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標題: | 重大天然災害對亞洲股市共移性與波動性之影響 The Comovement and Volatility Effect of Major Natural Disasters on Asian Stock Markets |
作者: | Zong-Han Wu 吳宗翰 |
指導教授: | 陳思寬 |
關鍵字: | 共移,波動性,Granger因果關係,反應衝擊函數,變異數分解,GARCH模型, comovement,volatility,Granger Causality,impulse response function,Variance Decomposition,GARCH model, |
出版年 : | 2012 |
學位: | 碩士 |
摘要: | 本研究主要探討議題為當一國發生重大天然災害時,是否會造成該國及其他國家股市產生連帶影響。為檢驗各國股市的關係,本研究選取了過去幾年造成亞洲國家重大損害的三個自然災害:日本311大地震、四川大地震與南亞海嘯作為研究樣本,並以亞洲地區十二個股市作為研究對象,利用計量方法來檢驗是否股市間的共移性與波動性會因事件發生而產生改變。
實證結果發現,各國股市之間存在共整合關係,表示擁有長期關連性;而由股市Granger因果關係檢定結果得知,各股市間的關係並非固定,而是隨時間產生變化(Time-Varying):反應衝擊函數結果顯示各股市在衝擊反應上不具效率性,故投資人可在市場間尋求套利的機會;變異數分解結果顯示日本311大地震對亞洲股市的影響大於四川大地震與南亞海嘯,顯示經濟能力越強的國家及對工業區造成破壞越嚴重的災害對股市的影響越大;由GARCH模型的結果顯示事件後股市間的波動性變化並不大。整體而言,由於股市間相關性並非全面且波動外溢效果不明顯,若投資人選擇在各證券市場分散投資,天然災害突發之時仍可達到分散風險的效果。 This study discusses about natural disasters. We focus on the effects when a disastrous earthquake occurs in one country, it will cause a big shock on the securities market of others country. In order to examine the effect, we include the Pacific coast of Tohoku Earthquake, the Great Sichuan Earthquake and the 2004 Indonesia Tsunami as sample. The stock indexes are chosen from the twelve countries or regions, and the econometric methods are used for examination. Empirical findings show that the cointegration relation existed during the whole sample periods and this implies a long-term equilibrium. The Granger Causality test shows the comovement among the stock indexes are time-varying and lack consistency. The impulse response functions imply that little efficiency during the periods, and exist arbitrage opportunities for investors. Furthermore, The Variance Decomposition Test demonstrates that the Pacific coast of Tohoku Earthquake has the most serious influence to Asian stock markets, followed by the Great Sichuan Earthquake and the 2004 Indonesia Tsunami. It may depend on countries’ economic capacity or the damage level in industrial areas. Finally, the low volatility during the three events’ periods is proved by the GARCH model. In conclusion, investors can purchase stocks in their portfolio across countries to diversifying their risk, and this also works when disasters occur. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/63695 |
全文授權: | 有償授權 |
顯示於系所單位: | 國際企業學系 |
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