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題名 金融危機與俄羅斯股市發展
Financial Crises and the Development of Russian Stock Market作者 黎宜凌
Lee, Yi-Ling貢獻者 林永芳
黎宜凌
Lee, Yi-Ling關鍵詞 俄羅斯股市
金融危機
私有化過程
共整合檢定日期 2019 上傳時間 5-九月-2019 17:18:57 (UTC+8) 摘要 本論文之目的在於探討俄國股市及金融危機前後之影響，並對俄羅斯股市作出質化及量化兩種研究。質化方面採取文獻檢閱法，而量化方面則針對RTS指數來做出統計上的推論。據此，本論文分為五章，除緒論與結論之外，其餘三章分別為俄國股市建立的過程，以及兩次金融風暴對俄國股市所產生之長期改變，可提供對俄國股市的全盤了解。根據研究發現，由於俄國先前為共產主義國家，在俄國政府將國營企業私有化過程之中，充滿了許多弊病，其中最明顯的便是金融寡頭的誕生，並使裙帶資本主義高漲。雖然私有化過程為人詬病的地方甚多，但其也促使莫斯科股票交易所成立。另外，不同時期的俄國股市皆對於國際原油價格以及國內生產總值的敏感度有重大改變。對於這些時間序列資料，本論文乃是透過向量自回歸模型、單根檢定、以及Johansen共整合關係檢定來得出各因素之相關關係式，並進而對於該時期的俄國政府之政策做出評論。
The purpose of this study is to explore the Russian stock market and the impact on the market before and after the financial crisis broke out, and carry out research on the Russian stock market using two types of research, namely, the qualitative and the quantitative research. For the qualitative part, the literature review method was employed; for the quantitative part, the RTS index was targeted for statistical inferences. As a result, this paper is divided into five chapters. Other than the Introduction and Conclusion, the other three chapters include: the establishment process of the Russian stock market and the long-term changes in the Russian stock market as a result of the two financial crises, which shall provide insights into the Russian stock market.According to the research findings, since Russia was previously a communist country, the process of privatizing state-owned enterprises by the Russian government involved many abuses, most obvious of which was the birth of a financial oligarchy and the rise of crony capitalism. Despite the numerous criticisms of the privatization process, the privatization prompted the establishment of the Moscow Exchange. In addition, the Russian stock market in different periods had significantly changed the sensitivities of international crude oil prices and its GDP. By using the time series data, this study adopted Vector Autoregression Model (VAR), the unit root test, and Johansen tests for cointegration to obtain the relational equations of the factors, and drew the conclusions on the policies of the Russian government at the time.參考文獻 一、中文(一) 官方資料經濟部國際貿易局統計資料 https://www.trade.gov.tw/(二) 專書洪美蘭。經濟均衡發展策略：歐洲轉型國家之案例與啟示。瀚蘆出版社。2008年。(三) 論文期刊王瑋楠。金融危機對俄羅斯的影響及對策研究。邊疆經濟與文化。2016年。頁132-133。曲文軼。俄羅斯的企業改制及其微觀經濟績效。外國經濟與管理。2001年。頁31-36。江振華。俄羅斯”休克療法”述評。經濟特區。2000年。頁50-51。吳學良、孫智麗、洪德生、李清松。「我國公營事業民營化前後績效變化之研究」。台灣經濟研究院 生物科技產業研究中心。2003。頁8。汪耿。「國際直接投資與間接投資相融合研究」。現代商業。2011。頁199。范敬春、宋景義。俄羅斯股票市場分析。中共濟南市委黨校。濟南市行政學院。濟南市社會主義學院學報。2003年。頁39-43。郝珈瑩。2008年金融危機對俄羅斯股票市場發展的影響分析。東方企業文化。財會金融。2013年。頁214-215。梁德沁。風險與機遇並存－論經濟危機中的俄羅斯。國際經濟。2009年。頁49-51。習秀華。「國際金融危機影響下的俄羅斯有價證券市場。」東北亞論壇。2009。頁113。陶海東。反思2008年國際油價上漲時對俄羅斯的負面影響。生產力研究。2009年。頁109-111。劉軍梅。應對金融危機：從比較中看俄羅斯經濟的轉型與發展。東北亞論壇。2010年。頁58-67。龐大鵬。普京時期美國對俄羅斯國內政策的影響和干預。俄羅斯研究。2006年。頁30-36。(四) 學位論文羅任媛。「新興市場國家金融危機成因之研究—以俄羅斯為案例」。國立政治大學 俄羅斯研究所。2001。頁115-118。(五) 網路資料陳旭昇。「時間序列分析 總體經濟與財務金融之應用 向量自我回歸模型概論。」國立台灣大學經濟學系。2013。頁4。楊基源。貿易俱樂部。2017年。http://www.eximclub.com.tw/countries/information-02c.asp?idno=2808&continen=3&country=%ABX%C3%B9%B4%B5新浪財經網。2008年。http://finance.sina.com.cn/economist/cankaoxiaoxi/20081014/12585388354.shtml關鍵評論網。