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題名：金融市場極端外溢效果之研究
作者：高玉清
作者(外文)：Nattawadee Korsakul
校院名稱：元智大學
系所名稱：管理學院博士班
指導教授：吳志強
學位類別：博士
出版日期：2021
主題關鍵詞：外匯市場；股票市場；極端依賴；非對稱依賴；動態關聯模型；極端外溢效果；美中貿易戰；Foreign exchange market；Equity market；Extreme dependence；Asymmetric dependence；Dynamic copula model；Extreme Risk Spillover；U.S.-China trade war
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本文研究金融市場的極端外溢效果，第一部分探討外匯與一般金融市場的極端關聯性，第二部分探討中美貿易戰對股票市場極端外溢效果之影響。
第一部分使用非對稱動態關聯模型，針對以G7國家為代表的已開發市場，研究外匯與一般金融市場（即股票和債券市場）之間的動態關聯性及極端外溢效果。估計結果顯示加拿大（日本和美國）的貨幣和股票市場之間具有顯著的正（負）相關性；日本（加拿大和美國）的貨幣和債券市場之間存在顯著的正（負）相關性；歐洲國家的貨幣和股票/債券市場之間的相關性很小。此外，大多數國家皆存在下方及上方風險外溢效果，且對於股票市場，下方風險外溢效果普遍大於上方風險外溢效果。
第二部分使用Copula-CoVaR模型，研究中美貿易戰背景下，美國/中國對相互貿易夥伴股票市場的極端風險外溢效果。實證結果顯示，鑑於貿易關係密切，美國/中國與選定國家的股票市場之間存在正相關。美國/中國對這些國家的股票市場存在下方及上方風險外溢效果。此風險外溢效果存在非對稱性，且風險外溢的影響在貿易戰期間更為明顯。此外，對於已開發國家（亞洲新興國家）而言，來自美國（中國）的風險外溢效果高於來自中國（美國）的外溢效果，這意味著區域內/經濟一體化的影響。總而言之，中美貿易戰加劇了美國/中國對其主要貿易夥伴股票市場的極端外溢效果。
This paper studies the extreme risk spillover in the financial markets and is divided into two parts – part I: Extreme Linkages between Foreign Exchange and General Financial Markets and part II: Risk Spillover Effect in the Equity Markets: Case of U.S.-China Trade War. The first part investigates the dynamic linkages (extreme risk spillovers) between foreign exchange and the general financial markets (i.e., stock and bond markets) using asymmetric time-varying copula models (copula-based CoVaR approach) for the developed market represented by G7 countries. The copula estimations reveal asymmetric tail dependence as well as a significant and positive (negative) dependence between currency and stock markets in Canada (Japan and U.S.); a significant and positive (negative) dependence between currency and bond markets in Japan (Canada and U.S.); and insignificant dependence between currency and stock/bond markets for the European countries. Furthermore, the downside and upside spillovers are observed in most countries, with the evidence of downside spillover being more prevalent than the upside spillover, especially for the stock market. The results indicate that these spillovers are generally asymmetric, i.e., the downside spillovers are significantly greater than the upside ones. The findings are relevant for international investors and policy makers.
The second part is to examine the extreme downside and upside risk spillovers from the U.S./ China to their mutual trading partners’ equity markets under the context of the U.S.-China trade war using the Copula-CoVaR model. The empirical results show that there is a positive dependence between the U.S./China and the selected countries’ equity markets given their close trade relations. There are both significantly downside and upside spillovers from the U.S./China to these countries’ equity markets. The spillovers are asymmetric, with the downside spillover having a greater impact on the upside spillover, and the effects of these spillovers are more pronounced during the trade war period. Moreover, the risk spillover from the U.S. (China) is higher in magnitude than from China (U.S.) for a group of developed (Asian emerging) countries, implying intra-regional/ economic integration effects. In sum, the U.S.-China trade war heightens the risk spillovers from the U.S./ China to their top trading partners’ equity markets.
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