本研究利用Bai and Perron(1998)提出內生結構性轉折點之程序，來尋找台灣股市在1980年至2004年之間，是否存在結構性轉折點並且進行相關之探討。實證結果如下:
1.在未考慮結構性轉折點之前，台灣股市的週報酬有明顯的變異數異質的現象存  
 在，代表當期的變異數會受前期變異數以及前期誤差所影響。
2.依循Bai and Perron(1998)結構性轉折點之程序，所找出的結構轉折點為1988  
 年12月的第4週。主要原因為全球性股災。
3.加入結構轉折點的平均數方程式，台灣股價週報酬仍然有顯著的GARCH現
 象。經過進ㄧ步的檢測發現，常數項並無顯著性差異，但是，前期自我相關向
 呈現顯著性的差異。同時考慮常數項以及前期自我相關項並無發現顯著性的差
 異。
4.將結構轉折點加入平均數方程式以及變異數方程式，台灣股價週報酬仍然有顯 
 著的GARCH現象。
5.將結構轉折點加入平均數方程式以及變異數方程式所尋找出的結構轉折點為
 1987年3月，原因亦為全球性股災。

In this paper we review the factors that lead to change on volatility of stock market and use alternative methodologies of endogenous breakpoint detection in order to analyze whether the volatility of Taiwan stock market has changed significantly over the period 1980-2004. We follow the framework of Bai and Perron(1998) and use their sequential procedure and estimated critical value.
  The main finding of this research are summarized as follows :
1. In the sample GARCH(1,1) without break. We can find the GARCH effect is signifiicant. The variance is modeled as deterministic of past variances and error term.
2. We use the framework of Bai and Perron(1998). We can find the sup LR statistic to the last week of December 1988 is maximum and the statistic above the critical. So the last week of December 1988 is structural break. The main reason is the global crash if stock market.
3. We consider the structural break in the mean equation. We still find the GARCH effect is significent. The constant term are not significantly different. But the lag return are significantly different.
   4. We consider the structural break in the variance equation. We still can find the GARCH effect is significant.
   5. When we consider the structure break in the mean equation and variance equation, we find the sup LR statistic to March 1987 is maximum.

第一章、緒論
           第一節、研究動機‧・・・・・・・・・・・・・・・・・・‧・・・・・・・・・・・・・・・・・・‧・・・・・・・・‧・・・1
           第二節、研究目的‧・・・・・・・・・・・・・・・・・・‧・・・・・・・・・・・・・・・・・・‧・・・・・・・・‧・・・1
           第三節、研究架構・・・・・・・・・・・・・・・・・・‧・・・・・・・・・・・・・・・・・・‧・・・・・・・・・‧・・・2
第二章、文獻回顧           
           第一節、波動性衡量以及波動分解‧・・・・・・・・・・・・・・・・・・‧・・・・・・・・4
           第二節、影響股市波動性的原因‧・・・・・・・・・・・・・・・・・・‧・・・・‧・・・8
