美國量化寬鬆期間美股及東協加三各股市之關聯性研究

Abstract

本論文美國量化寬鬆期間探討美股及「東協加三」各股市之關聯性，選取S&P500指數與MSCI所編製之菲律賓、日本、韓國、中國、新加坡、印尼、馬來西亞和泰國之股價指數報酬率為研究對象。研究範圍為2008年11月25至2013年3月31之日報酬資料，並依美國貨幣量化寬鬆政策宣布日切分為三個區段進行探討。 透過ADF確認序列為定態，再利用向量自我迴歸模型進行Granger因果關係、衝擊反應分析、預測誤差變異數分解來探討各國股市之關聯性。實證結果發現：1、各國股市間皆具關聯性；2、而美股對東協加三各國股市仍具有影響力，唯其影響力逐漸減弱中；3、以區域影響來看，印尼、泰國股市為東協加三領先指標，其中尤以泰國股市則最具潛力。

This research discusses the stock returns relevancy among U.S and ASEAN+3 during U.S. Quantitative Easing, which includes stock markets of S&P 500 and MSCI in Philippines, Japan, Korea, china, Singapore, Indonesia, Malaysia and Thailand. Time frame of this research is from 11/25/2008 to 3/31/2013 and divided into three periods according to the declaration date of QE. Via ADF test, time series were confirmed to be stationary. With VAR model, Granger causality test, impulse response analysis and forecast error variance decomposition, relevancy of each market mentioned above was analyzed. The results demonstrated that: 1. All target stock markets are relevant. 2. U.S market is found to be the most influential to ASEAN+3, but it is getting weaker. 3. From the regional influence, stock markets of Indonesia and Thailand are the leading indicators of the ASEAN+3. Thailand is the most influential among ASEAN+3.