Stock Market Integration, Structural Breaks and Arbitrage Opportunities

股票市場整合結構改變與套利機會

程英賓(Nick Ying-Pin Cheng)；孫衙聰(Ya-Chung Sun)；劉曉平(Xiao-Ping Liu)

Cointegration ； structure breaks ； East Asia ； Arbitrage Opportunities

萬能商學學報

20期（2015 / 07 / 01）

35 - 41

英文

本文主要研究東亞國家日本、台灣、南韓、香港及新加坡之金融市場之間是否存在市場整合的情況，尤其在結構改變前後之市場行為否改變，其改變是否存在套利機會。本研究使用Inoue（1999）結構改變共整合之模型作為研究基礎，發現在2000年（網路泡沫化）期間出現結構改變點，我們檢定結構改變前跟結構改變後之向量誤差修正模型（VECM）行為是否有所改變，得到的結論是在結構改變前後股票市場的長期行為也隨著改變，且具有統計上的顯著，因此在此一區域的投資人必須更謹慎的重新調整資金之分配讓獲利得以增加。

The existence and its degree of market integration have been shown to adversely influence the benefits from international diversifications among financial markets. While cointegration tests are typically employed to test for market integration whilst the degree of integration is proxy by the number of common factors in these series, the literature overlooked the importance of structural break plays in the dynamic environment. Moreover, though market integration reduces the diversification effect in the long run, there still exists some short run arbitrage opportunities due to the failure of market efficiency hypothesis inherited in the vector error correction models. Our paper thus contributes to the investment literature in the following two aspects: First, we test for market integration among stock markets in Japan, Taiwan, Hong Kong, Singapore and South Korea allowing for the presence of structural breaks. Secondly, as a byproduct to identify a break in April, 2000 (the dot-com bubble burst), we examine the change of long-run relationship via testing the difference between the pre-break and after-break VECM models. In our empirical studies, we found that the found CIV without considering breaks is close to the one for the pre-break period and it differs substantially from the estimated post-break CIV. Furthermore, the short run predictable patterns do shift significantly after the break and hence investing strategies exploiting for short run arbitrage opportunities shall adjust accordingly.