請用此 Handle URI 來引用此文件: http://hdl.handle.net/11455/23634
標題: The Impacts of EMU on Major European Stock Markets: Evidences from VAR Models with Multiple Structural Changes
歐洲貨幣聯盟對股票市場整合的影響─以多結構性轉變點的VAR模型為實證方法
作者: 蔡惠朱
Tsai, Hui-Chu
關鍵字: European Economic and Monetary Union (EMU)
歐洲貨幣聯盟
market integration
stock return dynamics
multiple structural changes
市場整合
股票報酬率動態關係
多結構性轉變點
出版社: 財務金融系所
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摘要: This thesis investigates the impacts of the establishment of European Economic and Monetary Union (EMU) on the market integration between eight European major stock markets and the US during the period 1993-2008. To investigate the impact on short-term dynamic relationships, the implements of generalized impulse response functions and generalized forecast error variance decompositions are based on the bivariate vector autoregressive (VAR) model. In addition, cointegration tests are used to investigate a long-term equilibrium relationship. Furthermore, the procedures of Qu and Perron (2007) are applied in this thesis to study possible structural changes in the dynamic relationships between European stock market index and the US. According to the estimated endogenous break dates, we could know whether European stock markets advance/postpone to adopt the EMU. The empirical results show that the degree of integration in returns has increased between each individual European major stock markets and the US after the establishment of the EMU. In other words, regional integration has resulted in an increased interrelationship between European major stock market and the US. The empirical results also show that Germany and Italy have an endogenous break date in March, 1997, which means Germany and Italy advance to adopt the EMU. In addition, all European stock markets have an endogenous break date in January 1, 2008 except Finland, which is contributed to the subprime crisis. In the meaning time, the interrelationships between European stock markets and the US is higher during the subprime crisis. In other words, regional integration cannot protect European stock markets from contagion effects.
本論文探討歐洲貨幣聯盟的成立對8個歐洲主要股票市場與美國股票市場之間整合性的影響。樣本研究期間為1993年1月1日至2008年12月31日,共37,566筆日資料。實證分析以向量自我迴歸模型為基礎,透過一般化衝擊反應分析以及一般化預測誤差變異分解的結果來比較歐洲貨幣聯盟成立前後股票市場間短期動態關係的變化;為判別是以Vector Autoregressive (VAR)或Vector Error-Correction (VECM)為實證模型,本論文運用共整合檢定判別個別歐洲主要股價與美國股價之間是否存在著長期均衡關係。本論文更進一步透過Qu and Perron (2007) 之方法檢測向量自我迴歸模型中是否存在著內生的多結構性轉變點,並進一步探討所估計的結構改變時點與歐洲貨幣聯盟成立時點之相關性,透過此方法可了解歐洲股票市場是否有提前或延後適應歐洲貨幣聯盟成立之現象。 實證結果顯示,於歐洲貨幣聯盟成立後,歐洲主要股票市場與美國股票市場更趨整合,亦即,區域整合導致股票市場間的相互關聯性增加。本研究亦發現歐洲股票市場中,僅德國和義大利股票市場於1997年3月有一個結構性改變時點,顯示德國與義大利有提前適應歐洲貨幣聯盟成立之現象。此外,除了芬蘭之外,所有歐洲股票市場均有一個相同的結構性改變時點於2008年1月。由於此結構性改變時點與次級房貸風暴發生期間相近且實證結果顯示歐洲股票市場與美國股票市場的相互關聯性於次級房貸風暴期間較次級房貸風暴前高,表示區域整合依舊無法避免歐洲股票市場免於受到蔓延效果的影響。
URI: http://hdl.handle.net/11455/23634
其他識別: U0005-2507200912252300
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2507200912252300
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