An Impact of the Canada and the U.K. Return Volatility on the Hong Kong and the Singapore Stock Market Returns: A DCC and Bivariate AIGARCH Model

加拿大與英國股票市場報酬波動對香港與新加坡股票市場報酬之影響：DCC與雙變量AIGARCH模型之應用

許正諺(Cheng-Yen Hsu) ； 洪萬吉(Wann-Jyi Horng) ； 許鎦響(Liu-Hsiang Hsu)

《Journal of Data Analysis》 8卷1期 (2013/02) Pp. 55-68

https://doi.org/10.6338/JDA.201302_8(1).0004

摘要

本文以2001年1月至2010年8月之香港與新加坡股價資料，探討香港與新加坡股票市場之間模型的建構與其關聯性。由實證分析結果顯示，以DCC（Dynamic Conditional Correlation）與雙變量AIGARCH（1, 1）模型來探討香港與新加坡股票市場的關係是合適的。實證分析結果指出，香港與新加坡股票市場報酬之間存在正向的關係，其動態條件相關係數之平均值為0.645，即表示這兩個股票市場報酬的波動將相互同步影響。此外，實證分析結果也顯示，香港與新加坡股票市場具有不對稱效果。加拿大與英國股票市場報酬波動率之正、負值，將會影響香港與新加坡股票市場的報酬波動。這些證據可建議股市投資人或國際基金經理人，在香港與新加坡投資股票決策之評估時，需考慮加拿大與英國股票報酬之波動的風險及其關聯性。此外，有關管理當局在穩定股票市場時，更不可忽略外國股票市場報酬波動的影響，否則將達不到預期的效果。

關鍵字

動態條件相關 ； 雙變量AIGARCH模型 ； 股票市場報酬 ； 不對稱效果

並列摘要

This paper discusses the model construction and the association between the Hong Kong and the Singapore stock markets. The data period is from January 2001 to August 2010. The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AIGARCH(1, 1) model are appropriate in evaluating the relationship of the Hong Kong and the Singapore stock markets. The empirical results also indicate that the Hong Kong and the Singapore stock markets are in a positive relation. The average estimation value of correlation coefficient equals 0.645, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Hong Kong and the Singapore stock markets have an asymmetrical effect. The return volatility of the Hong Kong and the Singapore stock markets receives the influence of the positive and negative values of the Canada and the U.K. return volatility rates. The evidence might suggest that stock market investors or international fund manager must consider the Canada stock price return volatility risk and its close connection with the U.K. market while making investment decision on the Hong Kong and the Singapore stock market. In other words, in addition to considering the stability of stock market time, investors should take into consideration the foreign country stock market return volatility behavior in order to achieve the anticipated effect.

並列關鍵字

dynamic conditional correlation ； bivariate AIGARCH model ； stock market returns ； asymmetric effect

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