中國人民幣匯率改革對股市報酬波動與相關之影響 -以中國與亞太地區股市為例-

The Effect of Exchange Rate Reform of RMB on Equity Return Volatility and Correlation in case of China and Pacific-Basin Stock Markets

許家瑄(Hsu, Chia-Hsuan)

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(2011年)

摘要

本研究將探討中國人民幣匯率改革對股市報酬波動與相關之影響，並以中國與亞太地區股市(印尼、馬來西亞、菲律賓、泰國、新加坡、韓國、香港、臺灣、紐西蘭、澳洲、印度、巴基斯坦)為例，應用EGARCH模型，樣本期間為2001年1月2日至2010年12月28日。

大部分國家的實證結果指出較高匯率波動使中國股票市場波動增加；另一方面，對大部分的國家而言，結果也顯示出較高匯率波動使當地股票市場波動增加。實證結果提供了匯率波動對中國與亞太地區股票市場相關性具有顯著正向影響，可能的解釋是當歐美熱錢同時流入中國與亞洲地區股票市場時，使匯率波動幅度增加，連帶中國與亞太地區股票市場波動幅度同方向增加。

關鍵字

匯率、人民幣、波動、相關性

並列摘要

This study develops EGARCH model for the effect of exchange rate reform of RMB on equity return volatility and correlation in case of China and Pacific-Basin stock markets (Indonesia, Malaysia, Philippine, Thailand, Singapore, Korea, Hong Kong, Taiwan, New Zealand, Australia, India and Pakistan). The sample period of this study is from January 2, 2001 to December 28, 2010.

For most of sample countries, the empirical results prove that a higher exchange rate variability increases China equity market volatility. On the other hand, for most of sample countries, the results also show that a higher exchange rate variability increases local equity market volatility. The results provide that exchange rate fluctuation has a marginally positive impact on the China/local equity market correlation. A possible explanation for this result would be that when European and American hot money inflow China and Pacific-Basin stock market at the same time, causing a higher exchange rate fluctuation, thus increasing China and local stock markets volatility in the same direction.

並列關鍵字

Exchange Rate, RMB, Volatility, Correlation

參考文獻

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