美、日股市巨幅波動下的股市連動效果－美國、日本與亞洲四小龍股市實證結果

The Co-movements across Stock Markets-Exploring the Impacts of American and Japanese Index Returns on the Four Asian Tigers'

黎明淵(Ming-Yuan Li) ； 林修葳(Hsiou-Wei Lin) ； 郭憲章(Hsien-Chang Kuo) ； 楊聲勇(Sheng-Yung Yang)

《證券市場發展季刊》 15卷1期 (2003/04) Pp. 117-148

https://doi.org/10.6529/RSFM.2003.15(1).4

摘要

本研究應用Hamilton and Susmel(1994)的Markov-switching ARCH（以下簡稱SWARCH）模型，估計美國道瓊與東京日經指數週報酬率的波動性，藉以分析在美、日股市指數報酬高、低波動狀態下，新、港、韓、台（四者合稱亞洲四小龍）等亞洲新興股市指數報酬與美、日股市指數報酬的相關性。研究結果發現，第一、就同時考慮美、日股市的對新、港、韓、台等亞洲股市的連動影響，當美股與日股同屬高波動性狀態時，對四小龍影響最高，當美股與日股分屬高或低波動狀態，連動影響次之，當美股與日股同屬低波動性狀態時，連動影響最低，反映透過股票市場傳遞的金融傳染病，在國際主要股市屬巨幅震盪時期最為顯著。第二、1990年以後，由於各國金融管制持續放寬，國際金融市場加速整合，國際資金全球化效應，全球資訊電子產業國際分工日趨深化，東亞諸國（尤其台灣）已成為全球資訊電子產業體系的一環，更加深了美國股市巨幅波動下的金融傳染效果。

關鍵字

股市連動性 ； 股價指數報酬 ； 金融風暴 ； 馬可夫轉換模型

並列摘要

This study theoretically adopts Markov-switching models (hereafter SWARCH models) by Hamilton and Susmel (1994). Examine the weekly return variability of stock market indices including Dow Jones (price-weighted), Nikkei (price-weighted), and measures for the four Asian tigers. Via a SWARCH setting, model stock return variances as being state varying, we document greater correlations when index returns are more volatile. Specifically, we specify American and Japanese stock markets as the home markets and include observations for Singapore, Hong Kong, South Korea and Taiwan in the set of foreign markets, exploring the correlations between the home market group and the foreign market group. Our empirical findings support the following notions. First, the correlation appears to be the greatest when both US and Japanese markets are in a high variance state, whereas the first runners up is the correlation for settings one and only home market being based on a high variance state. And the correlation is the lowest when both US and Japan markets are in a low variance state. Our results show that the global financial epidemic is most significant when the major developed markets are volatile. Moreover, the findings suggest that accompanying the rapid growth in global fund transfers, deregulations, and international divisions of labor in the electronic industry, the global market epidemic effect has been significantly increasing since 1990. The research design and test results of this study may add to the literature and practices of measuring cross-country market correlation patterns, implementing risk management systems, and establishing diversification strategies.

並列關鍵字

Co-Movement Effects Across Stock Markets ； Stock Price Returns ； Financial Crisis ； Markov-Switching Model

參考文獻

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