東亞和全球之間國際金融關係：全球向量自我回歸模分析

本研究呈現八個東亞經濟體(如越南，中國，印尼，馬來西亞，新加坡，印度，南韓,及台灣)與其主要貿易夥伴之間的國際金融關係之實證分析，樣本期間為2002至2013年。我們以向量自我回歸模型與全球向量自我回歸模型測試當主要貿易夥伴面臨經濟方面的創新時，如何透過管道影響此八個東亞經濟體的金融市場表現，在本文，我們主要研究股票市場報酬與外匯市場報酬的表現。本研究主要目的在於以全球向量自我回歸模型衡量並分析來自國際金融市場的衝擊對國內兩個金融市場帶來之影響以及其二者之間相互之影響。不同於向量自我回歸模型，全球向量自我回歸模型讓我們得以探究來自多國的金融市場的衝擊對單一經濟體的金融市場的影響.再者，該模型以衝擊反應函數捕捉世界經濟體彼此間的交互作用。我們的研究結果證實先進國家(如美國，日本，歐元區) 對越南和中國造成的衝擊相較於其他東亞經濟體的金融市場表現較弱。

關鍵字

向量自我回歸模型，全球向量自我回歸模型，國際關係，匯率市場，股票市場

並列摘要

This study presents an empirical analysis of financial linkages between and within eight selected East- Asian countries (namely: Vietnam, China, Indonesia, Malaysia, Singapore, India, Korea and Taiwan) and their main trading partners, over the period 2002-2013. We also test for the efficiency with which innovation between these markets are transmitted in these eight countries, using two competing methodologies, i.e., vector autoregression (VAR) and global vector autoregession (GVAR). Specifically, this paper provides a framework to analysis on the relationship between and within two financial variables that are stock returns and exchange rate returns. The remarkable objective of the present research is to provide GVAR framework for measuring and analyzing the interaction of the domestic to international financial market shocks. Different from the one-country VAR, the GVAR specifically allows for contemporaneous feedback effects from changes in stock prices and exchange rates from the rest of the world to a certain country. Moreover, these models capture the interactions in the world economy by using Impulse Response Functions (IRFs). Our main finding confirm that there are remain strong effect from advanced economies as U.S., Japan and Europe on the eight East-Asian countries region in equity market and currency market perspective but weaker in Vietnam and China market.

並列關鍵字

Exchange Rate Market ； International Linkages ； VAR model ； and Stock Market. ； GVAR Model

參考文獻

Antonakakis, N. (2012). Exchange return co-movements and volatility spillovers before and after the introduction of euro. Journal of International Financial Markets, Institutions and Money, 22(5), 1091-1109. doi: http://dx.doi.org/10.1016/j.intfin.2012.05.009

Caporale, G. M., Hunter, J., & Menla Ali, F. (2014). On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010. International Review of Financial Analysis, 33(0), 87-103. doi: http://dx.doi.org/10.1016/j.irfa.2013.12.005

Cheung, Y.-L., & Mak, S.-C. (1992). The international transmission of stock market fluctuation between the developed markets and the Asian—Pacific markets. Applied Financial Economics, 2(1), 43-47.

Chkili, W., Aloui, C., & Nguyen, D. K. (2012). Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates. Journal of International Financial Markets, Institutions and Money, 22(4), 738-757. doi: http://dx.doi.org/10.1016/j.intfin.2012.04.009

De Gooijer, J. G., & Sivarajasingham, S. (2008). Parametric and nonparametric Granger causality testing: Linkages between international stock markets. Physica A: Statistical Mechanics and its Applications, 387(11), 2547-2560. doi: http://dx.doi.org/10.1016/j.physa.2008.01.033

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東亞和全球之間國際金融關係：全球向量自我回歸模分析

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