透過您的圖書館登入
IP:18.212.242.203
  • 學位論文

2008全球金融危機期間台灣與各國股市之關聯性結構分析

The dependence between Taiwan and international stock markets under 2008 Global Financial Crisis

指導教授 : 李美杏
若您是本文的作者,可授權文章由華藝線上圖書館中協助推廣。

摘要


國際股市間有著金融蔓延效果(financial contagion effect),投資者若能了解各國股票市場間的互動行為,便可達到提高投資報酬並降低投資風險之目的。以往探討國際股市間關聯性的相關文獻大多都注重在關聯性程度上的討論,卻忽略關聯性結構的問題,而Copula模型則是近年來常被運用的一種方法。Patton(2006)認為資產間的結構並非固定不變,有時金融市場因為某些重大的因素衝擊可能會使資產間的結構發生變化,因此依據Copula的原理加入時間變動因子(time-varying)建構出Conditional Copula,以藉此來描述隨著時間改變的關聯結構。本研究將利用Patton(2006)所提出的Conditional Copula方法來探討2008年全球金融危機事件的發生對於台灣股市與中國大陸、日本、美國、香港和韓國股市間關聯性結構的相關研究,並將資料分為2008全球金融危機發生前、全球金融危機發生中下跌階段以及全球金融危機發生中上漲階段等3階段來進行探討。 研究結果顯示在2008全球金融危機發生中下跌階段,台灣股市與各國家的股市間相關性呈現明顯的結構性變化且表現一定程度的金融蔓延效果;在全球金融危機發生中上漲階段,台灣股市與中國大陸、香港等國家的股市間相關性仍存在有明顯的結構性變化,而台灣股市與日本、韓國、美國等股市的相關性在金融危機發生中上漲階段則回到與金融危機發生前相似。進一步觀察尾端相依性結構,在金融危機發生中的下跌階段,台灣股市與各國家的股市間的尾端相依性均呈現上升的趨勢,表示在重大的危機事件發生時,這些股價指數對於台灣股市的風險溢出效應是存在的;在金融危機發生中的上漲階段,台灣股市與日本、韓國、美國等國家股市的尾端相依性也回到與金融危機發生前相似,而與中國大陸、香港等國家股市的尾端相依性雖略有下跌,但與金融危機發生前相比較則高出許多,表示在2008全球金融危機之後台灣證券交易所加權股價指數與鄰近兩市場間同時下跌的機率明顯增加,使得台灣股市與鄰近兩市場間的系統風險增加。

並列摘要


The international stock market has a financial contagion effect. If possible, any investor would like to have further understanding about the behavior of various stock markets, it may achieve the goal of enhancement investment reward and reduce the investment risk. Dependence across financial markets has been widely studied, but much previous analysis focuses on the degree of dependence. However, structure of dependence across markets is another important aspect of association and it is often omitted from the existing analysis and discussion. Copulas have certain properties that are very useful in the study of dependence. To amend the volatility of the dependence is constant, Patton (2006) expands Sklar’s theorem to the conditional copula model which allows capturing time-variation relationships. This paper models dependence with conditional copulas to study financial contagion among Taiwan stock market and Mainland, Hong Kong, USA, Japan and Korea stock market under the Global Financial Crisis. The data is divided into three stages to explore: pre-crisis, during-crisis decline period and during-crisis rise period. The study finds obvious increases in dependence between Taiwan and Mainland, Hong Kong, USA, Japan and Korea during during-crisis decline period, so there appears financial contagion effect in them; during during-crisis rise period, we find obvious increases in dependence between Taiwan and Mainland, Hong Kong, and unobvious structure change between Taiwan and USA, Japan and Korea. Furthermore, tail dependence shows the risk spillover effects exist from Mainland, Hong Kong, USA, Japan and Korea during during-crisis decline period; however, the risk spillover effects exist only from Mainland and Hong Kong during during-crisis rise period.

參考文獻


24. 王凱立、陳美玲(2003),「亞洲金融風暴發生前後美國與台灣股市動態關聯之進一步研究」,經濟論文叢刊,Vol.31,191- 252。
27. 吳其定(2007),「滬、港、台、美四地股市指數與區域經濟成長關聯性及共整合之研究─以中、港CEPA 實施前後期為例」,碩士論文,國立中央大學財務金融研究所。
28. 賴彥君(2007),「美國次級房貸風暴對全球股價走勢衝擊與影響以DCC模型分析」,碩士論文,國立政治大學經濟研究所。
1. Bartram, S.M., S.J. Taylor and Y.H. Wang, 2007. “The Euro and European financial market dependence.” Journal of Banking and Finance, Vol.31, 1461–1481.
2. Baur, D., 2003. “Testing for Contagion-Mean and Volatility Contagion.” Journal of Multinational Financial Management, Vol.13, 405-422.

延伸閱讀