亞洲金融危機期間股票市場的蔓延效果

Contagion Effects in Stock Markets during the Asian Financial Crisis

方文碩(Wen-Shwo Fang) ； 王冠閔(Kuan-Min Wang) ； 董澍琦(Shuh-Chyi Doong)

《管理評論》 25卷2期 (2006/04) Pp. 61-82

https://doi.org/10.6656/MR.2006.25.2.CHI.61

摘要

本文檢定亞洲金融危機期間東南亞9個國家股票市場蔓延效果。我們先利用Inclán and Tiao(1994)的反覆累積平方加總運算(ICSS)對樣本國家股票報酬變異數進行結構改變檢定，決定金融危機期間樣本，及設定虛擬變數，避免高估市場波動；再利用Engle(2002)的動態條件相關(DCC)多變量GARCH模型估計隨時間變動相關係數，計算其平均值，檢定金融危機期間，是否不同於危機前的穩定期間，據以判斷股票市場的蔓延效果。實證結果發現，亞洲金融危機顯著衝擊樣本國家股票市場，危機後樣本期間變異數皆大於危機前，且危機後樣本相關係數平均值多呈顯著的增加或減少，亞洲股票市場普遍出現蔓延效果，或至少為相互依存效果。此一證據顯示亞洲區域國家股票市場存在共同移動性，且金融危機多顯著衝擊市場間的共同移動走勢，建議股票市場投資人應考慮鄰近區域國家的市場表現及金融外生衝擊為決策變數，如果忽略區域國家的經濟、金融及市場訊息將增加投資報酬的不確定性。

關鍵字

亞洲金融危機 ； 股票市場 ； 蔓延效果 ； ICSS運算法 ； DCC估計式

並列摘要

This study examines whether contagion effects existed in the nine Asian stock markets during the Asian financial crisis. The time points of structural changes in stock return volatility are detected based on the iterated cumulative sums of squares (ICSS) algorithm developed by Inclán and Tiao (1994), identifying the sample period during the crisis and adding dummies to avoid overestimation of the volatility. Additionally, time-varying correlation coefficients are estimated through the dynamic conditional correlation (DCC) multivariate GARCH model of Engle (2002). In order to identify the contagion effect, we test whether the mean of the estimated DCC coefficients in the period of turmoil after the crisis differs from that in the stable period before the crisis. Empirical findings show that most of the stock markets demonstrate a significant increase or decrease of the mean correlation coefficients across countries after the crisis in comparison to periods before the crisis. Generally, contagion effects exist in the Asian stock markets, or at least, there is an effect of interdependence. Evidence suggests that domestic stock market investors need to consider financial impacts in neighboring countries when making their investment decisions. Overlooking information concerning regional and national economies, finances, and the market developments will bring about increased uncertainty on investment profits.

並列關鍵字

Asian financial crisis ； stock market ； contagion effect ； ICSS algorithm ； DCC estimator

參考文獻

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