新型冠狀病毒肺炎疫情是否影響國際股市之連結？

A Study on whether the Covid-19 Epidemic Affected the International Stock Markets Linkage

世界衛生組織於2020年1月31日宣布新冠病毒疫情為「國際公衛緊急事件」，各國股市開始近兩個月的下跌及波動震盪，直到當年3月底股市才回穩，各國也紛紛採取許多隔離的措施以阻止疫情蔓延。隨著疫苗逐漸開發與施打，到了2021年6月中旬起許多國家才開始解封，因此本研究定義2020年2月1日至2021年6月30日為疫情期間，並探討新型冠狀病毒肺炎疫情是否影響國際股市之連結。依VAR模型殘差報酬相關係數分析以及預測誤差變異數分解二項研究方法的結果均顯示疫情期間股市間的連結以及相互影響程度都比疫情發生之前下跌，因此，本研究推論國際股市間的連結程度降低是因疫情期間各國採取種種隔離措施造成經濟及貿易活動趨緩所致。相關文獻中類似的研究主題仍不多見，因此本研究可補足文獻之不足。

The World Health Organization declared the new coronavirus outbreak as an “international public health emergency” on January 31, 2020, and the stock markets of various countries began to decline and fluctuate for nearly two months until the end of March of that year, when the stock markets stabilized and countries took many isolation measures to stop the spread of the outbreak. Therefore, this study defines the period from February 1, 2020 to June 30, 2021 as the epidemic period and examines whether the novel coronavirus pneumonia epidemic affected international stock markets linkage. The results of both correlation coefficient analysis of the residual returns of VAR model and forecast error variance decomposition both indicate that the degree of linkage and interaction between stock markets decreased during the epidemic period compared to the pre-epidemic period. Therefore, this study concludes that the decrease in the degree of linkage between international stock markets was due to the slowdown in economic and trade activities caused by various isolation measures taken by countries during the epidemic period. This study complements the literature as similar research themes are still not available in the literature.