歐債對於美國股市的影響 : 計量經濟學分析

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Title:	歐債對於美國股市的影響 : 計量經濟學分析
Other Titles:	The effect of the European sovereign debt crisis on the US stock market : an econometric analysis
Authors:	黃韻如;Huang, Yun-Ju
Contributors:	淡江大學美洲研究所碩士班柯大衛;Kleykamp, David
Keywords:	歐債;股市;避風港;傳染效應;分量迴歸;Euro debt crisis;Stock Market;safe haven;Contagion Effect;Quantile Regression
Date:	2014
Issue Date:	2015-05-01 13:31:37 (UTC+8)
Abstract:	作為一個國家重要且高頻率的經濟指標，股票市場對於經濟脈動具有非常高的敏感度。隨著國際產品市場間的互動越來越頻繁，股票市場間的影響程度亦產生了變化。股票市場已成為觀察產品市場間關連性或者世界經濟非常好的管道。過去二十年來的經濟危機，擴大了對於世界經濟的影響程度，如1997年的亞洲金融危機或2007年的次級房貸危機。經濟危機不再局限於一個國家或是一個區域，而會擴展到其他國家、其他區域甚至造成全球性的影響。作為美國最重要貿易夥伴之一的歐洲，因2009年的歐洲主權債務危機而對歐洲經濟有了極大的關注。究竟歐洲經濟變動對美國股票市場產生了什麼樣的影響，是非常重要以及值得探討。以從2000年開始來看歐洲和美國股票市場不尋常的共同變動是最好的方式。針對於此，我們的研究目的有以下三點：1. 歐洲股市與美國股市長、短期之間的關係。2. 歐洲股市與美國股市之間傳染效應（正向和負向）的影響程度、任何避風港效應可能性和相對的正常關係。3. 歐債前及歐債期間，歐洲股市和美國股市的關聯度。為了能夠較適當的在理論上解釋兩個區域間股票價格快速變動的情形，我們提議將高彈性的風險議價(risk premium)加入到高登股利貼現模型（Discounted Dividends Model）當中。假定市場參與者他們主觀對股價下跌機率的改變，因政治的、經濟的或者是社會的事件改變，從而改變他們的投資行為。風險議價便是這種效應產生的管道。同時，我們認為本研究符合Robert Shiller的股價決定觀點。在實證研究中，我們採用2000年1月3日至2013年11月1日的標準普爾500指數(S&P 500 Index) 和歐元藍籌50指數(Euro Stoxx 50 Index)高頻日資料。透過使用非常簡單的參照模型（baseline Model）、向前滾動相關性（forward rolling correlation）和分量迴歸（quantile regression）三種模型，我們可以量化歐洲和美國股票市場的關聯性和相互影響情形。代表不同方法論的這三種模型，發現當歐洲市場有異常大變化時，歐洲市場對於美國市場的傳染影響增加了15%~25%。在部分研究顯示出歐洲對於美國市場具有較強烈的負向傳染效應，但較微弱的正向傳染效應。當歐洲股市價格有異常大變化時，在參照模型中發現歐洲對於美國股市的影響力增加了25%，而第二個模型顯示會增加未來兩周交易期間15%的相關性。在第三個模型當中，歐洲市場每日變動百分比下的傳染變化會導致特定係數的曲線。結果發現低分位數估計會大於中位數估計，亦即表示歐洲市場對美國市場有強烈的負向傳染效應（超過正常的20%）。最後，我們發現在2010-2012歐債危機最激烈期間，歐洲市場和美國市場間短期正常關係和傳染效應變化結合之下，具有緩慢移動的避風港效應。然而，這個緩慢移動的避風港效應結合了快速變動的傳染效應，無法輕易合併於一個單一模型當中。 As the nation’s principal, high-frequency economic indicator, the stock market is very sensitive to changes in the economy. Along with an increasing interaction among international product markets, the degree of influence between equity markets has also changed. Stock markets have become a good channel to observe the correlation of the product markets or economies of the world. Economic crises during the past 20 years have extended their influence on the world''s economies. These shocks include the Asian financial crisis in 1997 and the subprime mortgage crisis in 2007. Economic crisis is not limited to one country or one region anymore, but spreads to other countries or other regions, at times even worldwide. As one of the most important trading partners with the US, great concern arose when the European economy foundered during the European sovereign debt crisis in 2009. It is both important and interesting to assess how this movement in the European economy impacted on the US stock market. This is best done by looking at the unusual co-movements in the EU and US stock markets beginning from the year 2000. Therefore, the goals of our research are to assess: 1. the short term and long term relationship between the EU stock markets and the US stock market; 2. the level of influence of (positive and negative) contagion effects, any possible safe haven effects, and of course the comparatively normal relations between the EU and the US stock markets; and 3. the correlation between the EU stock market and the US stock market before and during the euro debt crisis. To better theoretically explain rapid movements in stock prices between the two regions, we propose the addition of a highly flexible risk premium to Gordon''s discounted dividends model. Market participants are assumed to change their investment behavior based on changes in their subjectively formed probabilities of a fall in stock prices, due to changes in political, economic or social events. The risk premium is the channel through which this effect takes place. We find our theoretical research aligns well with Robert Shiller’s view of stock price determination. Empirically, our high-frequency daily data consist of the S&P 500 Index and the Euro Stoxx 50 Index from January 3, 2000 to November 1, 2013. By using a very simple, baseline model, a forward rolling correlation model, as well as a quantile regression model we are able to quantify the correlation and interaction between the EU stock market and the US stock market. Using these three models, representing different methodologies, we found a remarkably consistent fact that the influence of a contagion from the EU market towards the US market increased 15%~25% whenever the EU market had unusually large movements one way or the other. Some parts of the research show that the EU market has a stronger negative contagion effect on the U.S. market than a positive contagion effect. When there are large movements in prices in the EU market, the influence from the EU market to the US market will increase 25% according to the baseline model, while the second model shows 15% increased correlation over the next two weeks of trading in the second model. The third model shows that contagion movements in daily percentage movements in the EU market can result in a particular coefficient profile over the quantiles. We found that low quantile estimates are above the estimate of the mid-quantiles, thus demonstrating a strong negative contagion effect (20% over normal) from the EU to US markets. Finally, we found that during the period 2010 to mid-2012, corresponding to the height of the EU debt crisis, a slow moving safe haven effect can be seen superimposed on the short run normal and contagion movement between the EU and the US stock markets. However, this slow moving safe haven effect combined with fast moving contagion effect cannot be easily incorporated into a single model.
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