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題名：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
作者：王冠閔
作者(外文)：kuan min wang
校院名稱：國立中正大學
系所名稱：國際經濟研究所
指導教授：黃柏農
學位類別：博士
出版日期：2002
主題關鍵詞：蔓延效果；外溢效果；自由化；GARCH模型；VAR模型；Contagion effect；spillover effect；liberalization；GARCH model；VAR model
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除第壹章諸論外，本論文各章節的摘要及結論如下：第貳章旨在檢驗亞洲金融危機期間東南亞國家股票市場間是否存在蔓延效果。傳統文獻對於危機事件時點的選取，常因主觀認定及選定期間仍存在其它結構性改變點，可能高估金融危機期間股市報酬的變異而使實證結果發生偏誤。本文首先利用Inclán and Tiao (1994) 建議的疊代累積平方加總運算法(Iterated cumulative sums of squares algorithm)對東南亞九個國家：中國大陸、香港、印尼、日本、馬來西亞、菲律賓、新加坡、泰國及台灣等國股票報酬的變異進行多個結構改變點檢定，再估計任二國間雙變量GARCH模型。為避免傳統上估計多變量GARCH模型時參數過於複雜及雙變量GARCH模型無法充份代表多變量分析，本文利用Engle (2000) 建議之動態條件相關-多變量GARCH模型(Dynamic conditional correlation─Multivariate GARCH models)估計任二國間動態條件相關係數。於1997年泰國金融危機結構改變點後找出各國金融危機改變始點，將樣本劃分成”低波動期間”及”高波動期間”，利用二樣本t檢定法檢定任兩國家間平均動態條件相關係數在高波動期間顯著異於低波動期間及全樣本期間的蔓延效果，結果證實亞洲金融危機期間蔓延效果存在的事實。
第參章進一步探討亞洲金融危機期間東南亞國股市在蔓延效果存在的事實下，國與國間的外溢效果及危機衝擊的傳遞途徑。利用Granger因果關係檢定及累積衝擊反應分析來檢驗各國股票報酬及股票報酬變異之間的外溢效應。由股市報酬及報酬變異的檢驗結果發現；在考慮單向及反饋的外溢效果下，高波動期間股票報酬及報酬變異間的外溢效果均大於低波動期間，而變異間的外溢效果小於報酬間的外溢效果。此外，香港、新加坡、馬來西亞、泰國、及日本等國在危機的傳遞上扮演著舉足輕重的角色，具有不可勿視的影響力。由衝擊反應的結果發現，高波動期間股市報酬之間的衝擊反應效果比低波動期間大，而報酬變異之間的衝擊反應效果則較小。
第肆章則考量亞洲金融危機期間美股不對稱訊息下股票市場的外溢效果。以美股前一期報酬的正、負作為不對稱訊息的來源，分別估計兩種不同訊息下的向量自我迴歸模型來檢驗金融危機前、後期間東南亞股市間的外溢效果。本研究實證結果顯示，不論是在對稱或非對稱的訊息下，美國股市在金融危機低、高波動期間，對東南亞股市均有很大的外溢效應；而東南亞股市之間，危機傳遞的路徑也會因為對稱及不對稱訊息的不同，而有所差異。整體而言，東南亞股市之間相互的影響關係因為金融危機的發生而更加密切，雖然市場上仍以好訊息下的外溢效應較強，但壞訊息的外溢效應相對於好訊息而言有增加的趨勢。由股市之間累積衝擊反應的結果顯示，不論是在對稱訊息或不對稱訊息下，高波動期間的衝擊效果均大於低波動期間，且壞訊息的衝擊反應效果大於好消息。本研究進一步發現，股市之間衝擊力量愈大，所造成的反應的效果也愈強烈。
第伍章分析金融自由化與新興股市報酬及波動之關係。本章旨在解釋金融自由化對南韓、馬來西亞、印尼、菲律賓、泰國、台灣、土耳其、阿根廷、巴西、智利、及墨西哥等11個新興國家股市的影響。首先亦利用Inclán and Tiao (1994) 建議的疊代累積平方加總運算法對11個新興國家股票報酬變異進行多個結構改變點檢定，將代表各國市場報酬變異結構改變點及自由化宣示時點的虛擬變數納入GARCH模型內，分別考量金融自由化對11個新興國家股市股票報酬及變異的影響。
實證結果顯示，阿根廷、泰國、及台灣等3國股市的報酬在自由化後顯著減少，而印尼和土耳其股市的報酬在自由化後顯著增加。巴西、菲律賓、土耳其、及印尼等4國條件變異數在自由化後顯著增加，而台灣、及阿根廷等2國則顯著減少。平均組別的結果顯示報酬及條件變異在自由化後不存在顯著的改變。
第貳章
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第參章
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第肆章
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第伍章
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Bollerslev, T., R. Chou and K. F. Kroner (1992), “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence,” Journal of Econometrics, 52, 5-59.
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