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系統識別號 U0002-1202201410171000
中文論文名稱 歐債對於美國股市的影響-計量經濟學分析
英文論文名稱 The Effect of the European Sovereign Debt Crisis on the US Stock Market-An Econometric Analysis
校院名稱 淡江大學
系所名稱(中) 美洲研究所碩士班
系所名稱(英) Master's Program, Graduate Institute of the Americas
學年度 102
學期 1
出版年 103
研究生中文姓名 黃韻如
研究生英文姓名 Yun-Ju Huang
學號 600250129
學位類別 碩士
語文別 中文
口試日期 2014-01-14
論文頁數 89頁
口試委員 指導教授-柯大衛
委員-陳思寬
委員-萬哲鈺
中文關鍵字 歐債  股市  避風港  傳染效應  分量迴歸 
英文關鍵字 Euro debt crisis  stock market  safe haven  contagion effect  quantile regression 
學科別分類
中文摘要 作為一個國家重要且高頻率的經濟指標,股票市場對於經濟脈動具有非常高的敏感度。隨著國際產品市場間的互動越來越頻繁,股票市場間的影響程度亦產生了變化。股票市場已成為觀察產品市場間關連性或者世界經濟非常好的管道。過去二十年來的經濟危機,擴大了對於世界經濟的影響程度,如1997年的亞洲金融危機或2007年的次級房貸危機。經濟危機不再局限於一個國家或是一個區域,而會擴展到其他國家、其他區域甚至造成全球性的影響。作為美國最重要貿易夥伴之一的歐洲,因2009年的歐洲主權債務危機而對歐洲經濟有了極大的關注。究竟歐洲經濟變動對美國股票市場產生了什麼樣的影響,是非常重要以及值得探討。以從2000年開始來看歐洲和美國股票市場不尋常的共同變動是最好的方式。針對於此,我們的研究目的有以下三點:1. 歐洲股市與美國股市長、短期之間的關係。2. 歐洲股市與美國股市之間傳染效應(正向和負向)的影響程度、任何避風港效應可能性和相對的正常關係。3. 歐債前及歐債期間,歐洲股市和美國股市的關聯度。

為了能夠較適當的在理論上解釋兩個區域間股票價格快速變動的情形,我們提議將高彈性的風險議價(risk premium)加入到高登股利貼現模型(Discounted Dividends Model)當中。假定市場參與者他們主觀對股價下跌機率的改變,因政治的、經濟的或者是社會的事件改變,從而改變他們的投資行為。風險議價便是這種效應產生的管道。同時,我們認為本研究符合Robert Shiller的股價決定觀點。

在實證研究中,我們採用2000年1月3日至2013年11月1日的標準普爾500指數(S&P 500 Index) 和歐元藍籌50指數(Euro Stoxx 50 Index)高頻日資料。透過使用非常簡單的參照模型(baseline Model)、向前滾動相關性(forward rolling correlation) 和分量迴歸(quantile regression)三種模型,我們可以量化歐洲和美國股票市場的關聯性和相互影響情形。代表不同方法論的這三種模型,發現當歐洲市場有異常大變化時,歐洲市場對於美國市場的傳染影響增加了15%~25%。在部分研究顯示出歐洲對於美國市場具有較強烈的負向傳染效應,但較微弱的正向傳染效應。當歐洲股市價格有異常大變化時,在參照模型中發現歐洲對於美國股市的影響力增加了25%,而第二個模型顯示會增加未來兩周交易期間15%的相關性。在第三個模型當中,歐洲市場每日變動百分比下的傳染變化會導致特定係數的曲線。結果發現低分位數估計會大於中位數估計,亦即表示歐洲市場對美國市場有強烈的負向傳染效應(超過正常的20%)。最後,我們發現在2010-2012歐債危機最激烈期間,歐洲市場和美國市場間短期正常關係和傳染效應變化結合之下,具有緩慢移動的避風港效應。然而,這個緩慢移動的避風港效應結合了快速變動的傳染效應,無法輕易合併於一個單一模型當中。
英文摘要 As the nation’s principal, high-frequency economic indicator, the stock market is very sensitive to changes in the economy. Along with an increasing interaction among international product markets, the degree of influence between equity markets has also changed. Stock markets have become a good channel to observe the correlation of the product markets or economies of the world. Economic crises during the past 20 years have extended their influence on the world's economies. These shocks include the Asian financial crisis in 1997 and the subprime mortgage crisis in 2007. Economic crisis is not limited to one country or one region anymore, but spreads to other countries or other regions, at times even worldwide. As one of the most important trading partners with the US, great concern arose when the European economy foundered during the European sovereign debt crisis in 2009. It is both important and interesting to assess how this movement in the European economy impacted on the US stock market. This is best done by looking at the unusual co-movements in the EU and US stock markets beginning from the year 2000. Therefore, the goals of our research are to assess: 1. the short term and long term relationship between the EU stock markets and the US stock market; 2. the level of influence of (positive and negative) contagion effects, any possible safe haven effects, and of course the comparatively normal relations between the EU and the US stock markets; and 3. the correlation between the EU stock market and the US stock market before and during the euro debt crisis.

