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題名 極端事件下亞洲股票市場傳遞效果分析 -CoVaR 之應用
Contagion effect on the asian stock markets under extreme events -CoVaR Model
作者 林楙然
貢獻者 陳威光
林楙然
關鍵詞 傳染效果
日期 2011
上傳時間 30-Oct-2012 10:15:04 (UTC+8)
摘要 本研究利用新方法CoVaR來探討亞洲六個國家為台灣、日本、韓國、中國、新加坡和香港連動關係，由於CoVaR具有方向性，探討當其中一國發生極端事件下，對於其他國家的影響力。樣本選取期間2002年3 月28日到2012年3月28日共約十年期間，其中發現幾點有趣的現象。文獻當中指出在一般情況下，新加坡與香港皆容易影響其他亞洲國家，但本文發現在極端情況下，新加坡與香港也容易受到其他亞洲國家影響。
      另外當選取不同亞洲國家當作承受國時，其影響最大的條件國也會跟著改變。以台灣為例，在極端現象下六個亞洲國家當中，影響台灣最大的國家為韓國，從另外的角度來看，影響韓國最大的亞洲國家為台灣，而不是一般所認知的香港和新加坡，台灣與韓國兩者互相影響程度不同。
      由於選取期間包含全球金融海嘯，因此本論文最後把選取期間區為兩部分，分別為金融海嘯前與包含金融海嘯的期間，並分析探討金融海嘯是否有造成亞洲國家之間的傳染效果發生改變。以中國股市為例，在金融海嘯前後比較下，中國在亞洲市場中相對獨立，不容易受到其他亞洲國家影響，在六個國家當中極端共同風險值最低。但在金融海嘯期間顯示中國股市有些許受到台灣與香港股市影響，表示台灣與香港股市有外溢效果傳到中國股市。
參考文獻 1. Adrian, Tobias and Markus K. Brunnermeier(2009), “CoVaR.” Federal Reserve Bank of New York Staff Report 348.
     2. Ajayj, Richard A., Lois E. Tetrick and Mahmoud M. Haddad(1996), “A Empirical Analysis of the Day-of-the-week Effect in Stock Returns: The Case of U.S. and Japan”, Review of Quantitate Finance and Accounting, 6, pp. 293-307.
     3. Blackburn, Douglas W. and N. K. Chidambaran(2011), “Is world stock market comovement changing?”, Available at SSRN: http://ssrn.com/abstract=2024770 or http://dx.doi.org/10.2139/ssrn.2024770.
     4. Campbell, Rachel,Kees Koedijk and Paul Kofman (2002), “Increased correlation in bear markets.”, Financial Analysts Journal, vol. 58, issue 1, pp. 87-94.
     5. Chang Chia-Ming(2011), “A Study of the Interdependence Between Taiwanese and International Stock Markets”, Department of finance College of Management National Taiwan University Master Thesis.
     6. Chuang, I-Yuan, Jin-Ray Lu and Keshin Tswei(2007). “Interdependence of international equity variances:Evidence from East Asian markets.” Emerging Markets Review, 8, 311−327.
     7. Duffie, Darrell. And Jun Pan(1997),. “An Overview of the Value at Risk.” The Journal of Derivatives, 4,7-49
     8. Hui, T.K and E. C. Kwan(1994), “International portfolio diversification: A factor analysis approach”, OMEGA: International Journal of Management Science, 22 (3) , pp. 263–267
     9. Hamao, Y., Masulis, R.W., and Victor Ng (1990), “Correlations in Price Changes and Volatility across International Stock Markets.” The Review of Financial Studies, vol. 3, no. 2, pp.281-307
     10. Huang, Xin, Hao Zhou, and Haibin Zhu(2009), “A framework for assessing the systemic risk of major finaneial institutions.” Journal of Banking and Finance, forthcoming.
     11. Illueca, M., and J.A. Lafuente.(2002), “International Stock Market Linkages: A Factor Analysis Approach.” Journal of Asset Management,Vol 3, No. 3,pp. 253–265
     12. Kim, Sang W. and John H. Rogers(1995), “International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States ”, Journal of Empirical Finance, vol.2, pp. 117-133.
     13. Rizavi, Sayyid Salman, Bushra Naqvi and Syed Kumail Abbas Rizvi(2011), “Global and Regional Financial Integration of Asian Stock Markets”, International Journal of Business and Social Science, Vol. 2 No. 9,pp. 82-93
     14. Koenker, Roger and Gilbert Bassett(1978) , "Regression Quantiles," Econometrica 46:1,pp. 33-50.
     15. Ripley, Duncan M.(1973), “Systematic Elements in the Linkage of National Stock Market Indices.” Review of Economics and Statistics, Vol.55, No.3,pp. 356─361.
     16. Wong,Wing-Keung. , Jack Penm, Richard Deane Terrell and Karen Yann ChingH Lim(2004), “The Relationship Between Stock Markets Of Major Developed Countries And Asian Emerging Markets” Journal of Applied Mathematics and Decision Sciences, 8(4), pp. 201–218.
     17. Yang, J., J. W. Kolari and I. Min (2003), “Stock Market Integration and Financial Crises: The Case of Asia.” Applied Financial Economics, Vol. 13, pp. 477–86.
