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5 Disseraion NameAn Empirical sudy on he relaion of Taiwan sock marke volailiy and macroeconomics volailiy Absrac According o Campbell, Leau, Malkiel and Xu(001), his paper uses a disaggregaed approach o sudy he volailiy of common socks a he marke, indusry, and firm levels. Over he period here has been a noiceable increase in firm-level volailiy relaive o marke volailiy. According, correlaions among individual socks and he explanaory power of he marke for a ypical sock has declined, while he number of socks needed o achieve a given level of diversificaion has increased. All he volailiy measures move ogeher couner-cyclically bu can help o predic GDP growh. Marke volailiy ends o lead he oher volailiy series. Facors ha may be responsible for hese findings are suggesed. Las, we check weaher he macroeconomics variables raes, exchanges raes, money supply, indusry produciviy and inflaions can affec he sock marke volailiy or no. Our finding is like he lis: 1.Over he period here has been a noiceable increase in firm-level volailiy relaive o marke volailiy..relaive o hree-level volailiy, firm-level volailiy is he mos imporan par in he aggregaed marke volailiy. 3.In differen indusry, indusry-level and firm-level volailiy has differen level variances. 4.Correlaions among individual socks and he explanaory power of he marke for a ypical sock has declined, while he number of socks needed o achieve a given level of diversificaion has increased. 5.All he volailiy measures move ogeher couner-cyclically bu can help o predic GDP growh. 6.The marke, indusry, and firm levels volailiy was no affec by he macroeconomics variable s lagged period. Bu he marke, indusry, and firm levels volailiy was affec by he macroeconomics variable s conemporaneous period.

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10 () Bollerslev, Chou, and Kroner(199)Henschel(1995)Ghysels, Harvey, and Renaul(1996) Campbell, Lo, and Mackinlay(1997) (ARCH)

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32 = ( µ ) σ m Rm m σ m R m µ m = R i Rm ε i Ri ε i Var ( R i ) = Var ( = Var ( R R m m ) Var ( ) Var ( ε ε i i ) Cov ( ) ( β mi R m, ε i ) 1) Var ( R m ) β mi

33 = i mi i w 1 β σ σ ε ε ) ( ) ( ) ( m i i i m i i Var i Var Var w R R w = = w i σ ε η ε ij i ij Rm R = Rij ηij ), ( ), ( ), ( ) ( ) ( ) ( ) ( η η ε ε η ε ij m ij I i m ij i m ij R R R R Cov COV Cov Var Var Var Var = β ) ( 1) 1)( ( ) ( 1) ( ) 1) ( 1) (, 1) ( ( ), ( ~ ~ ~ ~ R R R m mj mi i ij i ij m mj ij m mi i ij i Var Var Cov Cov = = β β ε β ε β β η β ε η ε ) ( 1) ( ), ( R R m mj ij m Var Cov = β η β mj β ij

34 w j i ij R Var ( ) = Var ( ) Var ( ) ( 1) Var ( ) ij R ( η ) σ η i w Var ij j i ij m ε i σ ηi β mi R m wij i w w i w = 1 i β i j i mi Var( ij R ij ) = Var( ) Var( ) m i i = σ m R σ ε i σ η w ε i wiσ η i = Var( ) σ η wiσ i ηi w w i i j i ij η ij MKT = σˆ = ( m Rms µ s m ) MKT R ms µ m IND w i σˆi ε i = ˆ σ ε = i ε is s IND

35 σ η ˆi i w i FIRM = σ σ η ˆη ˆ ij i j i w ij = = s ij η ijs σ η ˆ FIRM 1-1 σ σ σ ) ( ) ( ) ( 1 r r r E FIRM E E IND E E MKT E = ) ( ), ( ) ( ), ( ) ( ), ( ) ( ) ( ) ( ) ( ) ( ) ( 1 σ σ σ σ σ σ r r r r r r Var FIRM IND Cov Var FIRM MKT Cov Var IND MKT Cov Var FIRM Var Var IND Var Var MKT Var = σ ) ( r E FIRM E σ ) ( r E MKT E

36 X, Y X, Y k k = C0 i X i βi Y i i= 1 i= 1 Y α µ k k = C0 δiy i γi X i i = 1 i= 1 X v α i δ i α i δ i α δ α 1-3 ε σ = α β x ε σ x i i i δ i

37 σ σ = x E 1 x τ σ x σ E 1 x τ σ 4 = α x β σ x, i i = 1 ε R i β im R m ε~i = R = β Var ( R ) σ~ m Var ( ) i i im

38 ε ~ i σ ~ i ε ~ i β R ε ~ η~ m i R ij im = ij j i w ij R β R σ σ ( ) = Var ( ) ~ ij im m i η ij Var η ~ ij σ η i η ~ ij ε ~ i η ~ ij 1 1 (3..0) β im

39 1-5 GDP α β GDP β RVW β MKT β IND FIRM i 1 = β GDP RVW 1

40 1 1 R = K α id i β j R K, j i = 1 j = 1 ε K R K Di

41 0.5 εˆk π/ σˆ k 0.5 ( π /) ε ( ) = ˆ k σ ) k σ ) k σˆ 1 1 = k γ β id i jσˆ k, j i= 1 j= 1 µ k Rk ) µ = θ θ σ~ k ξ k 0 1 k θ 1 µ ~ k ( ) π / Nelson (Correcion Term) 0.5 E ) = ( π ) ε k σ k / ( π /) 0.5

