在次級房貸危機的前後，何者對東歐股市有較強的影響性－美國或是俄羅斯？

Who Has More Influence on East European Stock Markets around the Subprime Mortgage Crisis-The U.S. or Russia?

聶建中(Chien-Chung Nieh)；高友笙(Yu-Sheng Kao)；古御呈(Yu-Cheng Ku)

不對稱蔓延效果 ； 東歐 ； 次級房貸危機 ； Asymmetric Contagion Effect ； East European ； Subprime Mortgage Crisis

輔仁管理評論

21卷2期（2014 / 06 / 01）

13 - 53

繁體中文

本文旨在探討於次貸危機的前後，美、俄股與波、捷、匈、土等東歐股市之間不對稱共整合關係的變化。實證結果顯示：運用Engle & Granger (1987)及Johansen (1988)的對稱共整合檢定進行檢測，次貸危機並不會導致美股與五股市，以及俄股與四股市間的共移趨勢增加，而採用Enders & Siklos (2001)的不對稱門檻共整合檢定，則發現在2008年9月15日的雷曼兄弟破產事件後，美股與五股市；以及俄股與波、捷、匈等股市間的不對稱共整合現象較危機前有明顯增強，證實美股與五股市，以及俄股與波、捷、匈之股市存在有不對稱的蔓延效應，但俄股與土股在危機前後則皆不具有共整合關係，表示俄股與土股僅存在相互依存效應。此外實證結果亦顯示，以次貸危機為例，他國金融市場與危機發生國（美國）金融市場的連結性強弱才是造成被蔓延程度不同的主因，顯示了次貸危機與過往發生於新興市場的金融危機，在成因與產生影響上的主要差異。

This study investigated the variations in the asymmetric co-integration relationships between the S&P 500 Index and East European and Russia's stock market and the stock markets of Poland, Czech, Hungary and Turkey around the Subprime Mortgage Crisis. The main findings demonstrated that with the application of symmetric co-integration tests of Engle & Granger (1987) and Johansen (1988), the Subprime Mortgage Crisis did not reinforce the co-movement trends between those markets. However, with the application of the Enders & Siklos (2001) asymmetric co-integration methods, there was significant increase in these asymmetric co-integration relationships between them after Lehman Brothers filed the bankruptcy on September 15, 2008. There existed a contagion effect between them in the aftermath of Lehman Brothers' bankruptcy. Only the Turkish market was not transmitted by the Russian market during this crisis; there was only an interdependence effect between the Russian market and Turkish market. Furthermore, the result shows that the event of the Subprime Mortgage Crisis revealed the financial linkage to the U.S. markets determined the degrees of contagion effects, which further demonstrated the differences in the causes and influence between the Subprime Mortgage Crisis and other financial crises in emerging markets.

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