英國脫歐對亞洲股市與匯市的衝擊－Copula 模型之應用

本研究以2016年6月23日，英國脫歐公投結果公布為時間劃分點，分別探討此時期前後英國股市與外匯市場分別對亞洲國家股市與外匯市場的相關性變動。透過GARCH、Copula函數與利用最大概似函數值、AIC及BIC值判斷出最適Copula函數之靜態分析，並對各國各變數進行英國脫歐期間Copula動態分析的關聯結構探討，最後對亞洲各國股市與外匯市場進行傳染效果檢定。本文實證結果發現，在英國脫歐後，股市與匯市方面：英國分別與東協五國和中國之報酬率間皆呈現正相關，而進一步發現：在英國脫歐後，在股市方面，除了泰國外，英國與其他樣本國家之動態相關性增加；而匯市方面，除了馬來西亞、泰國外，英國分別與其餘樣本國家之動態相關性增加，亦即英脫歐事件對於大多數樣本國家之股市與匯市具有極短期影響力。此外，除了中國股市外，英國與東協五國之股市與外匯市場以及中國外匯市場之間存在傳染效果。

關鍵字

Copula ；傳染效果；英國脫歐；東協五國；亞洲市場

並列摘要

In this study aims to according to the Brexit on June 23, 2016, as time division two periods, using the variable of U.K to explore the correlation between changes in the variables in Asia stock market and foreign exchange market. Through the Garch and Copula function, the value of likelihood function value, AIC and BIC values determined the optimal Copula function of static analysis. We discuss the association of each variable by Copula structural dynamic analysis during the Brexit and test contagion effect. The empirical results found that after Brexit caused to have the different affect to ASEAN5 and China. After Brexit, the correlation of UK stock index return rate and other sample countries stock index return rate is positive.So did the foreign exchange market. And we Further found after Brexit on stock market, ,in addition to Thailand, the dynamic correlation of the UK and other sample countries is increased; On foreign exchange market,after Brexit,in addition to Malaysia and Thailand, the dynamic correlation of the UK and other sample countries is increased,it means that there is significant short-term influence after the Brexit. Furthermore, in addition to China stock market, there is significant contagion effect in UK and ASEAN5 stock market and foreign exchange market.

並列關鍵字

Copula ； Contagion effect ； Brexit ； ASEAN-5 ； Asia Market

參考文獻

1. 王冠尊（2011），台灣股價指數與總體經濟關聯性結構之研究─Copula模型之應用，私立淡江大學財務金融學系碩士班碩士論文。

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國際替代計量

英國脫歐對亞洲股市與匯市的衝擊－Copula 模型之應用

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