To better theoretically explain rapid movements in stock prices between the two regions, we propose the addition of a highly flexible risk premium to Gordon's discounted dividends model. Market participants are assumed to change their investment behavior based on changes in their subjectively formed probabilities of a fall in stock prices, due to changes in political, economic or social events. The risk premium is the channel through which this effect takes place. We find our theoretical research aligns well with Robert Shiller’s view of stock price determination.

Empirically, our high-frequency daily data consist of the S&P 500 Index and the Euro Stoxx 50 Index from January 3, 2000 to November 1, 2013. By using a very simple, baseline model, a forward rolling correlation model, as well as a quantile regression model we are able to quantify the correlation and interaction between the EU stock market and the US stock market. Using these three models, representing different methodologies, we found a remarkably consistent fact that the influence of a contagion from the EU market towards the US market increased 15%~25% whenever the EU market had unusually large movements one way or the other. Some parts of the research show that the EU market has a stronger negative contagion effect on the U.S. market than a positive contagion effect. When there are large movements in prices in the EU market, the influence from the EU market to the US market will increase 25% according to the baseline model, while the second model shows 15% increased correlation over the next two weeks of trading in the second model. The third model shows that contagion movements in daily percentage movements in the EU market can result in a particular coefficient profile over the quantiles. We found that low quantile estimates are above the estimate of the mid-quantiles, thus demonstrating a strong negative contagion effect (20% over normal) from the EU to US markets. Finally, we found that during the period 2010 to mid-2012, corresponding to the height of the EU debt crisis, a slow moving safe haven effect can be seen superimposed on the short run normal and contagion movement between the EU and the US stock markets. However, this slow moving safe haven effect combined with fast moving contagion effect cannot be easily incorporated into a single model.
論文目次 目錄 vii
圖目錄 ix
表目錄 xi
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與研究目的 4
第三節 名詞解釋 8
第四節 研究範圍與限制 11
第五節 研究架構 13
第二章 文獻回顧 15
第一節 傳染效應 15
第二節 避風港 20
第三章 關於傳染及安全(避風港)的重要理論議題 23
第一節 介紹 23
第二節 確定性等值和風險溢價 25
第三節 股票價格風險的因素 27
第四節 傳染和風險下的避風港 32
第四章 實證結果與分析 35
第一節 概述 35
第二節 參照模型 37
第三節 傳染所致的向前滾動相關性 39
第四節 分量迴歸觀點下的傳染 41
第五節 傳染效應的實證結果與討論 47
第六節 2010-2012年間債務危機避風港和傳染效應的解釋與討論 57
第五章 結論 61
參考書目 65
附錄 69

圖目錄
圖1-1:2000 至2012 年美國前三大貿易夥伴 ........... 4
圖1-2:2009-2013 年標準普爾500 指數 ................ 5
圖1-3:2009-2013 年德國DAX 指數 .................... 6
圖1-4:2009-2013 年西班牙IBEX35 指數 .............. 6
圖3-1:伯努利過程假設下的股票價格 ................... 27
圖3-2:風險厭惡等值於風險中立的伯努力過程 ...... 28
圖3-3:伯努利過程收益和損失的誤差分佈 ........ 31
圖4-1:分位數係數解釋理論 ................... 42
圖4-2:市場間(僅有)負傳染 .................... 43
圖4-3:分量迴歸的簡單圖示 ....................... 45
圖4-4:負向和正像傳染-散佈圖證據 ................. 46
圖4-5:2010-2013 年截距虛擬之前的效果 ............. 49
圖4-6:2010-2013 年截距虛擬之後的效果 .............. 50
圖4-7:間隔相等為25%的分位數係數估計 ............... 54
圖4-8:間隔相等為10%的分位數係數估計 ................................ 55
x
xi
表目錄
表4-1:參照迴歸模型結果 ................... 51
表4-2:向前滾動相關係迴歸結果 ........................................ 53
表4-3:分量迴歸結果 ....................... 56
參考文獻 中文參考文獻
書籍:
許慶修。兩岸股市論。臺北市:五南,民國92年。
黃浩天。全球股匯市投資手冊。臺北市:月旦,民國87年。
萊因哈特(Carmen M. Reinhart)&羅格夫(Kenneth S. Rogoff)著;劉道捷、陳旭華譯。這次不一樣:國家為什麼會破產。新北市:大牌,2013年。

