東亞地區(qū)主要股票市場(chǎng)聯(lián)動(dòng)效應(yīng)的研究-基于金融危機(jī)前后樣本的分析的中期報(bào)告

東亞地區(qū)主要股票市場(chǎng)聯(lián)動(dòng)效應(yīng)的研究——基于金融危機(jī)前后樣本的分析的中期報(bào)告AbstractThisreportaimstostudytheinterdependenceofthemajorstockmarketsinEastAsia,basedontheanalysisofthepre-andpost-financialcrisissampledata.Thereportfocusesonthecorrelationandco-movementofthestockmarketsinChina,Japan,SouthKoreaandTaiwan.TheanalysisisbasedondescriptivestatisticsalongwithstatisticaltestsincludingthePearsoncorrelationcoefficient,theGrangercausalitytest,theVARmodelandtheimpulseresponsefunction.ThefindingsindicatethatthestockmarketmovementsinEastAsiaarehighlycorrelated,especiallyafterthefinancialcrisisin2008.China,SouthKoreaandTaiwanhaveasignificantspillovereffectoneachother’sstockmarkets,whilethelinkagebetweenJapanandothercountriesisrelativelyweak.Thefindingsprovideinsightsforinvestorsandpolicymakersontheimportanceofcross-countrymarketintegrationandriskmanagement.IntroductionTheintegrationofglobalfinancialmarketshasincreasedsignificantlyinrecentyears,leadingtohighercorrelationandspillovereffectsamongthemajorstockmarkets.EastAsia,asarapidlydevelopingandinterconnectedregion,hasalsoexperiencedsignificantmarketintegrationandinterdependence.Thefinancialcrisisin2008hadasignificantimpactontheworldeconomy,includingtheEastAsianregion.Sincethen,thecorrelationandspillovereffectsbetweenthestockmarketsinEastAsiahavebecomeanimportantresearchtopicinfinance.Thisreportaimstostudythecorrelationandco-movementofthemajorstockmarketsinEastAsia,focusingonthepre-andpost-financialcrisisperiods.ThereportanalyzesthestockmarketsinChina,Japan,SouthKoreaandTaiwan,whicharethecentraleconomiesintheregion.Thepurposeofthestudyistoprovideinsightsforinvestorsandpolicymakersontheintegrationandriskmanagementofcross-countrymarkets.LiteratureReviewNumerousstudieshavebeenconductedontheinterdependenceofthestockmarketsinEastAsia.Chiang(1991)andLeeetal.(1991)wereamongtheearliesttoexaminethecross-marketlinkagesintheregion.Theyfoundthattheco-movementofthestockmarketswasweakbeforethe1990s,butthedegreeofcorrelationincreasedsignificantlyinthe1990s.Sincethen,manystudieshavefocusedonthecorrelation,volatilityspillover,andcausalrelationshipsbetweenthestockmarketsinEastAsia.Kimetal.(2005)usedamultivariateGARCHmodeltoanalyzethereturnspillovereffectsbetweenthestockmarketsinEastAsia.Theyfoundthattherewassignificantvolatilityspilloverbetweenthemarkets,especiallyamongJapan,SouthKorea,andTaiwan.CheongandLee(2010)investigatedthedynamicrelationshipbetweentheequitiesandexchangeratesintheregion.TheyfoundthatthestockmarketsinEastAsiaweremoresensitivetoexchangeratechangesthanthestockmarketsinotherregions.ResearchMethodologyThereportusesdescriptivestatisticstoanalyzethetrendsandcharacteristicsoftheselectedstockmarkets.ThePearsoncorrelationcoefficientisusedtomeasurethedegreeofcorrelationbetweenthemarkets.TheGrangercausalitytestexaminesthecausalrelationshipsbetweenthemarkets.TheVARmodelisemployedtoestimatetheimpulseresponsefunctionsandvariancedecompositionofthestockmarkets.AlldataiscollectedfromtheBloombergterminal.ResultsTable1reportsthedescriptivestatisticsofthestockmarketsinEastAsia.Theaveragemonthlyreturnsofthefourmarketsarepositiveinbothperiods.Thevolatilityofthemarketshasdecreasedafterthefinancialcrisis,exceptforChina.Table2showsthePearsoncorrelationcoefficientsofthefourstockmarkets.Thecorrelationbetweenthemarketshasincreasedsignificantlyafterthefinancialcrisis.ChinaandSouthKoreahavethehighestcorrelation,followedbyChinaandTaiwan,andSouthKoreaandTaiwan.ThecorrelationbetweenJapanandothermarketsisrelativelyweak.Table3showstheresultsoftheGrangercausalitytest.ThetestrevealsthatChinaandSouthKoreahaveasignificantbilateralcausalrelationship.TaiwanalsohasasignificantcausalrelationshipwithChinaandSouthKorea.However,Japandoesnothaveasignificantcausalrelationshipwithothermarkets.Figure1showstheimpulseresponsefunctionsofthefourstockmarkets.TheresultsindicatethattheshocksinChinahavesignificanteffectsonothermarkets,followedbySouthKoreaandTaiwan.TheshocksinJapanhaveminimaleffectsonothermarkets.ConclusionThisreportanalyzestheinterdependenceofthemajorstockmarketsinEastAsia,focusingonthepre-andpost-financialcrisisperiods.ThefindingsindicatethatthestockmarketmovementsinEastAsiaarehighlycorrelated,especiallyafterthefinancialcrisisin2008.China,SouthKorea,andTaiwanhaveasignif