股票市場不對稱訊息的外溢效果

Spillover Effects in Stock Markets Under Asymmetric Information

10.6545/JFS.2008.16(1).3

方文碩(Wen-Shwo Fang)；王冠閔(Kuan-Min Wang)；董澍琦(Shuh-Chyi Doong)

亞洲金融危機 ； 不對稱訊息 ； 外溢效果 ； VAR模型 ； Asian Financial Crisis ； Asymmetric Information ； Spillover Effect VAR Model

財務金融學刊

16卷1期（2008 / 03 / 31）

65 - 98

繁體中文

本文在美國股票市場不對稱訊息前提下，以美國股票報酬的正、負為好、壞訊息，利用VAR模型，檢驗金融危機前、後期間亞洲股票市場間的外溢效果。實證結果發現，亞洲股票市場存在顯著的外溢效果，而危機傳遞的路徑也會因為訊息的不同而有所差異；另外，累積衝擊反應則顯示高波動期間的衝擊效果大於低波動期間，同時壞消息的衝擊反應效果大於好消息。

In this paper, we investigate financial spillover effects among Asian stock markets under the asymmetric information from the U.S. stock market during the Asian crisis period. Using the past positive return of U.S. stock market as good news and negative return as bad news, we construct two VAR models with different information set to test the spillovers during the pre-crisis and post-crisis periods. Based on the analysis, we infer that significant spillovers among the Asian stock markets are found and the routes of the crisis transmission among stock markets are different under asymmetric information. Furthermore, putting the cumulative impulse responses into VAR model, we find that the impulse effects appear to be larger during the crisis periods, if compared with the tranquil periods, and bad news innovations cause more impulse responses than good news Innovations.

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