國際股市動態條件相關係數分析: 新興亞洲和已開發亞洲市場在國際間的角色

Abstract

在多角化的國際投資組合中，金融市場之間的相關係數扮演著至關重要的角色。由於亞洲市場在整個全球舞台逐漸具有重要性，本研究把重點聚焦在新興亞洲和已開發亞洲市場在國際間的角色。本篇論文的樣本為摩根士丹利(MSCI)區域型股票指數，樣本期間為1997/1/1至2013/8/28，並且採用動態條件相關係數(DCC)模型來捕捉亞洲市場和其他海外市場的動態相關係數。實證研究發現亞洲市場和其他海外市場之間的相關性於1997年亞洲金融危機後逐步上升。同時發現新興亞洲市場和其他地區(除了美國市場之外)的相關性會在危機發生的前幾個月稍微向下，即使在嚴重的全球金融危機也不例外。這可能表示，如果投資者能分散投資至亞洲新興市場，即便是在金融危機期間，仍可在早期階段獲得一些分散風險的好處。使用預測誤差之變異分解的VAR模型顯示區域之間相互依存的關係在亞洲金融危機後加劇。此外，預測誤差變異分解模型的結果顯示美國股票市場是迄今為止最具影響力的市場，而拉美市場雖具有影響性，卻缺乏其穩定性。最後，全球金融市場的不穩定使我們探討全球最小變異的投資組合。我們發現加拿大股票市場在最適投資組合中扮演著重要的角色。拉美市場在新興市場中時而表現優異。再者，若區域型投資者能建立國際投資組合，即使在本樣本期間後期，多數的區域型投資者能獲得更高的報酬。

As Asian market is gaining power in the global stage, our research paper examines the co-movements of Asian equity markets against other MSCI regional equity markets from 1997/1/1 to 2013/8/28. We apply a DCC-GARCH model to the MSCI regional weekly indices. We confirm that the correlations between Asian markets and other foreign markets begin to rise after the 1997 Asian financial crisis. We also find out the correlations between emerging Asia and other regions apart from the U.S. go slightly downward in the previous months even during the severe global financial crisis. It might indicate that during financial crisis investors can still gain some diversification benefits in the early stage if diversifying into emerging Asia. The VAR model with the analysis of forecast error variance decomposition shows the interdependence among regions has intensified after the Asian Financial Crisis. Moreover, it shows that the U.S. stock market is by far the most influential market in the world, and the Latin market is influential but lacks of stability. Lastly, the financial turmoil has brought the global minimum variance portfolio to the forefront. We find out Canadian equity market plays a vital role in the optimal portfolio. Latin market is sometimes very promising. Global diversification can help most regional investors to obtain more gains even in late period.