           第三節、異質變異數模型理論發展與股市報酬變異數之相關研究‧・・・・・‧・・・・22
第三章、研究方法
           第一節、單根檢定‧・・・・・・・・・・・・・・・・・・‧・・・‧・・・・31
           第二節、異質變異數模型‧・・・・・・・・・・・・・・・・・・‧・  ・‧・・・・34
           第三節、結構性轉折點・・・・・・・・・・・・・・・‧・・・・・・・‧・・・・38
第四章、實證研究
           第一節、資料來源與處理‧・・・・・・・・・・・・・・・・・・‧・・・・・・・・42
           第二節、單根檢定‧・・・・・・・・・・・・・・・・・・‧・・・‧・・・・43
           第三節、無結構轉折點的股市報酬率之波動性・・・・・・・・・・・・・・・‧・・・・・・‧・  ・・・44
           第四節、臺灣股市波動性的結構性變化・・・‧・・・・・・・・・・・・・‧・・・・・‧・・・・48
第五章、結論與後續研究建議
           第一節、結論‧・・・・・・・・・・・・・・・・・・‧・・・・・・・・55
           第二節、後續研究建議・・・・・・・・・・・‧・・・・・・・・・・・・・・・・56參考文獻‧・・・・・・・・・・・・・・・・・・‧・・・・・・・  57
                             表次目錄
表1、文獻匯總表-波動衡量之相關研究‧・・・・・・・・・・・・・・・・・・‧・・・・・‧・・・・・・・・・・・・・・・・・・6
表2、文獻匯總表-產業與公司波動之相關研究‧・・・・・・・・・・・・・・・・・・‧・・・・・‧・‧・・・・・・・・・・7
表3、股市波動原因之文獻匯總表—總體經濟變數‧・・・・・・・・・・・・・・・・・・‧・・・・・・・・・・・・・・16
表4、股市波動原因之文獻匯總表—交易面變數‧・・・・・・・・・・・・・・・・・・‧・・・・・・・・・・・・・・・・20
表5、文獻匯總表-股市報酬變異數變異性之實證研究‧・・・・・・・・・・・・・・・・・・‧・・・・・・・‧・・・・29
表6、台灣股市報酬之最適落階期選取‧・・・・・・・・・・・・・・・・・・‧・・・・・・・・・・・・‧・・・・・・・・・‧・43
表7、台灣股市報酬的基本統計量・・・‧・・・・・・・・・・・・・・・・・・‧・・・・・・・・・・・・‧・・・・・・・・‧・・・43
表8、台灣股市報酬之單根檢定・・・‧・・・・・・・・・・・・・・・・・・‧・・・・・・・・・・・・‧・・・・・・・・・・‧・・・44
表9、無加入結構轉折點之台灣股市報酬GARCH模型參數‧・・・・・・・・・・・・‧・・・・・・・・‧・・・47
表10、台灣股市週報酬之結構轉折點檢測・・・・・・・・・・・・・・・‧・・・・・・・・・・・・‧・・・・・・・・‧・・・49
表11、加入結構轉折點之台灣股市週報酬平均數方程式GARCH(1,1)模型參數・・・・・・‧・・・51
表12、臺灣股市週報酬率之結構GARCH現象估計結果・・・・・‧・・・・・・・・・・・・‧・・・・・・・・‧・54




                             圖次目錄
圖1、研究流程圖・・・・・・・・・・・・・・‧・・・・・・・・・・・・‧・・・・・・・・・・・・・・・・‧・・・・・・・・・・・・‧・‧・・・3
圖2、台灣股市週報酬率以及滾動變異數比較圖・・・・・・・・・・・・・・・‧・・・・・・・・・・・・‧・・・‧・・・45
圖3、GARCH模型條件變異數及滾動變異數走勢圖・・・・・・・・・・・・・・・・・・・・‧・・・・・・・・・・・・47
圖4結構轉折GARCH模型條件變異數及滾動變異數・・・・・・・・・・・・・・・・・・・・・・・・・・‧・・・・・51
圖5、台灣股市週報酬和所有LR檢定統計量之對照圖・・・・・・・・・・・・・・・‧・・・・・・・・・・・・‧・・52

ㄧ、中文部份
王惠中，「臺灣股市弱式效率檢定與異質變異數模型之應用」，淡江大學金融所碩 
    士論文，民國八十年。
王淑君，「臺灣股市波動因子之探討-GARCH模型之應用」，台灣大學農業經濟學  
    研究所碩士論文，民國八十九年六月。
王耀輝，「台灣股票市場加權指數與交易量日內行為研究」，台灣大學財務金融學 
    系碩士論文，民國八十年六月。
李秀雯，「股票市場波動性與總體經濟因素波動性及市場交易量之關係」，淡江大
    學財務金融學系碩士論文，民國八十七年六月。
林德華和王珄，「台灣股市成交量對股價波動的影響 1986-1994 GARCH修正模
    型之應用」，台北市銀行月刊，第十九卷第七期，民國八十四年，頁50-48。
周志隆，「股票風險波動性之研究—異質條件變異數分析法」，台灣大學商學研究所碩士論文，民國七十九年六月。
徐合成，「台灣股市股票報酬率與交易量關係之實證研究--GARCH 模型之應用」，台
    灣大學財務金融學系碩士論文，民國八十二年六月。
