An Examination of the Relationship between Taiwan''s Stock Return Volatility and the Business cycle
碩士 === 長庚大學 === 企業管理研究所 === 90 === This paper investigates the volatility of Taiwan’s stock return by using SWARCH model and the other time series models to compare their capability of fitting and forecasting. Besides, we examine not only the relationship between the business cycle and stock price...
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| Format: | Others |
| Language: | zh-TW |
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2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/90411701911063921987 |
| Summary: | 碩士 === 長庚大學 === 企業管理研究所 === 90 === This paper investigates the volatility of Taiwan’s stock return by using SWARCH model and the other time series models to compare their capability of fitting and forecasting. Besides, we examine not only the relationship between the business cycle and stock price volatility in Taiwan but also the characteristics of stock market volatility under different economic stages.
The empirical results demonstrate that our SWARCH specification offers a better statistical fit to the data and better forecasts. The relationship between stock price volatility and the business cycle is obviously confirmed. Especially, the probability of moderate-volatility stage and high-volatility stage seem to lead the change of economic indicators. It suggests that stock volatility’s probability could be the leading indicator of the business cycle stage. On the other hand, the probability of moderate-volatility and high-volatility stages usually becomes greater before the economic turning point. In this regard, it implies that the volatility’s probability could be an indicator of the economic turning point.
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