本研究為瞭解美國及中國股市對東亞六國股價報酬的影響,在不同市場區隔下,分析美國及中國股市對菲律賓、泰國、印尼、越南、馬來西亞及新加坡等東亞6國市場報酬率與波動性的互動關係,研究期間為2012年1月1日至2017年3月1日。研究方法係採用GJR-GARCH-ST模型以及Clayton Copula、Gumbel Copula、Mixture Copula模型建構。實證結果發現。AR(1)-GARCH(1,1)均數方程式估計結果顯示菲律賓、泰國、印尼、越南、馬來西亞及新加坡的股價報酬均受到美國前一天的正向影響;馬來西亞及新加坡受到中國前一天負向影響,其餘菲律賓、泰國、印尼、越南股價報酬P-Value皆不顯著,因此不受中國前一天影響,而Clayton Copula模型及Gumble Copula模型皆為顯著效果。
This study is in order to understand America and China stock market wheater have an impact on stock returns of six countries in East Asia. In different market segmentation, we analyze the interaction of market return and volatility of Philippines, Thailand, Vietnam, Indonesia, Malaysia and Singapore. The study period focus on January, 2012 to March, 2017. The research method is using GJR-GARCH-ST model Clayton Copula model, Gumbel Copula model, and Mixture Copula model to construct. The estimated result of empirical formula for AR (1)-GARCH (1,1) showed that the return of Philippines ,Thailand, Indonesia, Vietnam, Malaysia and Singapore were positively affected by the stock markets of US significantly. However, the stock return of the Malaysia and Singapore would also be negatively affected by the stock markets of China significantly. Moreover, the stock return of Philippines, Thailand, Indonesia and Vietnam were not significantly affected by China stock market, only significantly affected by China stock market on Clayton Copula model and Gumble Copula model.