風險傳染：從宏觀分析到微觀分析

Abstract

財務風險是具有傳染性，會從一個個別公司擴散到一個產業（公司層級）、從一個產業擴散到一個國家（產業層級），及一個國家擴散到其他國家。本論文主要探討台灣金融市場之國家層級及產業層級的風險傳染效果，前者是以宏觀之分析來探討“中國大陸與美國股票市場之波動性對台灣與香港之影響”、 後者是以微觀角度來研究“台灣股票市場之體係性風險”。 在國家層級方面，主要目的係比較中國大陸及美國股票市場對台灣及香港之風險傳遞效果，我們使用VAR( vector autoregressive) 及 MGARCH (multivariate generalized autoregressive conditional heteroskedastic)模型來研究1996-2005 及 2006-2009二期間之資料。結果顯示，雖然中國大陸經濟快速成長並與香港台灣經濟整合，然而它的股票市場卻是相當獨立、與其他香港台灣市場共整合現象並不明顯。在產業層級方面，我們取用台灣股票市場從2000到2010年間資料，並運用CoVaR模型來探討個別產業的獨特風險對整個市場體系性風險之衝擊。結果發現，產業別之邊際CoVaR值（△CoVaR）可以解釋在2001網路泡沫及2007-09的金融危機期間，台灣股票市場受到各別產業衝擊之效果。 本研究顯示，財務風險具有感染性，一個股票市場不僅會受到市場內個別產業之衝擊，還會受到來自市場外其他國家之風險傳染。股票投資不僅應注意市場內個別產業及個別股票之獨特風險，還要關注來自特定國家或市場之風險衝擊。而因為風險傳染是最近財務危機的主要原因，因此說明風險之辨認與風險之衡量為未來必須進一步探討的重要議題。

Financial risk is contagious, which spillovers from one company to industry (company level), from one industry to country (industry level), and from one country to another country (country level). In this dissertation, risk contagion of country level and industry level were discussed, the former discussed “China’s and U.S. volatility spillover effects on Hong Kong and Taiwan”, and the latter explored “systemic risk in Taiwan”. In country level, the aim was to discuss the volatility effect across countries. Both vector autoregressive(VAR) and multivariate generalized autoregressive conditional heteroskedastic(MGARCH) model were employed. In industry level, CoVaR model was adopted to explore the impact of sector-specific idiosyncratic risk on the systemic risk of Taiwan stock market. Results indicated that while China’s rapid economic growth and integration with Taiwan and Hong Kong, its stock market was independent and its co-moments with other markets were not significant. In addition, sector-specific marginal CoVaR, i.e., △CoVaR, perfectly explained Taiwan stock market disturbance during the 2001 dot-com bubble and 2007-09 financial crises. These findings indicate that risk is contagious, which means a stock market could be easily affected not only by idiosyncratic distress inside the market but also by risk contagion from other countries. Moreover, the fact that risk contagion is the source of recent financial crises highlights the issues of risk identification and risk measurement to be further discussed.