「經濟學人「靠關係才能賺錢」指數：台灣超越中國、排名全球前10」。2016年5月10日。中華人民共和國商務部。2010。https://countryreport.mofcom.gov.cn/record/view110209.asp?news_id=18820中華人民共和國商務部。2011。https://countryreport.mofcom.gov.cn/record/view110209.asp?news_id=23178俄羅斯衛星通訊社。「標準普爾上調俄一系列大型國企評級。」。2018年2月28日。 http://big5.sputniknews.cn/economics/201802281024806311/俄羅斯衛星通訊社。「惠譽確定俄羅斯評級為BBB-級。」2019年2月16日。http://big5.sputniknews.cn/economics/201902161027679148/二、英文：(一) 論文期刊Alexeev, Michael,” The effect of privatization on wealth distribution in Russia.” Economics of Transition,Vol.7(2),1999, pp.454-455Alexei Goriaev,Alexei Zabotkin.” Risks of investing in the Russian stock market: Lessons of the first decade” Centre for Economic and Financial Research at New Economic School.2006.p4.Allen, F. ; Gale, D.”The Asian crisis and the process of financial contagion.” Journal of Financial Regulation and Compliance.1999.pp243-249.Annika Alexius,Daniel Spång.” Stock prices and GDP in the long run.”Journal of Applied Finance&Banking.2018.pp107-125.Basdevant, Olivier ; Hall, Stephen G.”The 1998 Russian crisis: could the exchange rate volatility have predicted it?”Journal of Policy Modeling.2002.pp1-2.Basdevant, Olivier.” An econometric model of the Russian Federation.” Economic Modelling.2000.pp.313-336.Buck, Trevor ; Filatotchev, Igor ; Wright, Mike ; Frausum, Yves Van,” The Process and Impact of Privatization in Russia and Ukraine.” Comparative Economic Studies,1996 pp.57-59.Bush, Jason.”A Happy Birthday for Russian Stocks; Ten years after the creation of the RTS index, the stock market is booming -- and its notorious volatility may be smoothing out.(Russian Trading System).” Business Week Online.2005.Chor Foon,Tang。The Linkage Between Stock Price and Economic Growth in Australia: A Chicken-and-Egg Paradox?。Economic Research-Ekonomska Istraživanja。2013。pp.99-116。Cohen, J. “Statistical power analysis for the behavioral sciences.”1988Donlon, J. P.” Reflection on Russia.” Chief Executive.1997.p6.Fama, Eugene F.” Stock returns, real activity, inflation, and money.” American Economic Review.1981.pp545-565Fang, Wenshwo。The effects of currency depreciation on stock returns: evidence from five East Asian economies。Applied Economics Letters。2002。pp.195-199。Granger, C. W. J. ; Newbold, P.” Spurious regressions in econometrics.” Journal of Econometrics.1974.pp111-120.Granville, Brigitte ; Mallick, Sushanta.” Does inflation or currency depreciation drive monetary policy in Russia?” Research in International Business and Finance.2006.pp164-166.John S. McClenahen.” U.S. leads, Japan trails. (foreign investment in Russia by nation).” Industry Week.1997.p58.Kenneth S. Chan and Vinh QT Dang.”The 1997 Asian Currency Crisis, Financial Linkages, and the Monetary Policy of Japan.” Review of International Economics.2012.pp1-3.Lee, Peter” Sitting out the Russian winter. (Russia`s stock market)(includes related articles).” Euromoney.1996.pp50-53.Narisa Laplamwanit.” A Good Look at the Thai Financial Crisis in 1997-98”1999.pp1-2.Peitsch, Barbara.” Foreign investment in Russia.” OECD Observer,1995,pp32-33.Radelet, Steven ; Sachs, Jeffrey.” Asia`s reemergence.” Foreign Affairs.1997.pp44-45.Radygin, A.” The Redistribution of Property Rights in Post-Privatization Russia.” Problems of Economic Transition.2000.pp6-9.Robinson, Neil.” So what changed? The 1998 financial crisis and Russia`s economic and political development.” Demokratizatsiya:The Journal of Post-Soviet Democratization.2007.pp248-250.Schneider, Richard C. JR.