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題名：金融危機時期之傳遞效應
作者：曾凱逸
作者(外文)：Kae-Yih Tzeng
校院名稱：國立臺灣科技大學
系所名稱：財務金融研究所
指導教授：謝劍平
學位類別：博士
出版日期：2016
主題關鍵詞：傳遞效應；股市；道瓊；大宗商品期貨；貨幣；芝加哥選擇權交易所波動率指數；信用違約交換；Transmission；Stock；Dow Jones；Commodity；Currency；VIX；CDS
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本論文探討金融危機期(金融海嘯及歐債危機)的傳遞效應，第一部份對美國股市傳遞至新興國家股市的效應進行探討，此部份為同質市場間傳遞效應研究，第二部份則探究美國股市至大宗商品期貨市場的傳遞效應，此部份則是對異質市場間的傳遞效應進行探討。第一部份發現美國股市對新興國家股市具顯著影響力，但雷曼兄弟破產後影響力降低。各新興國家的貨幣和當地股市有相關，但在危機後期相關性下降。而CDS在雷曼兄弟破產前便和新興國家股市相關，此為美國金融海嘯和歐債危機相關的證據。在希臘債務重整事件後，新興國家股市和道瓊及CDS漸行漸遠。本論文第二部份發現大宗商品期貨和股市有明顯的異質性，但在雷曼兄弟破產後異質性消失，產生相同走向，由迴歸模型、向量自我迴歸模型（VAR）及葛蘭傑因果檢測（Granger Causality）均顯示強烈的傳遞效應。另由波動外溢效應檢測，波動外溢扮演重要的角色。在雷曼兄弟破產後，大宗商品期貨脫離和VIX的負相關，但開始增加對CDS的相關性。而在希臘的債務重整事件後，大宗商品期貨價格和道瓊、VIX和CDS相關性大幅消失。最後，本研究亦發現在同質性市場的傳遞效應比異質性市場的傳遞效應迅速。
This dissertation investigates two transmission mechanisms during financial crises. The first study is the transmission within homogeneous markets, from U.S. stock markets to emerging stock markets, whilst the second study is a study on transmission within heterogeneous markets, from U.S. stock markets to commodity markets during two financial crises - the U.S. Subprime Mortgage Crisis and the European Sovereign Debt Crisis.
The first study finds significant influence of U.S. stock markets on emerging countries during the early stages of crises. However, such strong relationships diminish after the Lehman Brothers' bankruptcy. Local currencies yield positive relationships with their local stock markets, but this relationship loosens during the later stages of crises. Before the bankruptcy of the Lehman Brothers, emerging markets have already been influenced by the impact of the CDS. This is evident from the linkage between Subprime Mortgage Crisis and the European Sovereign Debt Crisis. After the restructuring of the Greek debt, decoupling effects with the Dow Jones and CDS are rather obvious.
Our second study finds significant segmentation characteristics of commodities. However, segmentation characteristics begin to disappear after the collapse of the Lehman Brothers. Results from regression, VAR (Vector Autoregression) and Granger causality all show that transmission effects to be rather obvious. Volatility spillover effect plays a major role in transmission mechanism. After the collapse of the Lehman Brothers, the commodities decouple their negative relationships with the VIX, and a coupling relationship is formed with the CDS. After the Greek debt restructuring period, commodities loosen their relationships with the Dow Jones, VIX and CDS. In addition, the transmission is faster for homogeneous markets than heterogeneous markets.
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