歐債危機期間全球股市非對稱動態相關性之探討

Asymmetric Dynamics in the Correlations of Global Equity Returns: An Empirical Study during the European T-bond crisis

王攸慈(Yu-Tzu Wang)

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

股票在金融市場中是常見的的投資工具之一，許多學者與金融機構皆對股票市場加以研究。此外，在全球經濟危機期間，如亞洲金融危機、網路泡沫、次級房貸與金融風暴，以及最近的歐債危機中間可發現，全球股票市場間皆有頻繁的互動關係。危機事件的影響不只是單一國家，進而影響區域間的國家或全世界。

本研究的目的是研究全球股市之間的動態相關性，包括兩部分：歐豬五國PIIGS（葡萄牙、義大利、愛爾蘭、希臘和西班牙）與其他非歐豬五國（澳洲、加拿大、法國、德國、香港、日本、新加坡、台灣、美國）。本研究選取每個國家的最適ARMA模型，使用的SBC法選出最適單變量GARCH模型。透過AG-DCC模型估計股市之間的相關性。本研究分析歐豬五國與非歐豬五國間的關係，以及非歐豬五國之間的相關性。

本研究證實，歐債危機期間對全球市場有重要的影響，全球股市間有共變性現象，股票市場間有緊密的關聯性。投資者可藉由投資多角化能降低投資組合的風險。投資者應於重大金融事件發生時，檢視其投資組合，避免曝露於過多風險中受到傷害。

關鍵字

波動度、非對稱條件相關性、單變量GARCH模型、AG-DCC模型

並列摘要

The equity is the most famous investment instrument for the investment in the financial markets. However, it is such an interesting relationship between the equity markets that many scholars and financial institutions want to research more. Moreover, there is a frequent interaction in the global economics, such as the Asian financial crisis, dot-com bubble, financial turmoil caused by the subprime mortgage and the European debt crisis in recent years. The influence is not only on a single country, but on the regional or even on the whole world.
The objective of this study is to investigate the dynamic correlation between global stock markets, which includes two segments. One is PIIGS (Portugal, Italy, Ireland, Greece and Spain) area and the other is non-PIIGS area. This study used the ARMA model of each stock market with the conditional mean equation and the conditional variance equations as univariate GARCH model and estimated the correlations between stock markets through developing the AG-DCC model, analyzing the relationship between PIIGS area and non-PIIGS area, and the correlation between non-PIIGS areas.
This study suggests important effects of the European crisis and the regional factors in the whole market. Investors may reduce their investment portfolio by diversifying them into other stock markets.
During the European crisis, there are significant comovements in stock market volatility and strong linkages among the stock markets. Investors should have attention to the performance, diversify the investment portfolio risk and build the advantageous investment and arbitrage portfolios.

並列關鍵字

Volatility, dynamic conditional correlation, AG-DCC GARCH model, Univariate GARCH model

參考文獻

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