一直以來，對於波動度不對稱的解釋上仍保有相當大的討論空間，Black (1976) 以槓桿效果來作為說明，有些學者卻持反對意見，認為槓桿效果的解釋不夠充分，提出風險溢酬隨時間改變之理論，亦稱為波動度回饋效果，各有各的看法，然而Ericsson、Huang與Mazzotta (2016) 同時探討這兩種效果，並採用追蹤資料向量自我迴歸模型(Panel Vector Autoregression Model)，加入考量內生性因素，同時觀察波動度、槓桿比率和風險溢酬之間的動態關係。
本研究採用追蹤資料向量自我迴歸模型研究台灣上市櫃公司，探討兩種資料型態，一為期間2002 – 2015年，資料頻率為半年，二為2007年9月至2015年底，資料頻率為季，我們發現兩種資料型態的結果十分相似，於台灣股票市場，槓桿效果和波動度回饋效果都能夠解釋台股的波動度不對稱，而特別的是，槓桿效果具有延長的影響效果，稱為累積槓桿效果。
另外本研究還探討2008年金融風暴發生前、發生時以及發生後之間的變化比較，發現金融風暴發生前後的改變並不大，槓桿效果和波動度回饋效果依然能解釋波動度不對稱現象，然而於發生金融風暴期間，槓桿效果和波動度回饋效果皆不再存在。

All along, there has been still considerable room for discussion on the asymmetry of volatility. Black (1976) proposes the leverage effect as a description, while some scholars believe that the leverage effect is not sufficient enough to explain. They then propose the theory regarding the risk premium will change as time pass by, which is also known as the effect of volatility feedback. Ericsson, Huang and Mazzotta (2016), discuss both effect, use the Panel Vector Auto-regression Model, and take the endogenous factors into consideration, in order to observe the dynamic relationship between volatility, leverage ratio and the risk premium.
In this paper, we use the Panel Data Vector Auto-regression model to study the Taiwan listed companies. We explore two types of data, one for the period 2002-2015, the frequency of data for a half year, the other period from September 2007 to the end of 2015, the frequency of data for a quarter, We find that the results of the two types of data are very similar in the Taiwan stock market, and both the leverage and volatility feedback effect can explain the volatility of the asymmetric volatility in the Taiwan stock market. What’s more, we find that there is extended effect within the leverage effect, known as Cumulative Leverage Effect.
In addition, this study also discusses the changes before, the changes after, and the changes during the financial turmoil in 2008. We find that the change before and after the financial turmoil is not huge; the leverage effect and the volatility feedback effect can both still explain the phenomenon of volatility asymmetry. However, during the financial turmoil, the leverage effect and the volatility feedback effect no longer exist.

論文審定書 .................................................................. i
摘要.................................................................. ii
Abstract .................................................................. iii
1、緒論 ----------------------------------------------------------------- 1
1.1研究動機 ------------------------------------------------------------ 1
1.2研究目的 ------------------------------------------------------------ 3
2、文獻回顧 ------------------------------------------------------------ 6
2.1波動度不對稱 ------------------------------------------------------ 6
2.2槓桿效果 (leverage effect) -------------------------------------- 8
2.3波動度回饋效果 (volatility feedback effect) ----------------- 9
2.4其他相關解釋因素 ----------------------------------------------- 10
2.5金融危機事件 ----------------------------------------------------- 11
3、理論模型 ----------------------------------------------------------- 14
3.1建構包含槓桿效果之模型 -------------------------------------- 14
3.2加入因時間改變的風險溢酬之模型 -------------------------- 15
4、樣本與敘述統計 -------------------------------------------------- 17
4.1樣本資料 ----------------------------------------------------------- 17
4.2變數定義 ----------------------------------------------------------- 17
4.3敘述統計 ----------------------------------------------------------- 19
5、實證結果 ----------------------------------------------------------- 23
5.1槓桿效果 ----------------------------------------------------------- 25
5.2波動度回饋效果 -------------------------------------------------- 27
5.3其他變數之間的關係 -------------------------------------------- 28
5.4發生金融危機事件時的變化 ----------------------------------- 33
5.5權值股的延伸探討 ----------------------------------------------- 36
6、結論 ----------------------------------------------------------------- 38
參考文獻 --------------------------------------------------------------- 41
附錄 --------------------------------------------------------------------- 46

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