期刊:
方文碩、王冠閔、董澍琦。「亞洲金融危機期間股票市場的蔓延效果」。管理評論25卷2期(民國95年4月):頁61-82

學位論文:
王冠閔。「金融危機期間股票市場的蔓延、外溢效果及自由化對新興股市的影響對新興股市的影響」。中正大學國際經濟研究所,碩士論文,民國91年。
包心婷。「波動度指數蔓延效果之研究 : 以次級房貸事件為例」。淡江大學財務金融學系在職專班,碩士論文,民國99年。
江枝昇。「次貸危機對美股與亞股間非對稱性傳染效果影響探討」。淡江大學財務金融學系在職專班,碩士論文,民國99年。
高蕙芬。「美債危機對臺股之傳染效果影響分析 : ARMAX-GARCH-Copula Type模型之應用」。淡江大學財務金融學系碩士在職專班,碩士論文,民國101年。

中文電子報:
詹珝榕、葉佳靜。「美史上單日最大跌點!7千億美元紓困案未過 道瓊跌777點」。東森新聞電子報,2008年9月30日。 (2013年8月9日)。
作者不祥。「從東京到孟買,亞洲去年慘綠」。工商時報,2009年1月1日。 (2013年4月14日)。


英文參考文獻:
期刊:
Avouyi-Dovi, Sanvi, & Neto, David. Equity market interdependence: the relationship between European and US stock markets. (September 2013) Financial stability review. No.4.
Baur, Dirk G.,& Brian M. Lucey. Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold. The Financial Review Vol. 45 (May 2010):217-229.
Baur, Dirk G., & Thomas K. McDermott. Is gold a safe haven? International evidence. Journal of Banking & Finance Vol.34 (August 2010): 1886–1898.
Baur, Dirk G., & Schulze, Niels. Coexceedances in Financial Markets - A Quantile Regression Analysis of Contagion. University of Tuebingen Economics Discussion Paper No. 253. (September 2003). Available at SSRN:http://ssrn.com/abstract=458100
Beck, Roland, & Rahbari, Ebrahim. Optimal reserve composition in the presence of sudden stops: the euro and the dollar as safe haven currencies. (July 2008). ECB Working Paper No. 916.
Chen, Sichong, & Poon , Ser-Huang. Modelling International Stock Market Contagion Using Copula and Risk Appetite. (October 15, 2007). Available at SSRN: http://ssrn.com/abstract=1024288
Ciner, Cetin, & Gurdgiev, Constantin & Lucey, Brian M.. Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates. (January 25, 2012) Available at SSRN: http://ssrn.com/abstract=1679243
Connolly, Robert A., & F. Albert Wang. On Stock Market Return Co-Movements: Macroeconomic News, Dispersion of Beliefs, and Contagion.(June 2000). Available at SSRN: http:// ssrn.com/abstract=233924.
Coudert, Virginie, & Helene Raymond-Feingold. Gold and financial assets: Are there any safe havens in bear markets? Economics Bulletin Vol.31 (2011): 1613–1622.
Kacperczyk, Marcin, & Schnabl, Philipp. When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009. (November 2009). NBER Working Paper No. 15538.
Kanas, Angelos. Pure contagion effects in international banking: The case of BCCI’s failure. Journal of Applied Economics Vol. 8, No.1, ( May 2005): 101–123.
Masson, Paul. Contation: Monsoonal Effects, Spillovers, and Jumps Between Multiple Equilibria. (September 1998). IMF Working Paper, No.98/142.
Munoz, Ma Pilar, & Marquez, Maria Dolores & Sanchez, Josep A. Contagion between United States and european markets during the recent crises. International Journal of Finance No. 2 (July 2011): PP.1-24
Upper, Christian. How Safe Was the “Safe Haven”? Financial Market Liquidity During the 1998 Turbulences. (February 2000). Deutsche Bundesbank Working Paper No. 1/00. Available at SSRN: http:// ssrn.com/abstract=219132.
英文電子報:
Lachman, Desmond. “Obama’s European Economic Time Bomb.” The American Magazine on the Web, August 8, 2011, (May 20, 2013)
Popper, Nathaniel. “Investors Seek Out Safer Shores.” New York Times on the Web, August 6, 2012,(November 30, 2012).
Watts, William L. “Gold’s safe-role is over:Societe Generale.” Market watch on the Web, December 23, 2013, (December 27, 2013)

英文網站:
BBC, < http://www.bbc.co.uk/news/business-13856580> (June 13, 2012)
Investopedia, (October 11, 2012)
The Guardian, < http://www.theguardian.com/business/interactive/2012/oct/17/eurozone-crisis-interactive-timeline-three-years> (August 14, 2013)
The World Bank, (April 16, 2013)
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