金磚四國股市整合研究

本文使用「金磚四國」(BRICs)股票指數之時間序列資料，研究四個國家股票市場是否有「市場整合」(market integration)的現象。如果全球股票市場上漲而且投資市場相互影響，當一國的股票市場上漲，其他三國的股票市場應該同時上漲。　　本研究選取的金磚四國變數為巴西BOVESPA指數、俄羅斯RTSI指數、印度SENSEX指數及中國上證指數，研究期間為2004年1月5日至2014年6月30日之收盤日資料，並以美國道瓊指數兩個時間點(2007/7/27全球股市受次貸首次大跌、2009/3/18第一次實施貨幣寬鬆政策)作為多空研判，區分出三個期間，第一期間為多頭時期(2004/1/5~2007/7/26)、第二期間為空頭時期(2007/7/27~2009/3/17)及第三期間為多頭時期(2009/3/18~2014/6/30)，使用單根檢定、共整合檢定、向量誤差修正模型及預測誤差變異數分解等時間序列方法實證分析，發現第一期間(2004/1/5~2007/7/26)中國股價指數上揚將會帶動巴西股價指數、俄羅斯股價指數、印度股價指數上揚；第二期間(2007/7/27~2009/3/17)實證結果在此空頭期間，金磚四國的走勢並沒有存在一種長期的穩定關係；第三期間(2009/3/18~2014/6/30)發現具有一組共整合向量關係，係數均為正值，表示同向變動，即金磚四國彼此漲跌具有同向關係。

關鍵字

金磚四國；市場整合；股票指數；動態模型

並列摘要

In this paper, we use BRICs’ stock indexes to study whether the four countries’ stock market are integration. When the global stock markets are rising, if the investment market is efficient, when a country stock index is up, the other three nation’ stock indexes should rise at the same time. This study selected variables BRIC Brazil Sao Paulo BOVESPA index, Russia RTSI index, India's SENSEX Index and China's Shanghai index closing date for the data during the study period January 5, 2004 to June 30, 2014, the date, and during the American Dow Jones index two time points (7/27/2007 global stock markets fell for the first time by the sub-prime, 2009/3/18 the first implementation of monetary easing once) as long and short judgments, Distinguish three periods, first for long period (2004/1/5~ 2007/7/26, a total of 766 strokes daily data), and the second for a short period (2007/7/27 ~ 2009/3/17, a total of 342 strokes daily data) and third for the duration of the bulls (2009/3/18 ~ 2014/6/30, a total of 1142 pens daily data), the use unit root test, cointegration test, vector error correction model and forecast error variance decomposition of the time series empirical analysis, we found the first period (2004/1/5 ~2007/7/26) China stock index rise will lead the Brazilian stock Price Index, Russia stock price index, India stock index rise; second period (7/27/2007 ~ 2009/3/17) the empirical results in this short period, the trend in the BRIC countries did not exist a long-term stable relationship; third period (2009/3/18 ~ 2014/6/30) was found to have a group of integrated vector relationships are positive coefficient, indicating that changes in the same direction, namely the BRIC countries have the same ups and downs of the relationship with each other.