“Privatization in One Country: Foreign Investment and the Russian Privatization Dynamic.” Hastings International and Comparative Law Review,1994,pp738-740.Sharma，Shalendra D.” Not an exceptional country: russia and the global financial crisis of 2008 – 2009.” Mediterranean Quarterly.2011.pp31-40.Steve R. Smirnoff,” Privatization in Russia.” Business Forum. Winter/Spring94, Vol. 19 Issue 1,1994,p36Yarrow, George K,“Privatization in theory and practice.” Economic policy : a European forum. Vol.1. 1986. pp.327-328.(二) 網路資料2007次級房貸危機時間表“2007 Financial Crisis Explanation, Causes, and Timeline.” Thebalance.2019. 描述 碩士
國立政治大學
俄羅斯研究所
105263008資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105263008 資料類型 thesis dc.contributor.advisor 林永芳 zh_TW dc.contributor.author (作者) 黎宜凌 zh_TW dc.contributor.author (作者) Lee, Yi-Ling en_US dc.creator (作者) 黎宜凌 zh_TW dc.creator (作者) Lee, Yi-Ling en_US dc.date (日期) 2019 en_US dc.date.accessioned 5-九月-2019 17:18:57 (UTC+8) - dc.date.available 5-九月-2019 17:18:57 (UTC+8) - dc.date.issued (上傳時間) 5-九月-2019 17:18:57 (UTC+8) - dc.identifier (其他 識別碼) G0105263008 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/125861 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 俄羅斯研究所 zh_TW dc.description (描述) 105263008 zh_TW dc.description.abstract (摘要) 本論文之目的在於探討俄國股市及金融危機前後之影響，並對俄羅斯股市作出質化及量化兩種研究。質化方面採取文獻檢閱法，而量化方面則針對RTS指數來做出統計上的推論。據此，本論文分為五章，除緒論與結論之外，其餘三章分別為俄國股市建立的過程，以及兩次金融風暴對俄國股市所產生之長期改變，可提供對俄國股市的全盤了解。根據研究發現，由於俄國先前為共產主義國家，在俄國政府將國營企業私有化過程之中，充滿了許多弊病，其中最明顯的便是金融寡頭的誕生，並使裙帶資本主義高漲。雖然私有化過程為人詬病的地方甚多，但其也促使莫斯科股票交易所成立。另外，不同時期的俄國股市皆對於國際原油價格以及國內生產總值的敏感度有重大改變。對於這些時間序列資料，本論文乃是透過向量自回歸模型、單根檢定、以及Johansen共整合關係檢定來得出各因素之相關關係式，並進而對於該時期的俄國政府之政策做出評論。 zh_TW dc.description.abstract (摘要) The purpose of this study is to explore the Russian stock market and the impact on the market before and after the financial crisis broke out, and carry out research on the Russian stock market using two types of research, namely, the qualitative and the quantitative research. For the qualitative part, the literature review method was employed; for the quantitative part, the RTS index was targeted for statistical inferences. As a result, this paper is divided into five chapters. Other than the Introduction and Conclusion, the other three chapters include: the establishment process of the Russian stock market and the long-term changes in the Russian stock market as a result of the two financial crises, which shall provide insights into the Russian stock market.According to the research findings, since Russia was previously a communist country, the process of privatizing state-owned enterprises by the Russian government involved many abuses, most obvious of which was the birth of a financial oligarchy and the rise of crony capitalism. Despite the numerous criticisms of the privatization process, the privatization prompted the establishment of the Moscow