解構或重組－擴散指標運用於金融市場整合檢定與資產配置

2008年金融海嘯之後，全球金融巿場表現，出現解構（de-coupling）或者重組（re-coupling）不同的描述，應與不同市場之間之共移（co-movement）及整合（market integration）程度有關。一般而言，共移和整合程度越高的金融市場，越容易出現重組現象，反之，則稱為解構。本文使用Stock 及Watson（1998）的作法，以主成分分析法（principle component analysis），透過大量的金融市場變數，找出主要影響市場變動的擴散指標（diffusion index），再運用這些擴散指標構成簡單線性模型，驗證全球金融市場之間共移或整合關係，並利用擴散指標之間相互獨立的特性，重新切割金融市場分類成為相互獨立的資產類別，降低資產配置時預期共移及集中度風險與實際的差異之效果，研究結果發現：一、股債受不同擴散指標影響，彼此之間相互獨立，股債雙多、股債雙空是市場常態；二、中小型股票、價值型股票受不同擴散指標影響，彼此獨立，當股巿轉空時，價值型股票可能呈現多頭格局；三、債券可透過新興市場、可轉債市場、高收益及資產證券化市場進行資產配置，調整殖利率對投資組合的影響程度。

關鍵字

解構；重組；擴散指標；共移

並列摘要

After suffering from the credit crunch in 2008, the global financial market is characterized by ”de-coupling.” or ”re-coupling”,which relate to the degree of co-movement and market integration among various markets. Generally speaking, a higher degree of co-movement and market integration of a financial market indicates higher re-coupling. On the contrary, lower degree of co-movement and market integration of a financial market indicates de-coupling. This article will follow the principle component analysis method of Stock and Watson (1998) to find major factors (diffusion index) of market variation by analyzing the financial markets variables. We will extract the information in the larger set of financial market variables to a small set of common factors (diffusion indices), and form linear regression of each variable against diffusion to re-verify the relationship of co-movement among global financial markets. We also use the feature that diffusion indices are independent of each other to redefine the type of financial market as asset types which are also independent of each other. This will reduce the discrepancies between expected and real co-movement and risk of concentration degree. This study indicates that 1) stocks and bonds are affected by different diffusion indices and are independent of each other. Coexisting of bullish or bearish markets for stocks and bonds are common; 2) Mid- and small-cap stock and value stocks are independently affected by different diffusion indices. Value stocks may remain bullish when stock market goes down; 3) Asset allocation of bond exposures can be done through emerging market, convertible bond market, high income and securitization markets to adjust the impact of yield on portfolio.