The Influence of Financial Crisis on Asia Stock Market

[[abstract]]本研究運用單根檢定、向量自我迴歸模型、Granger因果關係、衝擊反應分析、預測誤差變異數分解，以檢驗金融危機時對台灣加權指數、日經225指數、香港恆生指數、韓國綜合指數、NASDAQ指數及中國深圳指數的影響。以2007年1月至2011年6月金融危機發生期間進行研究，探討金融危機時，對亞洲股市間的長短期互動之關聯性。研究中發現美國、台灣和鄰近亞洲國家股市間確實有短期互動關係，但不存在長期均衡關係，且美國在國際股市中具有領先指標性。由實證結果顯示，各變數透過單根檢定，皆為一恆定之時間序列；在SBC準則下最適落後期數為2期。美國在金融風暴後受外來衝擊程度最大，股市之訊息傳導效率最快，其中中國較為獨立之市場，而亞洲股市間在金融風暴前無領先落後之因果關係，在風暴後發現中國深圳股市單向領先台、港、韓股市之因果關係。美國股市之變異對台灣和亞洲股市之變異有較高解釋能力，顯示美股變動對台灣和亞洲股市之變動有一定程度的影響；亞洲股市中，台灣對香港及韓國股市具有解釋能力，而中國深圳較不受其他國家股市影響。[[abstract]]To examine the influence of financial crisis on Taiwan Stock Exchange Weighted Index NIKKEI 225 Index Hong Kong Hang Seng Index Korea stock Exchange KOSPI Index NASDAQ Composite Index and Shenzhen Stock Exchange Composite Index the study uses Unit Root Test Vector AutoRegressive model(VAR) Granger Causality Test Impulse Response Analysis and Forecast Error Variance Decomposition The research explores both the short and long run relationship among Asia stock market from January 2007 to June 2011 The study proves that there is indeed a short run relationship between the stock market of America Taiwan and other nearby Asian countries However the long run relationship does not exist and America has a leading position in international stock market The result shows that through Unit Root Test variables are consistent time series and that the lag length is the second one based on Schwartz Bayesian Information Criterion The financial crisis had the strongest impulse on the US and its stock market has the fastest transmission efficiency Because China is a more independent market and that there is no lead-lag causality between Asia stock market before financial crisis the study finds that Shenzhen stock market leads Taiwan Hong Kong and Korea ones after the crisis The variety of America stock market has a higher explanatory capability on Taiwan and Asia stock market and it shows that the change of America stock has an effect on Taiwan and Asia stock to certain extent In Asia stock market Taiwan stock market has an explanatory capability on Hong Kong and Korea stock market and Shenzhen stock does not tend to be affected by other