東亞新興市場之股、匯市的風險傳染：東亞金融危機期間與非危機期間的驗證

The Risk Contagion between Stock Price and Exchange Rate in Asia Emerging Market: Evidence Based on Asian Crisis and Noncrisis Periods

蔡永順(Yung-Shun Tsai) ； 吳榮振(Roung-Jen Wu)

《台灣管理學刊》 8卷2期 (2008/08) Pp. 47-70

https://doi.org/10.6295/TAMJ.2008.0802.07

摘要

本文檢驗東亞金融危機期間與非危機期間東亞十個國家股、匯市之間的風險傳染。我們運用Granger的因果關係檢定法，判斷股、匯市之間是否有領先或落後關係，藉此了解風險來源。並且以具有時間趨勢的MGARCH 模型，檢驗股、匯市之間的相關性是否有遞增現象，用以判定風險傳染。結果發現，在危機前、後，股、匯市的因果關係與相關性並不穩定；但是在危機期間股、匯市之間則明顯存在匯市領先股市的關係，而且相關性亦具有遞增趨勢。此結果顯示，在金融危機期間股、匯市之間存在風險傳染。其次，各國股、匯市之間亦存在跨國性的交叉影響，此隱含不同金融市場之間的風險傳染具有加速傳染的乘數效果。

關鍵字

傳染 ； 因果關係 ； 相關性 ； 匯率 ； 股價

並列摘要

We investigate the risk contagion between exchange rate and stock price for 10 Asian countries by studying precrisis, crisis, and postcrisis periods. The Granger's causality test is used to exam the risk source and the contagions are identified by time-trend MGARCH model. Although the relationships are not stable during the precrisis and the postcrisis periods, evidence of contagion between exchange rate and stock price is strong. However tests of specific deviations in suffering crisis countries lead to a rejection of the hypothesis of no causality and constant conditional correlation, this indicates existing contagions between stock and exchange markets during the crisis. In addition, the stock and exchange markets are exist cross effects between different countries, thus will accelerate risk contagion.

並列關鍵字

contagion ； causality ； correlation ； exchange rate ； stock price

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