本研究是第一篇主要探討台灣產業股票指數報酬與匯率報酬之間的尾部相依 結構。極端報酬事件(指極大正或負報酬)同時發生於股市和匯市的頻率愈發平常， 因此，了解尾部風險結構於兩市場間具有相當大的重要性。我們使用關聯結構模型 來找出尾部相依結構，其主要結果發現大部分的產業報酬與匯率表現間具有對稱 尾部相依性(兩市場於尾端機率同時發生負報酬及正報酬之現象)，並近一步透過 回歸分析尾部相依結構，發現產業出口比率對於右尾尾部相依性具有正面影響。本 篇研究之實證結果在風險管理上有重要的含義，尤其對專門投資於台灣產業之投 資人或機構在風險管理目標提供一項參考。

Our study examines the tail dependence on assets between exchange rates and industrial stock indices in Taiwan during the period 1998-2017. This is the first study that examines the tail dependence between the exchange rate returns and the industry-level stock returns in the Taiwanese context. The events of extreme returns (i.e., large positive or large negative returns) occur more frequently both in the exchange rate market and the stock market; therefore, it is important to understand the tail dependence tied up between the two markets. Using the copula method to measure the tail dependence, we find that, the tail dependence exists between the exchange rate returns and the industrial stock returns both in terms of negative returns (i.e., lower tail dependence) and positive returns (i.e., upper tail dependence). Furthermore, we investigate a potential factor that may drive the tail dependence. We find that the export ratio of an industry is positively associated with the upper tail dependence. Our findings have important implications for risk management, especially for investors who own the portfolio consisting of exchange rates and Taiwanese industry-level index.

1. Introduction 1
2. Empirical Methodology 5
2.1 Sklar’s theorem 5
2.2 Measure of tail dependence 6
2.3 Copulas estimation 7
2.3.1 The marginal models 7
2.3.2 Static copula models 8
3. Data 10
4. Results 14
4.1 Marginal model results 14
4.2 Copula model results 15
4.3 Industry characteristics and tail dependence 19
4.3.1 Industry characteristic 20
4.3.2 Regression model 20
4.3.3 Regression results 22
5. Conclusions 26
References 27
LIST OF TABLES 29
LIST OF FIGURES 30

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