Exchange. In addition, the Russian stock market in different periods had significantly changed the sensitivities of international crude oil prices and its GDP. By using the time series data, this study adopted Vector Autoregression Model (VAR), the unit root test, and Johansen tests for cointegration to obtain the relational equations of the factors, and drew the conclusions on the policies of the Russian government at the time. en_US dc.description.tableofcontents 第壹章 緒論 1第一節 研究動機與目的 1第二節 文獻述評 4第三節 研究方法 10第四節 研究範圍與限制 13第五節 章節安排 15第貳章 俄羅斯股市的發展歷程 16第一節 俄羅斯股市建立過程(1992-1994) 16第二節 俄羅斯股市建立初期(1995~1999) 27第三節 突破性的增長時期(2000-2008) 34第四節 穩定發展的時期(2009-2019) 38第五節 小結 42第參章 1998年亞洲金融風暴 43第一節 亞洲金融風暴之過程 43第二節 危機前後俄羅斯股市之變化 51第三節 政府的因應政策 75第四節 小結 78第肆章 2008年環球金融海嘯 79第一節 環球金融海嘯之過程 79第二節 金融海嘯前後俄羅斯股市之變化 84第三節 政府因應之政策 107第四節 小結 110第伍章 結論 111第一節 研究發現 111第二節 後續研究建議 115參考文獻 116 zh_TW dc.format.extent 2492961 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105263008 en_US dc.subject (關鍵詞) 俄羅斯股市 zh_TW dc.subject (關鍵詞) 金融危機 zh_TW dc.subject (關鍵詞) 私有化過程 zh_TW dc.subject (關鍵詞) 共整合檢定 zh_TW dc.title (題名) 金融危機與俄羅斯股市發展 zh_TW dc.title (題名) Financial Crises and the Development of Russian Stock Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文(一) 官方資料經濟部國際貿易局統計資料 https://www.trade.gov.tw/(二) 專書洪美蘭。經濟均衡發展策略：歐洲轉型國家之案例與啟示。瀚蘆出版社。2008年。(三) 論文期刊王瑋楠。金融危機對俄羅斯的影響及對策研究。邊疆經濟與文化。2016年。頁132-133。曲文軼。俄羅斯的企業改制及其微觀經濟績效。外國經濟與管理。2001年。頁31-36。江振華。俄羅斯”休克療法”述評。經濟特區。2000年。頁50-51。吳學良、孫智麗、洪德生、李清松。「我國公營事業民營化前後績效變化之研究」。台灣經濟研究院 生物科技產業研究中心。2003。頁8。汪耿。「國際直接投資與間接投資相融合研究」。現代商業。2011。頁199。范敬春、宋景義。俄羅斯股票市場分析。中共濟南市委黨校。濟南市行政學院。濟南市社會主義學院學報。2003年。頁39-43。郝珈瑩。2008年金融危機對俄羅斯股票市場發展的影響分析。東方企業文化。財會金融。2013年。頁214-215。梁德沁。風險與機遇並存－論經濟危機中的俄羅斯。國際經濟。2009年。頁49-51。習秀華。「國際金融危機影響下的俄羅斯有價證券市場。」東北亞論壇。2009。頁113。陶海東。反思2008年國際油價上漲時對俄羅斯的負面影響。生產力研究。2009年。頁109-111。劉軍梅。應對金融危機：從比較中看俄羅斯經濟的轉型與發展。東北亞論壇。2010年。頁58-67。龐大鵬。普京時期美國對俄羅斯國內政策的影響和干預。俄羅斯研究。2006年。頁30-36。(四) 學位論文羅任媛。「新興市場國家金融危機成因之研究—以俄羅斯為案例」。國立政治大學 俄羅斯研究所。2001。頁115-118。(五) 網路資料陳旭昇。「時間序列分析 總體經濟與財務金融之應用 向量自我回歸模型概論。」國立台灣大學經濟學系。2013。頁4。楊基源。貿易俱樂部。2017年。http://www.eximclub.com.tw/countries/information-02c.asp?idno=2808&continen=3&country=%ABX%C3%B9%B4%B5新浪財經網。2008年。http://finance.sina.com.cn/economist/cankaoxiaoxi/20081014/12585388354.shtml關鍵評論網。「經濟學人「靠關係才能賺錢」指數：台灣超越中國、排名全球前10」。2016年5月10日。中華人民共和國商務部。2010。https://countryreport.mofcom.gov.cn/record/view110209.asp?news_id=18820中華人民共和國商務部。2011。https://countryreport.mofcom.gov.cn/record/view110209.asp?news_id=23178俄羅斯衛星通訊社。「標準普爾上調俄一系列大型國企評級。」。2018年2月28日。 http://big5.sputniknews.cn/economics/201802281024806311/俄羅斯衛星通訊社。「惠譽確定俄羅斯評級為BBB-級。」2019年2月16日。http://big5.sputniknews.cn/economics/201902161027679148/二、英文：(一) 論文期刊Alexeev, Michael,” The effect of privatization on wealth distribution in Russia.” Economics of Transition,Vol.7(2),1999, pp.454-455Alexei Goriaev,Alexei Zabotkin.” Risks of investing in the Russian stock market: Lessons of the first decade” Centre for Economic and Financial Research at New Economic School.2006.p4.Allen, F. ; Gale, D.”The Asian crisis and the process of financial contagion.” Journal of Financial Regulation and Compliance.1999.pp243-249.Annika Alexius,Daniel Spång.” Stock prices and GDP in the long run.”Journal of Applied