地震對亞太地區股票市場所引起的蔓延效應之研究

Contagion Effects of Earthquake on the Asian Pacific Stock Markets

所有的天然災害中，地震災害可能是對人類的生命財產與經濟發展的傷害最為嚴重。若某一國家（地區）發生強烈地震，可能會造成該國（地區）金融市場的震盪，此時是否也會對其他國家（地區）造成蔓延效應呢？本文針對過去的10年中，發生在亞太地區造成經濟損失較嚴重的三個大地震作為研究樣本，且利用異質偏誤的相關係數方法與EGARCH模型來進行檢測。其實證結果發現：發生在1995年的日本阪神大地震對部分亞太鄰近國家的股票市場所造成的蔓延效應較為明顯。此結果顯示：經濟能力愈強的國家，若發生天然災害（地震）對其他國際間股票市場（以新興國家為主）所造成的外溢效果會愈明顯。台灣位於東亞高危險地震帶，故此一研究主題對我國金融市場尤具意義。

In all natural disasters, the earthquake probably caused the most serious damage to human life, property, and economy. When a disastrous earthquake occurs in one country (or a region), it will cause a big shock on the financial market of the country (or region), and may also cause the contagion effects on other countries (regions). The purpose of this study is to investigate three disastrous earthquakes that had caused huge damage to the economy of countries in Asian Pacific region during the past decade. This study uses the heteroscedasticity biases based on correlation coefficients and EGARCH model to examine the contagion effects of natural disasters on the financial markets of neighborhood countries. The study finds that contagion effect is more significant in the stock market of the Asian Pacific neighboring countries after the Osaka-Kobe, Japan earthquake on 1995. The result implies that country with stronger economic capacity might cause the spillover effect to other international markets (particularly emerging markets) more significantly when natural disaster (earthquake) occurs. Since Taiwan is located at the highly dangerous earthquake-belt, this study has a profound implication to our financial markets.