Capital Market Integration and Exchange Risk Exposure of the Asian Emerging Markets

亞洲新興市場的整合與匯率風險暴露

周賓凰(Pin-Huang Chou) ； 周行一(Edward H. Chow) ； 史綱(Gang Shyy)

《台灣管理學刊》 1卷2期 (2002/03) Pp. 165-182

https://doi.org/10.6295/TAMJ.2002.0102.01

摘要

本文以Sharpe-Lintner CAPM模型為架構，研究1985-1996年期間亞洲新興股市與開發國家股市的整合關係。整體而言，我們發現在引進亞洲新興市場的考量後，世界資本市場並不存在一整合的關係，而此非整合關係可部分歸諸於亞洲新興市場在1980年代的匯率風險。此外，我們亦發現亞洲新興股市在1991年後變得與世界存在整合關係，進一步分析發現亞洲股市在這一段期間在考慮系統風險後，並無顯著的匯率風險暴露。不過，我們發現，亞洲新興股市與世界其他股市的相關性仍相當低。

關鍵字

資本資產定價理論 ； 一般化動差法 ； 匯率風險 ； 拔靴複製法

並列摘要

This paper investigates the integration relationship between the Asian emerging capital markets (AEMs) and the rest of the world in the context of an international Sharpe-Lintner CAPM during the period 1985-1996. Overall, the results show that the world capital markets, with the inclusion of the AEMs, are not integrated. The rejection can be attributed to exchange risk exposures of the AEMs during the 80's. In addition, the results show that the AEMs become integrated with the world afier 1991, the results of which are further confirmed by the fact that no exchange risk exposure is found for the AEMs after the 1991. However, the correlations between the AEMs and the world markets are still low.

並列關鍵字

CAPM ； exchange risk exposure ； GMM ； SUR ； Bootstrap

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