陳元保，「股市波動與經濟波動的因果關係」，中國經濟學會年會論文集，民國八十六年，頁1-22。
陳仕偉，「台灣景氣循環與股票市場波動性之探討 : 馬可夫轉換模型之應用」，政治大學經濟系碩士論文，民國八十九年六月。
陳功業，「台灣股票市場波動性之研究」，政治大學國際貿易學系碩士論文，民國
    八十七年六月。
陳斐紋，「臺灣股票市場報酬率與波動性預測之研究–ARCH-family模型之運用」
     ，台灣大學財務金融學系碩士論文，民國八十四年六月。
陳煒朋，「GARCH模型與隱含波動性模型預測能力之比較」，淡江大學金融所碩 
    士論文，民國八十八年六月。
高崇傑，「台灣股價與景氣循環關係之研究」，政治大學財政研究所碩士論文，民國八十九年六月。
許文成，「台灣股票市場波動性之衡量及其影響因素之探討」，中山大學財務管理 
    研究所碩士論文，民國八十四年六月。
郭福欽，「台灣股票報酬率波動之不對稱性、假日效果之研究¬—不對稱P-GARCH模型
    實證應用」，輔仁大學金融研究所碩士論文，民國八十五年六月。
陽華欽，「台灣股票市場波動性之研究-ARCH-M 修正模型應用」，輔仁大學經濟   
   研究所碩士論文，民國八十九年六月。
陽晴華，「影響股市波動性因素之研究-ARCH-M修正模型應用」，輔仁大學經
    濟研究所碩士論文，民國八十九年六月。
黃德芬，「台灣股票市場波動性與基本面因素及市場交易因素之關係之研究實 
    證」，台灣大學財務金融學系碩士論文，民國八十二年六月。
黃冠瑋，「結合蒙地卡羅模擬法與波動性模型之涉險值分析」，淡江大學金融所碩 
    士論文，民國八十八年六月。
劉亞秋，「台灣與香港股市成交量對股票報酬及其波動性關係之研究」，管理學
    報，第十三卷第二期，民國八十五年七月，頁331-352。
劉曦敏、葛豐瑞 (1996),「台灣股價指數報酬率之線性及非線性變動」, 經濟研究, 34:1, 73-109.
鐘淑玲，「台灣股票市場風險性溢價與持續性波動之實證研究–序列相關及異質變異分   
     析法」，台灣大學商學研究所，民國七十八年六月。


二、英文部分
Akgiray, V. R.(1989),“Conditional heteroscedasticity in time series of stock returns : evidence and forecasts,”Journal of Business, 1, 3-40.
Abdullah, D. A., and  Hayworth, S.C.(1993),“Macroeconometrics of stock price function fluctuation quarterly,”Journal of Business and Economics, 32, 50-67. 
Aggarwal, R., and Inclan, C., and Leal, C.(1998),“Volatility in emerging stock markets,”Journal of Financial and Quantitative Analysis, 34, 33-35.
Andreou, E., and Ghysels, E.(2002), “Detecting multiple breaks in financial market Volatility Dynamics,”Journal of Applied Econometrics, 17, 579-600.
Bai, J., and Perron, P.(2003),“Computation and analysis of multiple structural change models,” Journal of Applied Econometrics, 18, 1-22.
Bailie, R. T.,and DeGennaro, R. P.(1990),“Stock returns and volatility,”Journal of Financial and Quantitative Analysis, 25, 203-214.
Berndt, E. K., Hall, B. H., Hall, R. E., and Hausman, J. A.(1974),“Estimation and inference in nonlinear structural models,”Annals of Economics and Social Measurement, 4, 653-665.
Blacl, F.(1976),“Studies of stock price volatility changes proceeding of the 1976 meeting of business and economics statistics section,”American Statistical Association, 13, 177-181.
