Mean and Volatility Spillover Effects in the G7 and BRICs Stock Markets

本研究應用Chelley-Steeley and Steeley(1996) 的ARMA(1,1)-GARCH(1,1)in mean(以下簡稱ARMA(1,1)-GARCH(1,1)-M) 模型來檢驗美國與加拿大、義大利、英國、法國、德國、日本股市與巴西、俄羅斯、印度及中國(四者合稱金磚四國)之間，是否存在報酬外溢效果以及波動性外溢效果，並且探討國際股市間之關連性。實證結果發現：第一、國際股市間確實存在市場互相感染的現象，不論金融海嘯的前後，各國股價指數報酬率皆存在著從美國引起的報酬外溢效果，而且G7及金磚四國股市不僅皆具有自我波動性外溢效果，在金融海嘯前也受到美國前一期衝擊的波動性外溢效果。第二、在重大的金融危機事件後，大多數國家的股市報酬單獨被國內金融市場所解釋的程度大為減少，而且對衝擊的影響具有更強烈的持續性。第三、無論環球金融危機的前後，除了巴西之外，其他六大工業國家較容易受美國股市的連動性影響，而代表新興國家市場的其餘金磚三國則較不受其影響。This paper investigates the mean return and volatility spillover effects from the U.S. to Canada, Italy, England, France, Germany, Japan and the BRICs by using ARMA(1,1)-GARCH(1,1)-M model of Chelley-Steeley and Steeley(1996), furthermore, we explore the conditional correlations between them. The empirical results from examining the data for the period of 1992 to 2010 suggests that international market contagion exactly plays an important role in the transmission mechanism, and the U.S. market is influential in transmitting returns and volatilities to the G7 and the BRICs countries. Moreover, we found that the spillover effect of Brazil after financial crisis is the greatest, and the G7 countries are more inclined to be affected by the U.S. than Russia, India, and China