全球金融危機是否促進國際股市之聯結？以美國與五主要亞洲股市為例

Would Global Financial Crisis Facilitate Stock Returns Interdependence among International Stock Markets? The Case of the U.S. and Five Major Asian Stock Markets

本研究主要探討2008年全球金融危機對國際股市關聯性之影響。此外，本研究亦討論在危機期間，各國經濟衰退而中國經濟持續高度成長，是否使中國與其貿易夥伴的股市關聯產生變化。本研究採共整合檢定、因果關係檢定及衝擊反應函數等分析方式進行研究。研究發現全球金融危機期間各股市的關聯性普遍提升，但僅為暫時的提升。部份股市其關聯性之提升可歸因於市場蔓延效果所致。然而，中國與其貿易夥伴股市關聯性之提升或可歸因為此期間其經濟聯結增強或雙邊貿易提升等基本面因素，因在金融危機期間，歐美各國經濟衰退而中國經濟卻仍持續成長並維持對貿易夥伴的進口需求，可能因此使其對貿易夥伴股市的影響力大幅提升。另外，本研究發現中國於2006年之後對國際股市開始產生影響力，此為文獻中較新的發現。

The aims of the paper are two-fold. Firstly, we investigate the impact of the 2008 global financial crisis on the stock returns interdependence of international stock markets. Secondly, we investigate whether the stock returns interdependence has strengthened between China and its major trading partners during the crisis period as China's economy continued to grow while the economy of most other countries declined significantly during this period. Analyses including cointegration test, Granger causality testandimpulse response function are conducted. We find that stock returns interdependence of international stock markets temporarily rose during the crisis period but declined after the crisis. The temporary increase of stock returns interdependence among several international stock markets can be attributed to market contagion effect. However, the strengthening of the stock returns interdependence between China and its trading partners can be attributed to fundamental economic factors such as stronger economic ties or increase in bilateral trade between China and its trading partners during the period, as China still maintained high economic growth and high import demand for its trading partners while the economy in the U.S. and European countries significantly declined. In addition, we find that Chinesestock markets began to be able to influence international stock markets after 2006, which is new to the literature.