avoid estimating error in previous relative studies with Two-Pass Method. The major empirical results are as follows: first, the development of Taiwan futures market is incomplete. The futures market does not play the price discovery role to the spot market. Second, under the consideration of risk premium, only investors in Taiwan 50 Futures and spot markets would ask for compensated risk premium excepting returns. Third, the opening of Taiwan 50 Futures and TTT does not influence significantly Taiwan futures and spot markets. Last but not least, these substitutive variables can not replace spot index perfectly. However, comparing with others, the stock price of Cathay Financial Holding Company is the very model of Taiwan Stock Exchange Banking and Insurance Sector Index after the introduction of Taiwan 50 Futures and TTT.

本文目的在於探討匯率不確定性對台灣出口波動之影響。本文應用Barkoulas et al.(2002)理論架構，利用台灣1989年至2007年的月資料。實證結果發現：美元、日圓兌新台幣的匯率波動對於台灣出口美、日兩國的數量並無明顯的影響。美元兌新台幣的匯率波動對於以美國為進口國的台灣出口波動則有正向的影響；日圓兌新台幣的匯率波動對於以日本為進口國的台灣出口波動卻沒有顯著影響。本文認為：造成美元匯率波動主要支配力量，來自於貨幣政策制定者掌握之資訊優勢差異；造成日圓匯率波動的來源則無主要支配力量的存在。造成此種結果的原因在於貨幣政策制定者長久以來所建立的政策可信度所致，削減了造成美元匯率波動的另外二股力量。因此，新台幣兌換美元匯率波動取決於貨幣政策制定者掌握經濟真實狀況的能力與其貨幣政策方向。 / This paper investigates into the effect of exchange rate uncertainty on Taiwan export volatility. Under the theoretical framework of Barkoulas et al.(2002) and the empirical monthly data of Taiwan exports from 1989 to 2007, it is summarized that the exchange rate volatility of NTD/USD and NTD/JPY had no effect on the Taiwan exporting volume toward U.S. or Japan. However, the exchange rate volatility of NTD/USD did have positive effect on the export volatility of Taiwan to U.S. while that of NTD/JPY had no significant effect on the export volatility of Taiwan to Japan.It is argued that the dominant source of NTD/USD exchange rate volatility resulted from the variance of monetary authorities’ information advantage. On the other hand, it exists no such a dominant source in NTD/JPY exchange rate volatility.