歐洲新興權益市場動態的區域與世界外溢效果

Dynamic Regional and World Spillover Effects in European Emerging Equity Markets

施鳳鳴(Feng-Ming Shih)

指導教授 ： 王銘杰

國立暨南國際大學/管理學院/國際企業學系/博士(2010年)

摘要

本研究藉由控制貿易變數，進而探討經濟成長與匯率效果對金融整合程度與波動外溢效果之影響。在多因子模型之實證架構下，經由三步驟進行模型估計。模型放寬參數固定之假設，允許參數因時而變，並且加入潛在變數以及由GJR-GARCH架構所得的殘差，進行實證分析。研究結果顯示：新興歐洲權益市場存在因時而變的金融整合以及報酬和波動的外溢效果。世界與區域效果的重要程度因時改變，貨幣貶值與經濟成長對金融整合程度與波動外溢效果有預測能力。已開發歐洲區域和大多數歐洲新興市場皆與國際金融市場呈現部分整合效果。已開發歐洲區域，在面臨景氣衰退時，世界報酬外溢效果將增強。

關鍵字

新興歐洲權益市場 ； 區域與世界整合 ； 波動外溢 ； 經濟成長 ； 匯率

並列摘要

This study investigates the impact of economic growth and exchange rate on the degrees of financial integration and volatility spillover effect by controlling the variable of trade. The empirical structure follows a multifactor model estimated in three stages and allows for time-varying parameters, latent factors, and a GJR-GARCH structure for the residuals. The result in this study displays time-varying financial integration and spillover effect on mean and volatility in emerging European equity markets. The importance of world and regional effects changes over time. Currency depreciation and growth effect can predict the degrees of financial integration and spillover effect. Developed European region and most emerging European markets are partially integrated to international markets. World effect on mean is stronger when developed European region is in a recession.

並列關鍵字

Emerging European equity markets ； Volatility spillover ； Regional and world integration ； Economic growth ； Exchange rate

參考文獻

Adler, M. (1995). Integration of the North American financial markets. Journal of Investing, 4: 81-88.

Adler, M. and Dumas, B. (1983). International portfolio selection and corporate finance: A synthesis. Journal of Finance, 46: 925-984.

Babetskii, I., Komárek, L. and Komárková, Z. (2007). Financial integration of stock markets among new EU member states and the Euro area. Journal of Economics and Finance, 57: 341-362.

Baele, L. (2005). Volatility spillover effects in European equity markets. Journal of Financial and Quantitative Analysis, 40: 373-401.

Bekaert, G. and Harvey, C.R. (1995). Time-varying world market integration. Journal of Finance, 50: 403-444.