東亞新興市場之股、匯市的風險傳染：東亞金融危機期間與非危機期間的驗證

The Risk Contagion between Stock Price and Exchange Rate in Asia Emerging Market: Evidence Based on Asian Crisis and Noncrisis Periods

10.6295/TAMJ.2008.0802.07

蔡永順(Yung-Shun Tsai)；吳榮振(Roung-Jen Wu)

傳染 ； 因果關係 ； 相關性 ； 匯率 ； 股價 ； contagion ； causality ； correlation ； exchange rate ； stock price

台灣管理學刊

8卷2期（2008 / 08 / 01）

47 - 70

繁體中文

本文檢驗東亞金融危機期間與非危機期間東亞十個國家股、匯市之間的風險傳染。我們運用Granger的因果關係檢定法，判斷股、匯市之間是否有領先或落後關係，藉此了解風險來源。並且以具有時間趨勢的MGARCH 模型，檢驗股、匯市之間的相關性是否有遞增現象，用以判定風險傳染。結果發現，在危機前、後，股、匯市的因果關係與相關性並不穩定；但是在危機期間股、匯市之間則明顯存在匯市領先股市的關係，而且相關性亦具有遞增趨勢。此結果顯示，在金融危機期間股、匯市之間存在風險傳染。其次，各國股、匯市之間亦存在跨國性的交叉影響，此隱含不同金融市場之間的風險傳染具有加速傳染的乘數效果。

We investigate the risk contagion between exchange rate and stock price for 10 Asian countries by studying precrisis, crisis, and postcrisis periods. The Granger's causality test is used to exam the risk source and the contagions are identified by time-trend MGARCH model. Although the relationships are not stable during the precrisis and the postcrisis periods, evidence of contagion between exchange rate and stock price is strong. However tests of specific deviations in suffering crisis countries lead to a rejection of the hypothesis of no causality and constant conditional correlation, this indicates existing contagions between stock and exchange markets during the crisis. In addition, the stock and exchange markets are exist cross effects between different countries, thus will accelerate risk contagion.

1. Wang, Kuan-Min(2007).Forecast Testing for Contagion between the Taiwan, Foreign-Exchange, and US Stock Markets under Asymmetric Information Conditions.Journal of Humanities and Social Sciences,3(1),69-80.
   連結：
2. Abdalla, Issam S. A.,Murinde, Victor(1997).Exchange Rate and Stock Pi-ice Interaction in Emerging Financial Markets.Applied Financial Economics,7,25-35.
3. Aroskar Raj,Sarkar, Saul K.,Swanson, Peggy E.(2004).European foreign exchange market efficiency Evidence based on crisis and noncrisis periods.International Review of Financial Analysis,13,333-347.
4. Bae, K. H.,Karolyi, G. A.,Stulz, R. M.(2003).A New Approach to Measuring Financial Contagion.The Review of Financial Studies,16,717-763.
5. Bartram S. M.,Brown G. W.,Hund J. E.(2007).Estimating Systemic Risk in the International Financial System.Journal of Financial Economics,86(3),835-869.
6. Berndt, E. K.,Hall, B. H.,Hall, R. E.,Hausman, J. A.(1974).Estimation and Inference in Non-linear Structural Models.Annals of Economic and Social Measurement,3,653-665.
7. Bollerslev, T.(1990).Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Approach.Review of Economics and Statistics,72,498-505.
8. Chan-Lau, J. A.,Mathieson, D. J.,Yao, J. Y.(2005).Extreme Contagion in Equity Markets.International Monetary Fund Staff Papers,51,386-408.
9. Cheetham, R.(1998).Asia Crisis.Paper presented at conference, U.S.-ASEAN-Japan policy Dialogue,Washingtion, D.C.:
10. Cheung, Yan-Leung,Cheung, Yin-Wong,Ng, Chris C.(2007).East Asian equity markets, financial crises, and the Japanese currency.Journal of Japanese International Economies,21,138-152.
11. Chou, R.,Ng, V.,Pi, L.(1994).Cointegration of international stock market indices.IMF Working Paper WP/94/94.
12. Corsetti, G.,Pesenti, P.,Roubini, N.(1999).What caused the Asian currency and financial crisis?.Japan and the World Economy,11(2),305-373.
13. Dickey, D.,Fuller, W.(1979).Distribution of the estimators for autoregressive time series with a unit root.Journal of the American Statistical Association,74,427-431.
14. Dickey, D.,Fuller, W.(1981).The likelihood ratio statistic for autoregressive time series and a unit root.Econometrica,49,1057-1072.
15. Edwards, S.(1998).Interest rate volatility, capital controls, and contagion.NEER Working Paper 6756.
16. Engle, R.,Granger, C.(1987).Cointegration and error correction: Representation, estimation and testing.Econometrica,55,251-276.
17. Forbes, K.J.,Rigobon, R.(2002).No contagion, only interdependence: Measuring stock market co-movement.Journal of Finance,57,2223-2261.
18. Fuller, W.(1976).Introduction to Statistical Time Series.New York:Wiley.
19. Granger, C. W.(1969).Investigating causal relations by econometric models and cross-spectral methods.Econometrica,37,424-439.
20. Gropp, R.,Moerman, G.(2004).Measuring of Contagion in Bank`s Equity Prices.Journal of International Money and Finance,23(3),405-459.
21. Gylfason, T.,Risager, O.(1984).Does devaluation improve the current account?.European Economic Review,25(1),37-64.
22. Hamno, Y.,Masulis, R.,Ng, V.(1990).Correlations in price changes and volatility across intemational stock markets.The Review of Financial Studies,3(2),281-307.
23. Kim, Yoonbai,Ying, Yung-Hsiang(2007).An empirical assessment of currency devaluation in East Asian countries.Journal of International Money and Finance,26,265-283.
24. Krugman, P.(1999).Balance sheets, the transfer problem, and financial crises.MIT.
25. Longin, F.,Solnik, B.(2001).Extreme Correlation of Intemational Equity Markets.Journal of Finance,56,649-676.
26. Longin, Francois,Solnik, Bruno(1995).Is the Correlation in International Equity Returns Constant 1960-1990.Journal of International Money and Finance,14(1),3-26.
27. Mandilaras, Alex,Bird, Graham(2007).Foreign exchange markets in South-East Asia 1990-2004 An empirical analysis of spillovers during crisis and non-crisis periods.North American Journal of Economics and Finance,18,41-57.
28. Phillips, P.,Perron, P.(1988).Testing for a unit root in time series regression.Biometrica,74,335-346.
29. Schneider, M.,Tomell, A.(2000).Balance sheet effects, bailout guarantee and financial crises.NBER. Working Paper 8060.
30. Tai, Chu-Sheng(2007).Market integration and contagion Evidence from Asian emerging stock and foreign exchange markets.Emerging Markets Review,xx,1-20.