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題名 | 極端報酬下亞洲股市之蔓延效果:應用Copula分析法=An Investigation of the Contagion Effect in Asian Stock Markets under Extreme Rate of Return Using Copula Approach |
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作者 | 賴奕豪; 江福松; 林煌傑; | 書刊名 | 經濟與管理論叢 |
卷期 | 6:2 2010.07[民99.07] |
頁次 | 頁247-270 |
分類號 | 563.54 |
關鍵詞 | 股價指數; 蔓延效果; 不對稱性; 偏態t分配; Copula; Stock index; Contagion; Asymmetry; Skewed t distribution; |
語文 | 中文(Chinese) |
中文摘要 | 本文結合具不對稱相關結構及極値特性的Copula函數及具偏態t分配之GJR-GARCH模型 (GJR-GARCH-ST) 估計台灣、香港、日本、韓國及新加坡股市間的蔓延條件機率,據以探討極端事件下之蔓延機制。實證結果如下:(1) 香港或新加坡發生極端正向或負向衝擊時,彼此較可能受到影響,隱含同時包含香港與新加坡股票資產的投資組合在極端衝擊下具有較低的的風險分散效益,投資人應避免同時持有;(2) 當香港或台灣出現極端負向衝擊時,較不可能相互影響,隱含同時包含香港與台灣股票資產之多頭投資組合具有較佳風險分散效果;(3) 當日本或台灣股市發生極端正向衝擊時,較不可能相互影響,隱含同時包含日本與台灣股票資產之空頭投資組合具有較佳風險分散效果。本文研究結果可幫助多、空方投資人了解亞洲股市間極端衝擊之蔓延機制,據以建立投資組合,分散極端衝擊下之投資風險。 |
英文摘要 | This study applies copula functions with properties of asymmetric dependence structures and extreme value and the GJR-GARCH model with skewed Student t distribution (GJR-GARCH-ST) to estimate the marginal and joint distributions of stock returns in Taiwan, Hong Kong, Japan, South Korea and Singapore. Furthermore, this study applies the conditional probability of contagion to investigate the possibility of the extreme co-movement among Asian stock markets given that an extreme positive or negative shock occurs in one of them. The empirical results are as follows: (1) both large market rise and fall result in the highest possibility of co-movement between the Hong Kong and Singaporean markets, implying the risk diversification benefits offered by the portfolios with Hong Kong and Singapore are very limited; (2) when Hong Kong faces an extreme fall, Taiwan is less likely affected, and vice versa, implying long portfolios built around Hong Kong and Taiwan represent a better risk diversification; (3) when Japan experiences an extreme positive impact, Taiwan is the less likely affected, and vice versa, implying short portfolios built around the Taiwan and Japanese markets represent a better risk diversification. The conclusions can help bullish and bearish investors realize the co-movement between Asian markets and diversify risks under extreme impact. |
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