Bollerslev, T.(1986),“Generalized autoregressive conditional heteroscedasticity,”Journal of Econometrics, 31, 307-327.
Bollerslev, T.(1987),“A conditional heteroscedastic time series model for speculative prices and rates of returns,”Review of Economics and Statistics, 69, 542-547.
Bollerslev, T., and Engle, R. F.(1986),“Modeling the persistence of conditional variance,”Econometric Review, 5, 1-50.
Bollerslev, T., Engle, R. F., and Wooldridge, J. M.(1988),“A capital asset priceing model with time-varying covariance,”Journal of Political Economy, 96, 116-131.
Box, Jenkins(1976), Time series analysis : forecasting and control, Holden-Day Inc.
Campbell, J. Y., Lettau, M., Malkiel, B.G., and Xu, Y.(2001),“Have individual stocks become more volatile ? An empirical exploration of have indiosyncratic risk,”Journal of Finance, 41, 1-43.
Chen, C.R., Mohan, N. J., Steiner, T. L.(1999)“The determinants of  common-stock returns volatility – an international  comparison, ”Journal of Banking and Finance, 23, 897-925. 
Chen, N.F., Roll, R., Ross, S.(1986) ,“Stock volatility,” Journal of Business. Chicago, 59, 383-403.
Chrisite, A.A.(1982),“The stochastic behavior of common stock variance : value leverage and interest rate effects,”Journal of Financial Economics
, 10, 407-432.
Cohen, K.J., Ness, W.L.(1976),“Stock return variances: The Arrival of Information and the Reaction of Traders action of Traders,”Journal of Finance., 31, 733.
Culter, D.M., James, M.P., and Lawrence, H.S.(1989),“What moves stock price ?, ”The Journal of Portfolio Magnement, 15, 4-12. 
Dhakil, D., Kandil, M., and sharma, S. C.(1993),“Causality between the money supply and share price,”Quarterly Journal of Business and Economics,
32, 53-71.
Dickey, D. A., and Fuller, W. A.(1979),“Distribution of estimators for autoregressive time series with unit root,”Journal of American Statistics Associstion, 74, 427-431.
Dufffee, G. R.(1995),“Variance function estimation,”Journal of American Statistical Association, 82, 1079-1091.
Eizaguirre, J. C., Biscarri, J. G., and Hidalgo, F. P. D.G.(2004),“Structural changes in volatility and stock market development: Evidence for Spain,”Journal of Banking and Finance, 28, 1745-1773.
Engle, R. F.(1982),“Autoregressive conditional heteroscedasticity with estimates of variance of the United Kingdom inflation,”Econometrica, 50, 987-1008.
Engle, R. F, Lilien, D. M., and Robins, R. P.(1987),“Estimating time varying risk permia in the term structure : The ARCH-M model,”Econometrica
, 55, 391-407.
Fama, E. F.(1990),“Stock return and inflation,”The American Economic Review
      , 71, 545-565.
Fama, E. F., and French, K. R.(1989),“Business condition and expected return on stock and bond,”Journal of Financial Economics, 25, 23-49. 
French, K, R., and Roll, R.(1986),“Stock return volatility and information: An empirical analysis of Pacific Rim, UK and US equity markets,”Journal of Financial Economic, 17, 5-27.
French, K. R., Schwert, G. W., and Stambaugh, R.(1987),“Expected stock return and volatility,”Journal of Financial Economics, 19, 3-29
Fornari, F., and Mele.Antonio.(1997),“Sing and volatility-switching ARCH models : Theory and applications to international stock market,”Journal of Applied Econometrics, 12, 49-65.
Fortune, P.(1989),“An Assessment of Financial Market Volatility Bills, Bonds, and Stocks,”New England Economic Review. Boston,31, 13-29.
Gallant, R., Rossi, P., and Tauchen, G.(1986-1998),“Economic forces and the stock market,”The Review of Financial Studies , 5, 199-243. 
Gallant, A. P., Rossi, P. E., and Tauchen, G.(1990),“Stock price and volume,” Economics, 3, 241-252. 
