用關聯結構衡量前緣、開發中與已開發市場的相關性

The Dependence between the Frontier, Emerging and Developed Markets with Copula Method

胡恩偉(En-Wei Hu)

指導教授 ： 王耀輝

國立臺灣大學/管理學院/財務金融學研究所/碩士(2012年)

https://doi.org/10.6342/NTU.2012.02338

摘要

因為前幾年二次房貸與金融海嘯的關係，全球的經濟體系在近年來進行了大規模的重新整合。而由於已開發國家市場與開發中國家市場的相關性逐年升高，因此，所謂的新興前緣市場也獲得了更多的關注。本論文提供了對已開發國家市場、開發中國家市場和新興前緣市場的相關性研究，其中以關聯結構理論( Copula theory )來對這三個市場指數以及其中所包含的國家指數來進行尾端相關性分析。本論文指出這三個市場及其國家的關聯結構幾乎是不對稱的，而在低尾部有較高的相關性，這些性質在地域上相同或接近的國家之間更為顯著。另外，本論文還提供了一種對關聯結構理論延伸的模型，可藉由隨時間變動的尾端機率參數，來建構一個擁有條件相關性的模型，比一般的關聯結構模型有更好的彈性。此模型用來測試近年來的金融危機是否影響了這些市場及國家之間的結構。而論文中指出，所有這些市場及國家的尾部相關性，在金融海嘯之後都有顯著的上升。最後，我們建構出一個簡單的情景分析，說明具有較低的尾端相關性的指數及有適當分散風險的投資組合，在金融海嘯期間會有比較好的投資績效。

關鍵字

關聯結構 ； 前緣市場 ； 尾部相關性 ； 金融海嘯 ； 條件相關性的關聯結構

並列摘要

The global economy is in a massive reconfiguration recent years. Since the emerging markets become more correlated with the developed markets, there are more attentions to the frontier markets. This paper provides the analysis of tail dependences between the developed, emerging and frontier markets and also the countries in these three markets with copula-based method. As a result, the dependence structures are almost asymmetric and have higher dependences in the lower tail, especially at the same or near continents. This paper also considers an extension of the copulas for the conditioning parameters and employs it to construct flexible models of the conditional dependences, comparing with the constant level copulas. We use it to test whether the severe financial crisis in recent years impacts the dependence and asymmetric structures. The results indicate that all the tail dependences of these markets and also the countries in these markets rise to a higher level. Finally, given a scenario analysis, with higher weight on the index which has the lower tail dependences and with adequate diversifications, the portfolio would have a greater performance in the crisis period.

並列關鍵字

copula ； frontier markets ； tail dependence ； time varying copula method ； financial crisis

參考文獻

Allen, F. and D. Gale (2007), “An Introduction to Financial Crises.” Wharton Financial Institutions Center Working Paper, August 14, 07-20.

Ang, A., and J. Chen (2002). “Asymmetric Correlations of Equity Portfolios,” Journal of Financial Economics, 63, 443–494.

Ang, A., J. Chen, and Y. Xing (2006). “Downside Risk.” Review of Financial Studies, 19, 1191-1239.

Berger , D., K. Pukthuanthong, and J. J. Yang (2011). “International diversification with frontier markets.” Journal of Financial Economics, 101, 227-242.

Bartram, S. M., and G. M. Bodnar (2009). “No place to hide: The global crisis in equity markets in 2008/2009.” Journal of International Money and Finance, 28, 1246-1292.