Itraxx指數跟股價指數長期關係之研究

The long term relationship between itraxx index and stock index

林俊耀(Chun Yao Lin)

指導教授 ： 蔡明憲

國立暨南國際大學/管理學院/財務金融學系/碩士(2008年)

摘要

本研究測試iTraxx指數與股價指數之間的長期均衡關係。藉由使用Engle-Granger共整合檢定，我們發現在多數金融地區，像是日本以外的亞洲、歐洲和澳洲等， iTraxx指數與股價指數之間存在著共整合關係。只有在日本的市場中我們沒有發現這項關係。在因果關係的結果方面，我們也發現澳洲的金融市場中，股價指數對iTraxx指數存在著單向的因果關係，而在日本以外的亞洲和歐洲中則是存在著雙向的因果關係。

關鍵字

Engle-Granger共整合檢定、iTraxx指數、因果關係檢定

並列摘要

This paper examines the long-term relationships between iTraxx index and stock index. By using Engle-Granger test, we can find that there exist cointegration between iTraxx index and stock index in financial area, including Asia ex Japan, Europe and Australia. Only the market of Japan doesn’t have cointegration. In the result of causality test, we also find that there exist causality from stock index to iTraxx index in the financial markets of Australia, while in Asia ex Japan and Europe exist reciprocal causality.

並列關鍵字

Engle-Granger cointergration test, iTraxx index, Causality test

參考文獻

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Alexander, C., and A. Kaeck, 2006, “Regime in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices”, ICMA Centre Discussion Papers in Finance, August.

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