東亞新興市場之股、匯市的風險傳染：東亞金融危機期間與非危機期間的驗證_

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題名：	東亞新興市場之股、匯市的風險傳染：東亞金融危機期間與非危機期間的驗證
書刊名：	臺灣管理學刊
作者：	蔡永順／吳榮振
作者(外文)：	Tsai, Yung-shun／Wu, Roung-jen
出版日期：	2008
卷期：	8:2
頁次：	頁47-70
主題關鍵詞：	傳染；因果關係；相關性；匯率；股價；Contagion；Causality；Correlation；Exchange rate；Stock price
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(1) 排除自我引用:0 共同引用:0 點閱:29

本文檢驗東亞金融危機期間與非危機期間東亞十個國家股、匯市之間的風險傳染。我們運用Granger 的因果關係檢定法，判斷股、匯市之間是否有領先或落後關係，藉此了解風險來源。並且以具有時間趨勢的MGARCH 模型，檢驗股、匯市之間的相關性是否有遞增現象，用以判定風險傳染。結果發現，在危機前、後，股、匯市的因果關係與相關性並不穩定；但是在危機期間股、匯市之間則明顯存在匯市領先股市的關係，而且相關性亦具有遞增趨勢。此結果顯示，在金融危機期間股、匯市之間存在風險傳染。其次，各國股、匯市之間亦存在跨國性的交叉影響，此隱含不同金融市場之間的風險傳染具有加速傳染的乘數效果。

以文找文

We investigate the risk contagion between exchange rate and stock price for 10 Asian countries by studying precrisis, crisis, and postcrisis periods. The Granger’s causality test is used to exam the risk source and the contagions are identified by time-trend MGARCH model. Although the relationships are not stable during the precrisis and the postcrisis periods, evidence of contagion between exchange rate and stock price is strong. However tests of specific deviations in suffering crisis countries lead to a rejection of the hypothesis of no causality and constant conditional correlation, this indicates existing contagions between stock and exchange markets during the crisis. In addition, the stock and exchange markets are exist cross effects between different countries, thus will accelerate risk contagion.

以文找文

期刊論文
1.	Tai, Chu-Sheng(2007)。Market Integration and Contagion: Evidence from Asian Emerging Stock and Foreign Exchange Markets。Emerging Markets Review，8(4)，264-283。
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9.	Longin, Francois M.、Solnik, Bruno(2001)。Extreme Correlation of International Equity Markets。Journal of Finance，56(2)，649-676。
10.	Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society，37(3)，424-438。
11.	Longin, Francois、Solnik, Bruno(1995)。Is the correlation in international equity returns constant: 1960-1990?。Journal of International Money and Finance，14(1)，3-26。
12.	Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics，72(3)，498-505。
13.	Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。
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15.	Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika，75(2)，335-346。
16.	Bae, Kee-Hong、Karolyi, G. Andrew、Stulz, René M.(2003)。A New Approach to Measuring Financial Contagion。Review of Financial Studies，16(3)，717-763。
17.	Aroskar, Raj, Sarkar, Salil K., Swanson, Peggy E.,(2004)。“European foreign exchange market efficiency Evidence based on crisis and noncrisis periods,”。International Review of Financial Analysis，13，333– 347。
18.	Bartram S. M., Brown G. W., and Hund J. E.,(2007)。“Estimating Systemic Risk in the International Financial System,”。Journal of Financial Economics，86(3)，835-869。
19.	Cheung, Yan-Leung, Cheung, Yin-Wong, and Ng, Chris C.,(2007)。“East Asian equity markets, financial crises, and the Japanese currency,”。Journal of Japanese International Economies，21，138–152。
20.	Corsetti, G., Pesenti, P., Roubini, N.,(1999)。“What caused the Asian currency and financial crisis?”。Japan and the World Economy，11 (2)，305-373。
21.	Gropp, R. and Moerman, G.,(2004)。“Measuring of Contagion in Bank’s Equity Prices,”。Journal of International Money and Finance，23(3)，405-459。
22.	Gylfason, T., Risager, O.,(1984)。“Does devaluation improve the current account? ”。European Economic Review，25 (1)，37-64。
23.	Kim, Yoonbai and Ying, Yung-Hsiang,(2007)。“An empirical assessment of currency devaluation in East Asian countries,”。Journal of International Money and Finance，26，265-283。
24.	Mandilaras, Alex and Bird, Graham,(2007)。“Foreign exchange markets in South-E ast Asia 1990–2004 An empirical analysis of spillovers during crisis and non-cr isis periods,”。North American Journal of Economics and Finance，18，41-57。
25.	Aroskar, Raj、Sarkar, Salil K.、Swanson, Peggy E.(2004)。European foreign exchange market efficiency Evidence based on crisis and noncnsis periods。International Review of Financial Analysis，13，333-347。
26.	Bartram S. M.、Brown G. W.、Hund J. E.(2007)。Estimating Systemic Risk in the International Financial System。Journal of Financial Economics，86(3)，835-869。
27.	Chan-Lau, J. A.、Mathieson, D. J.、Yao, J. Y.(2005)。Extreme Contagion in Equity Markets。International Monetary Fund Staff Papers，51，386-408。
28.	Cheung, Yan-Leung、Cheung, Yin-Wong、Ng, Chris C.(2007)。East Asian equity maikets, financial crises, and the Japanese currency,”。Journal of Japanese International Economies，21，138-152。
29.	Corsetti, G.、Pesenti, P.、Roubini, N.(1999)。What caused the Asian currency and financial crisis?。Japan and the World Economy，11(2)，305-373。
30.	Gropp, R.、Moerman, G.(2004)。Measuring of Contagion in Bank's Equity Prices。Journal of International Money and Finance，23(3)，405-459。
31.	Gylfason, T., Risager, O.,(1984)。Does devaluation improve the current account?。European Economic Review，25(1)，37-64。
32.	Kim, Yoonbai、Ying, Yung-Hsiang(2007)。An empirical assessment of currency devaluation in East Asian countries。Journal of International Money and Finance，26，265-283。
33.	Mandilaras, Alex、Bird, Graham(2007)。Foreign exchange markets in South-East Asia 1990-2004 An empirical analysis of spillovers during crisis and non-crisis periods。North American Journal of Economics and Finance，18，41-57。

會議論文
1.	Cheetham, R.(1998)。Asia Crisis。Conference, U.S.-ASEAN-Japan policy Dialogue，(會議日期: June 7-9)。Washington, D.C.：School of Advanced International Studies of Johns Hopkins University。

研究報告
1.	Edwards, S.(1998)。Interest Rate Volatility, Capital Controls, and Contagion。
2.	Chan-Lau, J. A., Mathieson, D. J. and Yao, J. Y.,(2005)。“Extreme Contagion in Equity Markets,”。
3.	Chou, R., Ng, V., and Pi, L.,(1994)。“Cointegration of international stock market indices,”。
4.	Schneider, M., Tornell, A.,(2000)。“Balance sheet effects, bailout guarantee and financial crises,”。
5.	Chou, R.、Ng, V.、Pi, L.(1994)。Cointegration of international stock market indices。
6.	Schneider, M.、Tornell, A.(2000)。Balance sheet effects, bailout guarantee and financial crises。

圖書
1.	Fuller, W. A.(1996)。Introduction to statistical time series。New York：Wiley & Sons。

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