全球股市外溢效果之探討-以外溢指數為研究方法

Spillovers among global equity markets: an approach of spillover index

潘梅香(Mei-Hsiang Pan)

指導教授 ： 蕭榮烈

國立臺北大學/商學院/國際企業研究所/碩士(2012年)

摘要

近年來全球股票市場拜科技進步所賜，使國際投資和資本移動的快速，各國股市彼此互相依存，關係緊密，各地的資訊在全球的股市都能快速的反應及擴散，特別是貿易頻繁或是地理區域、文化背景相近的國家，其對彼此影響更鉅，因此，本文想藉由外溢指(spillover index)探討各個主要股市的外溢效果。

本文將納入七個已開發國家及十九個開發中國家的股價指數作為研究對象，利用Diebold and Yilmaz(2009)所架構的外溢指數模型，來計算每一個成分的外溢指數，觀察外溢效果的方向與程度，並畫出動態的外溢指數，與國際重大金融事件進行對照。實證結果發現，國與國之間不論是波動外溢或是報酬外溢，都佔有十分重要的比例，且對照國際重大金融事件後，可以發現當有重大金融事件發生時，外溢效果會有明顯的波動，因此，我們除了注意本國發生的金融事件外，也要注意各個市場彼此互動及影響的情況。

關鍵字

外溢指數 ； 外溢效果 ； 股價指數

並列摘要

Because the financial systems of the stock market have integrated rapidly in recent years, information spreads more quickly than ever. This phenomenon will increase the already high degree of information transmission, causing the stock markets of different nations to become more interdependent and investors to be influenced through various channels. We want to examine how a particular stock market influences others stock markets, and vice versa.

This study examined constant and dynamic spillover effects during empirical periods of major international financial events on various stock markets by using a spillover index to measure the degree of spillover among stock markets. In addition, by using the rolling windows method, we draw the dynamic spillover index to compare major international financial events. These research methods will be used to compare and analyze spillover effects.

並列關鍵字

financial system ； information transmission ； spillover effects ； spillover index

參考文獻

1. Asgharian, H. and M. Nossman (2011), “Risk Contagion among International Stock Markets,” Journal of International Money and Finance, Vol.30, pp.22-38.

3. Białkowski, J., T. B. Martin and D. Serwa(2006) , “Testing for financial spillovers in calm and turbulent periods,” The Quarterly Review of Economics and Finance, Vol.46, pp.397–412.

4. Booth, G.G., T. Martikainen and Y. Tse (1997), “Price and Volatility Spillovers in Scandinavian Stock Markets,” Journal of Banking & Finance, Vol.21, pp.811-823.

5. Dickey, D. A. and W. A. Fuller (1979), “Distribution of the Estimation for Autoregressive Time Series with A Unit Root,” Journal of American Statistical Association, Vol.74, pp.427-431.

6. Diebold, F. X. and K. Yilmaz (2009), “Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets,” The Economic Journal, Vol.119 (January), pp.158–171.