Glosten, L. R., Jagannathan, R., and Runkle, D. E.(1992),“On the relation between the expected value and volatility on nominal excess return on stocks,”Journal of Finance, 48, 19-1801.
Granger, C. W. J., and Newbold, P.(1974),“Spurious regression in econometrics,”Journal of Econometrics, 2, 111-120.
Hamilton, J. D., and Lin, G.(1996)“The causes of stock market volatility in Australia,”Journal of Applied Econometrics, 11, 573-594.
Hardouvelis, G. A.(1990),“Margin requirement, volatility, and the transitory component of stock price,”American Economic Review, 80,736-762.
Hentschel, L.(1995),“All in the family : Nesting symmetric and asymmetric GARCH models,”Journal of Financial Economics, 39, 71-104.
Kearney, C., and Daly, K.(1998),“Discount rate changes, stock market returns, volatility, and trading volume: Evidence from intraday data and implications for market efficiency,”Applied Financial Economics,8, 597-606.
Kwiatkowski , D., Phillips, P., Schmdit, P., and Shin , Y.(1992),“Testing the null hypothesis of stationary against the alternative of a unit root : How are we that economic time series have a unit root,”Journal of Econometric, 54, 159-178.
Lamoureux, C. G., and Lastrapes, W. D.(1990),“Heteroscedasticity in stock return data : volume versus GARCH effect,”Journal of Finance, 45, 221-230.
Li, L., and Hu, Z. F.(1998),“Responses of stock market to macroeconomic announcements across economic state, ”International Monetary Fund, Working Paper.
Liljeblom, E., and Stenius, M.(1997),“Macroeconomic volatility and stock market volatility : empirical evidence on Finish data,”Applied Financial Economics, 31, 419-426.
Mandelbort, B.(1963),“The variance of certain speculative prices,”Journal of Business, 36, 394-419.
Morgan, I. G.(1976),“Stock price and heteroscedasticity,”Journal of Business, 49, 496-508.
Nelson, D. B.(1991),“Conditional heteroscedasticity in asset returns : A new approach,”Econometrica, 59, 347-370.
Officer, R. R.(1973),“The variability of the market factor of  New York stock exchange,”Journal of Business, 46, 434-453.
Phillips, P. C. B.,(1988)“Testing for unit roots in a time series regression,” Bionetrika, 75, 335-346.
Phillips, P. C. B., and Perron, P.(1988)“Testing a unit root in time series regression,”Biometrika, 75, 335-346.
Poon, S., and Taylor, S. J.(1992),“Stock returns and volatility : An Empirical Study of the UK stock market,”Journal of Banking and Finance, 16, 37-59.
Pooter, M. D., and Dijk, D.V.(2004), “Testing for Changes in Volatility in Heteroskeastic Time Series—A Further Examination,”working paper, Erasmus University.
Rabemananjara, R., and Zakoian, J. M.(1993),“Threshold ARCH models and asymmetries in volatility ,”Journal of Applied Economics, 8, 31-49.
Said, S. E., and Dickey, D.A.(1984),“Testing for unit roots in autoregressive moving average models of unknown order ,”Bionetrika, 71, 599-608.
Schwert, G. W.(1989),“Why does stock market volatility change over time?,” Journal of Finance, 44, 1115-1153.
Schwert, G. W., and Seguin, P. J.(1990),“Heteroscedasticity in stock return,”Journal of Finance, 45, 1129-1155.
Shiller, R.(2000),“Irrational exuberance,”working paper, Princeton University.
Sill, K.(1993),“Stock market volatility and the business cycle,”Canadian Journal of Economics, 31, 125-147.
Song, H., Liu, X., and Romilly, P.(1998),“Stock return and volatility : An empirical study of Chinese stock market,”International Review of Applies Economics, 12, 129-139. 
Spiro, P.S.(1990),“The impact of interest rate change on stock price volatility,”
       Journal of Portfolio Management, 16, 63-68.
Tasy, R.S.(2002), Analysis of Financial Time Series, 79-169. Wiley Inc.