21世紀初美股與亞股間非對稱性傳染效果影響之探討

The Study on the Asymmetric Contagion Effect among the U.S. and Asian Stock Markets at the Beginning of Twenty-first Century

10.6338/JDA.201306_8(3).0001

聶建中(Chien-Chung Nieh)；高友笙(Yu-Sheng Kao)；鄭光政(Kuang-Cheng Cheng)

次級房貸危機 ； 傳染效果 ； 股市 ； 不對稱門檻共整合 ； 不對稱門檻誤差修正模型 ； Subprime Mortgage Crisis ； Contagion Effect ； Stock Market ； Asymmetric Threshold Co-integration ； Asymmetric Threshold Error Correction Model

Journal of Data Analysis

8卷3期（2013 / 06 / 01）

1 - 26

繁體中文

本文使用Enders and Granger（1988）以及Enders and Siklos（2001）的不對稱門檻共整合模型，檢視美國三大股市指數（道瓊工業指數、那斯達克指數以及標準普爾500指數）與亞洲六大股市（台灣、香港、新加坡、南韓、日本及上海）間不對稱的長期均衡關係，分析在21世紀初期美國次級房貸危機發生前後，美股與亞股之間共整合關係的變化；再以門檻誤差修正模型（M-TECM）探討在次貸危機的前後，美股對亞股的短期不對稱傳遞效果，以及美股與亞股間長期均衡關係調整的不對稱性。本研究先以相關性檢定，發現於次貸危機之後，美股與亞股六個市場之間的相關連動程度較危機之前顯著提高，此現象符合世界銀行對「傳染」（contagion）的最嚴格定義。本研究進一步的實證結果證實了：（一）以Enders-Granger以及Enders-Siklos的方法檢測，發現次貸危機前後，美股三指數與亞股之間的共整合現象有顯著提升；（二）以門檻誤差修正模型探討美股對亞股的不對稱Granger因果關係，亦發現在次貸危機之後，美股對亞股的領先關係，以及雙方長期均衡關係調整的不對稱性也較事件前有顯著的提升。本研究證實在次貸危機事件期間，美股對亞股存在有訊息衝擊所導致的國際股市蔓延效應（contagion effect）。由此可知，美國次貸危機事件確實會提高美股與亞股之間的共同移動趨勢，造成美股對亞股的傳染效應，因此在次貸危機爆發後，投資人難以再利用美股與亞股的國際股市投資組合來達到分散風險目的。

This paper employed the asymmetric threshold co-integration models elaborated by Enders and Granger (1988) and Enders and Siklos (2001) to investigate the variations of the long-term asymmetric equilibrium relationships between each of the three major stock indices in the United States (DOW JONES, NASDAQ, and S&P 500) and each of the six Asian stock markets (Taiwan, Hong Kong, Singapore, South Korea, Japan and Shanghai) around the Subprime Mortgage Crisis in the early 21st century; we also used the Momentum-Threshold Error Correction Model (M-TECM) to explore the short-term asymmetric transmission effects from the U.S. stock markets to Asian stock markets and the asymmetric adjustments in these long-term relationships around the Subprime Mortgage Crisis. This paper first applied the traditional correlation test and found that there were significant increases in these correlation coefficients between the U.S. stock markets and Asian stock markets after the Subprime Mortgage Crisis, the phenomenon conformed to the very restrictive definition of the contagion by the World Bank. The further evidence revealed that (1) there were significant increases in the co-integration relationships between the U.S. stock markets and Asian stock markets during the period of the Subprime Mortgage Crisis by the Enders-Granger and Enders-Siklos methodologies; (2) there were also significant increases in these asymmetric Granger causalities from the U.S. stock markets to Asian stock markets and asymmetric adjustments in the long-term relationships after the Subprime Mortgage Crisis by the M-TECM. Our empirical results support that a contagion effect existed between the U.S. stock markets and Asian stock markets during the Subprime Mortgage Crisis. Therefore, we conclude that the event of the Subprime Mortgage Crisis enhanced the co-movement trends between the U.S. stock markets and Asian stock markets, and it was hard for investors to fulfill the diversification by using the international portfolios of the U.S. stocks and Asian stocks after the Subprime Mortgage Crisis.

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