A DCC analysis of correlation between stock prices and exchange rates: the role of China on the emerging markets

[[abstract]]本論文旨在探討中國和新興市場之間的股價，以及匯率之間的報酬與動態相關性。主要研究方法是採用GARCH的基本模型來分析股票，以及外匯市場間的動態關聯性和動態相關結構。此外，加入股價報酬、外匯報酬以及市值報酬的影響，藉以探究中國，以及指定樣本國家的股票和外匯市場的整合程度。同時，也探究中國的股價和匯率對於新興國家的匯率與股價之影響。研究採用的指定樣本國家包含中國、印度、馬來西亞、菲律賓、新加坡、南韓、台灣、泰國和越南，並且將這些國家分成三類，即亞洲已開發國家、亞洲四小龍，以及亞洲新興市場。研究結果顯示，並不能清楚的支持Phylaktis和Ravazzolo (2005)對於股票與匯率之間呈現正向關係的?法，而樣本國家的股票市場，有被中國的股票市場整合的現象發生；而中國的匯率，對於亞洲已開發國家和亞洲四小龍的匯率有整合的現象發生。然而，中國的股票市值，則對於本身的股票市場也具有影響力。[[abstract]]The objective of this study is to examine the correlation between stock price and exchange rate of China and emerging countries in terms of return and dynamic correlation. The analysis is carried out through basic GARCH (1,1) model allowing for dynamic conditional correlation and dynamic covariance structure. In addition, the impact of stock price returns, exchange rate returns and market capitalizations are considered to explore the integration between China and selected nine countries. The selected nine countries are separated by three categories, which are Asian developed countries, Asian Dragons and Asian emerging countries. We also examine the impact of stock prices for exchange rates and exchange rates for stock prices. The empirical results cannot surely support Phylaktis and Ravazzolo (2005) suggests that stock and exchange rate markets are positively correlation, but stock market of China has integration on stock market of all sample countries, which are separated by Asian developed countries, Asian dragons and Asian emerging countries. In addition, exchange rate of China has integration on exchange rate market of Asian developed countries and Asian Dragons. In addition, the top ten stock of China only has effect on own countries, and it have no effect on other countries.[[note]]碩