描述 碩士
國立政治大學
金融研究所
99352021
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0993520211
資料類型 thesis
dc.contributor.advisor 陳威光zh_TW
dc.contributor.author (Authors) 林楙然zh_TW
dc.creator (作者) 林楙然zh_TW
dc.date (日期) 2011en_US
dc.date.accessioned 30-Oct-2012 10:15:04 (UTC+8)-
dc.date.available 30-Oct-2012 10:15:04 (UTC+8)-
dc.date.issued (上傳時間) 30-Oct-2012 10:15:04 (UTC+8)-
dc.identifier (Other Identifiers) G0993520211en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54189-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 99352021zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) 本研究利用新方法CoVaR來探討亞洲六個國家為台灣、日本、韓國、中國、新加坡和香港連動關係，由於CoVaR具有方向性，探討當其中一國發生極端事件下，對於其他國家的影響力。樣本選取期間2002年3 月28日到2012年3月28日共約十年期間，其中發現幾點有趣的現象。文獻當中指出在一般情況下，新加坡與香港皆容易影響其他亞洲國家，但本文發現在極端情況下，新加坡與香港也容易受到其他亞洲國家影響。
      另外當選取不同亞洲國家當作承受國時，其影響最大的條件國也會跟著改變。以台灣為例，在極端現象下六個亞洲國家當中，影響台灣最大的國家為韓國，從另外的角度來看，影響韓國最大的亞洲國家為台灣，而不是一般所認知的香港和新加坡，台灣與韓國兩者互相影響程度不同。
      由於選取期間包含全球金融海嘯，因此本論文最後把選取期間區為兩部分，分別為金融海嘯前與包含金融海嘯的期間，並分析探討金融海嘯是否有造成亞洲國家之間的傳染效果發生改變。以中國股市為例，在金融海嘯前後比較下，中國在亞洲市場中相對獨立，不容易受到其他亞洲國家影響，在六個國家當中極端共同風險值最低。但在金融海嘯期間顯示中國股市有些許受到台灣與香港股市影響，表示台灣與香港股市有外溢效果傳到中國股市。		zh_TW
dc.description.tableofcontents 摘要 i
     目次 iii
     表次 iv
     圖次 v
     第一章、緒論 1
     1.1研究動機 1
     1.2研究目的 2
     第二章、文獻回顧 3
     2.1 國際股市的連動關係文獻 3
     2.2 研究方法文獻 6
     第三章、研究方法與資料選擇 7
     3.1 研究方法 7
     3.2 模型設計 10
     3.3 研究對象與期間 11		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0993520211en_US
dc.subject (關鍵詞) 傳染效果zh_TW
dc.title (題名) 極端事件下亞洲股票市場傳遞效果分析 -CoVaR 之應用zh_TW
dc.title (題名) Contagion effect on the asian stock markets under extreme events -CoVaR Modelen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. Adrian, Tobias and Markus K. Brunnermeier(2009), “CoVaR.” Federal Reserve Bank of New York Staff Report 348.
     2. Ajayj, Richard A., Lois E. Tetrick and Mahmoud M. Haddad(1996), “A Empirical Analysis of the Day-of-the-week Effect in Stock Returns: The Case of U.S. and Japan”, Review of Quantitate Finance and Accounting, 6, pp. 293-307.
     3. Blackburn, Douglas W. and N. K. Chidambaran(2011), “Is world stock market comovement changing?”, Available at SSRN: http://ssrn.com/abstract=2024770 or http://dx.doi.org/10.2139/ssrn.2024770.
     4. Campbell, Rachel,Kees Koedijk and Paul Kofman (2002), “Increased correlation in bear markets.”, Financial Analysts Journal, vol. 58, issue 1, pp. 87-94.
     5. Chang Chia-Ming(2011), “A Study of the Interdependence Between Taiwanese and International Stock Markets”, Department of finance College of Management National Taiwan University Master Thesis.
     6. Chuang, I-Yuan, Jin-Ray Lu and Keshin Tswei(2007). “Interdependence of international equity variances:Evidence from East Asian markets.” Emerging Markets Review, 8, 311−327.
     7. Duffie, Darrell. And Jun Pan(1997),. “An Overview of the Value at Risk.” The Journal of Derivatives, 4,7-49
     8. Hui, T.K and E. C. Kwan(1994), “International portfolio diversification: A factor analysis approach”, OMEGA: International Journal of Management Science, 22 (3) , pp. 263–267
     9. Hamao, Y., Masulis, R.W., and Victor Ng (1990), “Correlations in Price Changes and Volatility across International Stock Markets.” The Review of Financial Studies, vol. 3, no. 2, pp.281-307
     10. Huang, Xin, Hao Zhou, and Haibin Zhu(2009), “A framework for assessing the systemic risk of major finaneial institutions.” Journal of Banking and Finance, forthcoming.
     11. Illueca, M., and J.A. Lafuente.(2002), “International Stock Market Linkages: A Factor Analysis Approach.” Journal of Asset Management,Vol 3, No. 3,pp. 253–265
     12. Kim, Sang W. and John H. Rogers(1995), “International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States ”, Journal of Empirical Finance, vol.2, pp. 117-133.
     13. Rizavi, Sayyid Salman, Bushra Naqvi and Syed Kumail Abbas Rizvi(2011), “Global and Regional Financial Integration of Asian Stock Markets”, International Journal of Business and Social Science, Vol. 2 No. 9,pp. 82-93
     14. Koenker, Roger and Gilbert Bassett(1978) , "Regression Quantiles," Econometrica 46:1,pp. 33-50.
     15. Ripley, Duncan M.(1973), “Systematic Elements in the Linkage of National Stock Market Indices.” Review of Economics and Statistics, Vol.55, No.3,pp. 356─361.
     16. Wong,Wing-Keung. , Jack Penm, Richard Deane Terrell and Karen Yann ChingH Lim(2004), “The Relationship Between Stock Markets Of Major Developed Countries And Asian Emerging Markets” Journal of Applied Mathematics and Decision Sciences, 8(4), pp. 201–218.
     17. Yang, J., J. W. Kolari and I. Min (2003), “Stock Market Integration and Financial Crises: The Case of Asia.” Applied Financial Economics, Vol. 13, pp. 477–86.		zh_TW