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題名：國際股市極值相關與資產配置
作者：沈姍姍
作者(外文)：Shan-Shan Shen
校院名稱：國立高雄第一科技大學
系所名稱：管理研究所
指導教授：林楚雄
學位類別：博士
出版日期：2008
主題關鍵詞：平均數-左偏動差架構；尾部指數；條件相關；極值相依；風險值；Conditional Correlation；Value-at-Risk；Mean-Lower Partial Moment；Tail Index；Extreme Dependence
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本研究從極端報酬的角度探討國際股市的相關性，以及極值相關對資產配置的影響。本文分別使用條件相關係數模型與極值相依模型估計國際市場之間極值相關，並以股價指數日資料進行實證。極值相關實證結果顯示，不同時期的國際股市極值關聯程度有別，雖然如此，股市同時大跌時之相關性仍一致高於大漲時。若依市場性質別比較，已開發股票市場的連動性明顯高於新興股票市場以及其與已開發股市的連動。已開發股市大跌的極值關聯有隨著門檻水準提高而提高之趨勢，而大漲時的極值關聯則是隨著門檻水準提高而逐漸降低。但在新興市場方面，則是無論大漲或是大跌，愈往極端門檻，其極值關聯反而有降低之傾向。
為了瞭解極值相關對資產配置有何影響，本研究在平均數-左偏動差(mean-lower partial moment, 簡稱MLPM)架構下最佳化投資組合，並以效率前緣上的投資組合進行分析。實證發現納入新興市場能提升投資組合的多角化利益，同時進入投資組合的市場其極值關聯顯著較低，而且大漲時極值關聯低的市場構成的投資組合最能兼顧風險與報酬。長期來看，極值關聯低的市場投資組合之未來投資績效優於一般的低相關投資組合，因此進行資產配置時，若在傳統的相關係數外，再考量資產的極值關聯將可以提昇配置績效。
This study intends to explore the correlation of extreme returns between stock markets and its implications to the asset allocation. Two extreme value theory based approaches are used to measure the extent of extreme co-movements. One is the conditional correlation approach and the other is extreme dependence method. Empirical results show that unequal extreme dependence is observed from different sub-sample periods and the degree of co-movement gets even stronger during market turmoil. Extreme correlations across national markets tend to be much greater on the downside than on the upside and the co-movement is larger within developed markets than in emerging markets. Left tail dependence structure of the developed market is different from the emerging market. For developed markets, left tail dependence goes up as the threshold level increases, but tail dependence tends to go down in emerging market.
With the exception of measuring extreme correlation, we explore the role of extreme correlation to international asset allocation utilizing the mean-lower partial moment (MLPM) portfolios. Empirical evidence demonstrates the diversification benefits of emerging markets and shows that extreme dependence of equities in a MLPM portfolio is significant lower than that outside the portfolio. Moreover, portfolios constructed of low extreme linkage markets have better performance than which is simply formed of low correlation markets. This result suggests that construct portfolios utilizing markets with low extreme linkage, especially low booming linkage, would be an ideal strategy.
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