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    Title: 歐債危機發生之歐債五國與金磚五國股市間個別連動性之比較分析
    Other Titles: Comparison of the dynamic relationship between PIIGS and individual BRICS stock market during European debt crisis
    Authors: 紀婷云;Chi, Ting-Yun
    Contributors: 淡江大學財務金融學系碩士班
    聶建中;Neih, Chien-Chung
    Keywords: 歐債危機;金磚五國;非對稱門檻共整合;門檻誤差修正模型;BRICs;PIIGS;Threshold Error-Correction Model
    Date: 2013
    Issue Date: 2014-01-23 13:31:43 (UTC+8)
    Abstract: 本研究以金磚五國各國的股價指數及歐債五國各國的股價指數,總共十國的資料為研究標的。使用2009年12月1日至2012年11月30日之日資料,共計590筆資料,並應用非線性模型架構,研究歐債五國之股價指數分別與金磚五國之股價指數的長短期因果關係。
    在研究方法上,採用Kapetanios et al.(2003)提出的KSS單根檢定法來測試資料是否為非線性的定態關係,接著,利用Enders and Granger(1998)的自我迴歸模型(TAR)及動差門檻自我迴歸模型(M-TAR)來進行門檻共整合的檢定,之後再利用Enders and Granger(1998)及Enders and Skilos(2001)的門檻誤差修正模型(TECM),來捕捉歐債五國與金磚五國之非對稱因果關係;如資料為對稱模型時,則利用Enders and Granger(1998)傳統對稱誤差修正模型(ECM)分析實證結果。
    本文實證結果發現,在非線性KSS與線性單根檢定下,金磚五國與歐債五國的股價指數均屬於I(1)的時間數列。在門檻共整合模型檢定中,巴西、印度、中國、南非的門檻共整合檢定之最適模型皆為M-TART模型;其中,俄羅斯則為TART模型。依該模型檢定結果發現,除了俄羅斯為對稱門檻共整合關係外,其餘四國皆為不對稱門檻共整合關係。
    在門檻誤差修正模型為基礎下,討論短期因果關係發現,俄羅斯、印度、及中國對歐債五國存在單向互動關係。在長期關係中,巴西、南非對歐債五國在門檻值之下,具有領先-落後的因果關係;俄羅斯對歐債五國具有領先-落後的因果關係;印度及中國在門檻值之上及之下,對歐債五國具領先-落後的因果關係。歐債五國對巴西、俄羅斯與中國在門檻值之上及之下,具有領先-落後的因果關係;歐債五國對印度,在門檻值之上,具有領先-落後的因果關係,對南非則在門檻值之下,具有領先-落後的因果關係。
    This paper empirically investigates the asymmetric causal relationship between PIIGS and BRICS respectively using stock prices of PIIGS and BRICS from December 2009 to November 2012. Our study employs threshold error-correction(TECM) studied by Enders and Siklos(2001).
    The empirical results suggest that for the appropriate model specifications, the applicable model for adjustment for the long-run equilibrium between the stock prices of PIIGS and BRICS are M-TART for the countries of Brazil, India, China, and South Africa when comparing it to the PIIGS. For Russia, TART is used instead to compare the stock prices of the PIIGS.
    In addition, an asymmetric threshold cointgration relationship exists between the countries of Brazil, India, China, South Africa, and the PIIGS. This paper also finds that no short-run causal relationship exists between South Africa to PIIGS. However, in the long run there is a causal relationship between the BRICS and the PIIGS. This long-run causal relationship exists from PIIGS to Brazil, India, and South Africa.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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