金融海嘯前後對美國與亞太指數連動性影響探討

Abstract

傳統投資組合管理認為跨國投資組合可帶來多角化效果，進而降低投組風險。然而，近年在國際經濟體整合、金融體系持續開放之下，各國股市間連動性提高，造成多角化效果的下滑，取而代之的是連動性帶來時空落差的套利可能，而在最近一次的全球性金融危機—金融海嘯，影響遍及歐美與各大新興市場，顯示各國間股市確實存在互動關係。

本研究透過向量自我迴歸模型，並以美國股市與亞太股市—日本、韓國、印度、台灣、中國指數等作為對象，探討國際股市之間連動性。結果發現，相對金融海嘯前，各國股市的連動性有更進一步的提升；再者，除了美國股市外，印度股市對亞太市場存在領先關係，並且走勢對美國股市存在解釋能力；最終則是台灣股市方面易受國外股市行情衝擊。

Traditional portfolio management stated that international portfolio can reduce the risk of portfolio with the effect of diversification to reduce. However, in recent years, due to the economic integration and the openness of financial system, the degree of interdependence among international stock market grow continuously, which cause the effect of diversification worsening than before, becoming an opportunity to arbitrage. And the recent global financial crisis in 2008, which affected all the world including Europe and emerging market, showing the the Interactive relationship between different stock market really existed.

This study uses a Ventor autoregression to conduct analysis, and includes U.S., Japan, Korea, India, Taiwan and China as research objects to analyze the interdependence in these stock market. The results indicate that the Interdependence of international stock market become stronger after the financial crisis. And except U.S., India stock market performs a leading relation with all the Asia-Pacific country in this study. Finally, we find that Taiwan stock market is easy to influence by foreign countries.