股匯市連動下風險的國際連結

The Volatility Connectedness of Global Stock and Exchange Market

陳永哲(Yung-Che Chen)

指導教授 ： 管中閔

國立臺灣大學/社會科學院/經濟學研究所/碩士(2017年)

https://doi.org/10.6342/NTU201701525

摘要

本論文應用 Diebold 與 Yilmaz 提出的方法，測度了 15 個國家股市與匯市的每週價格波動連結。時間歷時為 2000-01-02 到 2016-12-03。

透過靜態分析，本論文得到以下結論:股匯市共同計算的連結相對於股市 或匯市各別計算的連結正確;韓國匯市相對而言受到日本以及美國股市影響較 多，而非其他匯市;中國股市是系統中吸收最多波動的市場。透過動態分析， 本論文得到以下結論:用來測度股匯市連結的指標與景氣循環還有金融事件相 符合;在美國 QE3 時期，股市顯著被匯市影響;在希臘危機時期，匯市顯著 被股市影響;中國股市崩盤對其他市場有顯著影響是因為中國的貨幣政策。

關鍵字

股票市場 ； 匯率市場 ； 波動 ； 風險測度 ； 金融危機 ； 連結 ； 向量自我回歸 ； 變異數分解

並列摘要

Applying the connectedness measurement proposed by Diebold and Yilmaz, we measure the weekly price volatility connectedness for 15 countries’ stock and exchange markets. The time horizon ranges from 2000-01-02 to 2016-12-03.
Through static analysis, we conclude that the connectedness calculated from stock and exchange markets is more convincing than the connectedness calculated from stock or exchange market only, that the Korea exchange market receive more impact from Japan and U.S. stock markets than other exchange markets, that China’s stock market is the one which absorbs the biggest volatility in the system. Through dynamic analysis, we conclude that the index for measuring the connectedness matches the business cycle and financial events, that the stock markets are significantly impacted by exchange markets during the QE3 from U.S., that the exchange markets are significantly impacted by stock markets during the Greece crisis and that the reason why China stock market has significant impact to other markets is the monetary policy from China.

並列關鍵字

Stock Market ； Exchange Market ； Volatility ； Risk measurement ； Financial Crisis ； Connectedness ； Vector Autoregression ； Variance Decomposition

參考文獻

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Diebold, F. X., Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171.