馬來西亞市場與全球股市的波動性整合：多元GARCH模型的研究

這篇論文通過研究馬來西亞與另外14 個分別來自美洲、歐洲、非洲、亞洲及大洋洲五大洲的主要發達與發展中國家股市之間的長期與短期波動性動態，探究馬來西亞股市與世界股市之間的波動性關係。論文的研究主題為馬來西亞，主要因為該國作為東南亞中經濟發展最迅速的國家之一，擴展並維持與世界多國的貿易關係；並在過去的十年中吸引了大量的外來投資。報告通過三種不同的多元GARCH 模型，分別為BEKK 模型、CCC模型以及DCC 模型，來達成主要的研究目標。研究成果顯示馬來西亞與英國FTSE 100、德國DAX 以及法國CAC 40 由於前者與歐盟之間簽訂的長期貿易協議，在CCC 與DCC模型中皆出現長期波動性關係。另一方面，馬來西亞與中國股市之間的不穩定關係也可歸咎於南中國海上的島嶼歸宿糾紛而產生的政治緊張局勢。同樣的，馬來西亞與其他國家之間的關係也出現穩定抑或不穩的情形，這有可能是因為密切的貿易與投資關係或是政治社會糾紛所造成。BEKK 模型再一次的證實這些波動的溢出，論斷波動並非只取決於本身滞後值，其他國家的交叉波動溢出同樣也有影響。研究成果也顯示大多數的國家股市對馬來西亞股市有顯著的波動性溢出影響，足以證明世界的市場正在不斷地整合集中。論文成果也向院士及研究人員提供了不同股市聯動的新知識，因為一些較難找到研究報告的罕見市場配對，如馬來西亞-埃及與馬來西亞-尼日利亞，也被包括在這項研究中。總的來說，對波動溢出的研究在針對某些國家股市面對其他市場的局方情況的課題上扮演著重要的角色，研究成果可幫助做出更好的投資判斷以將損失減到最低，或甚至根據投資者所採取的政策來提高收益。

關鍵字

吉隆坡證券交易所；全球股市；股票市場收益；波動性溢出；多元GARCH模型

並列摘要

This paper studies short- and long-run volatility dynamics between Malaysia’s stock markets and 14 developed and developing major stock markets in the five different regions of America, Europe, Africa, Asia and Oceania to examine a more global volatility relationship of different stock markets to the Malaysian stock market. The study focuses on Malaysia, because it is one of the fastest growing economies in Southeast Asia. The country has developed and maintained trading relationship with numerous countries from all over the world; and has attracted substantial amount of foreign investment during the past decade. The research satisfies the general aim of the study by using three multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) models, namely, the Baba, Engle, Kraft and Kroner (BEKK) model; constant conditional correlation (CCC) model; and the dynamic conditional correlation (DCC) model. Findings show that the long-term volatility relationship of Malaysia’s Kuala Lumpur Stock Exchange Index’s volatility with the UK’s FTSE 100, Germany’s DAX and France’s CAC 40 found in the CCC and DCC models, is a result of a long-term free trade agreement signed between Malaysia and European countries. On one hand, the unstable volatility relationship between Malaysia and China’s stock markets is attributed to the political tension happening because of territorial disputes in the South China Sea. Similar situations are observed in Malaysia’s steady or unstable economic relationships with the other countries stock markets, which can be either a product of strong trading and investing partnerships or political and social conflicts. The BEKK model confirms these volatility spillovers, and concludes that volatilities are not only determined by their own lagged values, but cross-volatility spillovers from other countries also exist. Results show that most of the stock indices have significant spillover effects on the stock market of Malaysia KLSE, which confirms evidence of growing market integration. Findings can also offer new understanding in the different stock markets linkages to academicians and researchers, because the paper included some uncommon pairing of stock markets like Malaysia-Egypt, and Malaysia-Nigeria stock market relations, which have very limited supporting research. In general, study on volatility transmission plays an important role in identifying vulnerabilities of certain stock markets against other markets, which helps in determining better investing decisions that can minimize losses, and can even improve returns depending on the hedged position taken by the investor.

並列關鍵字

Kuala Lumpur Stock Exchange ； Global Stock Markets ； Stock Market Returns ； Volatility Transmission ； MGARCH Models

參考文獻

Alotaibi, A. R., & Mishra, A. V. (2015). Global and regional volatility spillovers to GCC

stock markets. Economic Modelling, 45, 38-49.

Ang, J. B. (2008). Determinants of foreign direct investment in Malaysia. Journal of Policy

Ang, J. B. (2009). Financial development and the FDI-growth nexus: The Malaysian

Aziz, Z. A. (2010). Zeti Akhtar Aziz: Economic ties between China and Malaysia. BIS

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馬來西亞市場與全球股市的波動性整合：多元GARCH模型的研究

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