美國與金磚四國股市整合之動態研究

Abstract

本論文研究美國股市與金磚四國新興市場股市間共整合關係與Granger因果關係之動態演變形式。本研究包括線性的Engle–Granger共整合方法及非線性的Enders–Siklos共整合方法，進行比較靜態分析，並以動態方法延伸應用一致性動差門檻自我回歸模型及門檻誤差修正模型，進行動態分析。實證結果發現，美國與巴西、美國與印度、美國與蘇俄，以及美國與中國之股市間均存在長期非線性共整合關係，且存在短期Granger因果關係，且這些關係隨時間變動而變動。特別是2007 年至 2008年美國發生次級房貸風暴時，這些長短期關係發生了短期性的變化。實證研究亦發現，巴西、蘇俄與中國的股市於2006年以後顯現對美國道瓊指數具有某種程度上之影響力，而美國道瓊指數則持續對金磚四國股市（特別是蘇俄、印度與中國）具有影響力。本研究實證結果支持美國股市與金磚四國新興市場股市彼此之間的非線性共整合關係與Granger因果關係是隨時間之變動而變動，同時也隱含在已開發及這些新興市場之國際投資組合，其風險分散效果可能因整合程度提高而逐漸消失。

This study investigates the evolving pattern of integration and Granger-causality relationships between the US and developing BRIC stock markets. Our study employs both the linear Engle–Granger cointegration test and the nonlinear Enders–Siklos cointegration test for comparative analysis. Furthermore, we expand the consistent momentum threshold autoregressive model and the threshold error correction model by time-varying approaches for dynamic analysis. The empirical results demonstrate that both long-run time-varying nonlinear cointegration relationships and short-run time-varying Granger-causality relationships exist between the stock markets of US–Brazil, US–India, US–Russia and US–China (US–BRIC). Furthermore, these relationships were altered in the short-run during 2007 – 2008, when the subprime mortgage financial crisis in the US occurred. The empirical results also demonstrate that the stock markets of Brazil, Russia and China have begun exerting significant influences on the Dow Jones to some extent after 2006, and the Dow Jones index continues to play a dominant role and increasingly Granger-causing shifts in the emerging markets of Russia, India and China. The findings support the time-varying nature of the nonlinear cointegration and Granger-causality relationships. It is also indicated that the potential benefits from international risk diversification may have gradually diminished between these pairwise markets.