42 σ ~ k R k 1 1 = C0 ix i βi Y i i= 1 i= 1 Y α µ 1 1 = C0 δiy i γi X i i = 1 i = 1 X v σ βˆ σ ˆ = α x β σˆ M β σˆ CPI β σˆ IP β σˆ ˆ 1,, 3, 4 R, X, 5 σˆx µ

43 σˆ CPI, σˆ M, σˆ IP, σˆ R, σˆ X,

44 p i= 1 p i= 1 p i= 1 β0 S( β 0)

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50 4. ( ) MKT = m = ( ms m) σˆ s R µ i σˆ ε i IND w i = FIRM w i i σˆ η i =

51 4.3 ( 1 ) MKT = m = ( ms m) σˆ s R µ i σˆ ε i IND w i = FIRM w i i σˆ η i =

52 4.4

53 4-1 1 (70-89 ) (80-89 )

54 4- ADF i= 1 i= 1 p p AIC * 5 (70-89 ) (80-89 ) * * * * * -5.65* * * * * * *

55 4-3 σ x = α β ε σ x ****** *100 *100 *100( ) *10^ * * * ** ** * * ** **

56 Campbell e al.(001)

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58 4-4 8 R = i β mi R m ε ~i = ~ R ij β R mi m ε R i R m β mi i Rij ε ~ i i η ij β mj * j η ij ****** (%) * * * *** ** * *** ** *** ***-3.433

59 4-5 (de-rended) ε σ x = α β σ x ε Panel A (70-89 ) Panel B (80-89 )

60 4-6 ( ) ( ) ( ) 1 = E MKT E IND E FIRM E σ r E σ r E σ r Var ( MKT ) Var ( IND ) Var ( FIRM) Cov ( MKT, IND ) 1 = Var ( σr) Var ( σr) Var ( σr) Var ( σr) Cov ( MKT, FIRM ) Cov ( IND, FIRM) Var ( σr) Var ( σr) MKT IND FIRM σ x σ σ τ = x E 1 x σ x E σ 1 x τ Panel A ( ) (%) (%) (%) 1/70-1/ /75-1/ /80-1/ /85-1/ /70-1/ /80-1/ /70-1/ Panel B ( ) (70-89 ) (80-89 ) E E Panel C ( ) E E Granger

61 4-7 Granger k k = C0 i X i βi Y i i= 1 i= 1 k k = C0 δi Y i γi X i i= 1 i= 1 Y α µ X v XY P ( ) AIC ****** (70-89 ) (80-89 ) (1) ** (1) () * (1) (1) * (11) 0.5 (7) (1) ** (1) * (10) 0.090* (4) (8)

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63 ****** () () () *** *** *** ***

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66 1 0 GDP GDP σ = x E σ 1 x τ σ x E σ 1 x τ σ x = α 4 β σ i = 1 x, i Panel A ε Panel B GDP

67 FIRM IND MKT RVW GDP GDP i = β β β β β α

68 GDP RVW 1 MKT 1 IND 1 FIRM 1 ( ) ****** Panel A (70-89 ) GDP -1 RVW -1 MKT -1 IND -1 FIRM (-1.354) (-1.415) -0.8* (-1.757) (-1.48) 0.301* (-1.799) (-1.467) -0.34* (-1.716) -0.30* (-1.764) 9.94E-05 (0.65) (0.66) (0.67) * (-0.91) (1.453) 1.8E (0.037) (1.143) * (-1.160) (-1.96) (1.608) (-0.194) (-1.103) (-1.18) (-0.848) (-1.135) * (1.471) (1.575)* Panel B (80-89 ). (1.100) (-1.37) (-0.98) GDP -1 RVW -1 MKT -1 IND -1 FIRM (-1.147) (-1.571) ** (-.394) (-1.478) ** (-.41) (-1.669) -0.53** (-.51) -0.54** (-.511) (-0.45) (-0.709) (1.417) (-1.896)* ** (.686) (-1.137) * (-1.875) (-1.101) * (-1.879) * (-1.818) (-0.148) (-0.039) (0.555) ** (.637) ** (-.118) *** (.794) (1.451) (1.59) (0.000) *** (-.156)

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71 i= 1 p AIC * 1-1.1* * -19.8* -9.58* * Schwer(1989)

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73 i= 1 p AIC * * * -9.89* * -10.4*

74 4-15 Granger Granger F 1 : 1 1 = C0 i X i βiy i i= 1 i= 1 Y α µ 1 1 = C 0 δiy i γi X i i = 1 i = 1 X v M * 5 MKT IND FIRM σ M σ CPI σ IP σ R σ X MKT 39.0* IND 6.97* FIRM 1.31* σ M * * σ CPI * * σ IP * 3.68* σ R 1.95* 1.88* * 0.95 σ X * (83) (85)

75 4-16 σ = α β σ β σ β σ β σ x m cpi ip r βˆ σ ˆ ˆ ˆ ˆ ˆ ˆ x, µ 1,, 3, 4, 5 σˆx σˆ m, σˆ cpi, σˆ r, σˆ ip, σˆ x, ( ) ****** (0.135) (0.1600) (-0.588) (0.4795) 0.059** (.0158) (0.366) ( ) (0.368) ( ) (0.3886) (1.0058) *** ( ) ( ) (0.417) ( ) (0.8996) (1.4791) *** (-.7813)

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