本研究以2005年8月至2015年7月美股道瓊平均工業指數(Dow jones Industrial Average)、標準普爾500指數(Standard &Poor’s 500; S&P 500)、西德州原油(WTI)、美銀美林美國高收益債Master Π指數、歐元高收益債指數以及新興市場高收益債指數之數據各521筆,探討高收益債指數、國際油價、美股指數間的相互關係,使用共整合、VAR模型、因果關係等實證方法以檢定彼此之間的連動性關係。實證結果發現:在5%顯著水準下,美國高收益債對歐元高收益債、西德州原油、標準普爾、道瓊具有單向因果關係。西德州原油與歐元高收益債有雙向因果關係。西德州原油對新興市場高收益債具有單向因果關係。在10%顯著水準下歐元高收益債對標準對標準普爾和道瓊有單向因果關係。美國高收益債對新興市場高收益債具有單向因果關係。
The major purpose of this study is to explore the interactive relationship among the US High Yield Master II, the High Yield Emerging Market , the Euro High Yield Index, the Dow Jones Industrial Average Index, the S&P500, and the WTI during the period from August 1, 2005 to July 31, 2015. VAR model was adopted in this research to analyze the relationships among the six variables. The empirical analysis obtains the following conclusions:At the 5% level,there exists the single feedback causality from the US High Yield Master II to the Euro High Yield Index、the WTI、the S&P500 and the Dow Jones Industrial Average Index. There exists the feedback causality from the WTI to the the Euro High Yield Emerging Market. At the 10% level,there exists the single feedback causality from the Euro High Yield Index to the S&P500 and the Dow Jones Industrial Average Index.There also exists the single feedback causality from the US High Yield Master II to the Euro High Yield Index.