Finance&Banking.2018.pp107-125.Basdevant, Olivier ; Hall, Stephen G.”The 1998 Russian crisis: could the exchange rate volatility have predicted it?”Journal of Policy Modeling.2002.pp1-2.Basdevant, Olivier.” An econometric model of the Russian Federation.” Economic Modelling.2000.pp.313-336.Buck, Trevor ; Filatotchev, Igor ; Wright, Mike ; Frausum, Yves Van,” The Process and Impact of Privatization in Russia and Ukraine.” Comparative Economic Studies,1996 pp.57-59.Bush, Jason.”A Happy Birthday for Russian Stocks; Ten years after the creation of the RTS index, the stock market is booming -- and its notorious volatility may be smoothing out.(Russian Trading System).” Business Week Online.2005.Chor Foon,Tang。The Linkage Between Stock Price and Economic Growth in Australia: A Chicken-and-Egg Paradox?。Economic Research-Ekonomska Istraživanja。2013。pp.99-116。Cohen, J. “Statistical power analysis for the behavioral sciences.”1988Donlon, J. P.” Reflection on Russia.” Chief Executive.1997.p6.Fama, Eugene F.” Stock returns, real activity, inflation, and money.” American Economic Review.1981.pp545-565Fang, Wenshwo。The effects of currency depreciation on stock returns: evidence from five East Asian economies。Applied Economics Letters。2002。pp.195-199。Granger, C. W. J. ; Newbold, P.” Spurious regressions in econometrics.” Journal of Econometrics.1974.pp111-120.Granville, Brigitte ; Mallick, Sushanta.” Does inflation or currency depreciation drive monetary policy in Russia?” Research in International Business and Finance.2006.pp164-166.John S. McClenahen.” U.S. leads, Japan trails. (foreign investment in Russia by nation).” Industry Week.1997.p58.Kenneth S. Chan and Vinh QT Dang.”The 1997 Asian Currency Crisis, Financial Linkages, and the Monetary Policy of Japan.” Review of International Economics.2012.pp1-3.Lee, Peter” Sitting out the Russian winter. (Russia`s stock market)(includes related articles).” Euromoney.1996.pp50-53.Narisa Laplamwanit.” A Good Look at the Thai Financial Crisis in 1997-98”1999.pp1-2.Peitsch, Barbara.” Foreign investment in Russia.” OECD Observer,1995,pp32-33.Radelet, Steven ; Sachs, Jeffrey.” Asia`s reemergence.” Foreign Affairs.1997.pp44-45.Radygin, A.” The Redistribution of Property Rights in Post-Privatization Russia.” Problems of Economic Transition.2000.pp6-9.Robinson, Neil.” So what changed? The 1998 financial crisis and Russia`s economic and political development.” Demokratizatsiya:The Journal of Post-Soviet Democratization.2007.pp248-250.Schneider, Richard C. JR.“Privatization in One Country: Foreign Investment and the Russian Privatization Dynamic.” Hastings International and Comparative Law Review,1994,pp738-740.Sharma，Shalendra D.” Not an exceptional country: russia and the global financial crisis of 2008 – 2009.” Mediterranean Quarterly.2011.pp31-40.Steve R. Smirnoff,” Privatization in Russia.” Business Forum. Winter/Spring94, Vol. 19 Issue 1,1994,p36Yarrow, George K,“Privatization in theory and practice.” Economic policy : a European forum. Vol.1. 1986. pp.327-328.(二) 網路資料2007次級房貸危機時間表“2007 Financial Crisis Explanation, Causes, and Timeline.” Thebalance.2019. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201901148 en_US
