国际股票市场间相关系数与宏观经济波动

InternationalStockCorrelationsandMacroFluctuations国际股票市场间相关系数与宏观经济波动YijieCaiJinheCenterforEconomicResearchXi’anJiaoTongUniversity,ChinaRayYeutienChou∗InstituteofEconomics,AcademiaSinicaandNationalChiao-TungUniversityDanLiJinheCenterforEconomicResearchXi’anJiaoTongUniversity,China联系方式：1、周雨田研究员，研究领域：数量经济学，金融市场，时间序列分析联系地址：台北市南港研究院路二段128号中研院经济所。邮编：11528Email:[e-mail]，联系电话：886-2-278227912、蔡义杰在读博士生，研究领域：数量经济学联系地址：西安交通大学金禾经济研究中心。邮编：710049Email:[e-mail]，联系电话：135725366843、李丹在读博士生，研究领域：数量经济学联系地址：西安交通大学金禾经济研究中心。邮编：710049Email:[e-mail]，联系电话：[phone]∗Correspondingauthor.Contactaddress:InstituteofEconomics,AcademiaSinica,#128,Yen-Jio-YuanRoad,Sec2,Nankang,Taipei,Taiwan.Telephone:[phone]ext321,fax:[phone],email:[e-mail].1AbstractInthispaper,realandfinanciallinkageistobeinvestigated.Wefocusonsixtypicalstockmarketsaftertimezoneeffecttakenintoconsideration.WeselectmonthlyannualCPIrateastransitionvariableinSmoothTransitionConditionalCorrelationCARR(namedSTCC-CARRforshort)modeltoscrutinizeinterdependenceamonginternationalstockmarkets.Asitistestified,correlationsamongthemarefluctuantwithdifferentinflationcyclesandcouldnotbeignoredarbitrarily.Thehighestcorrelationscomeoutbetweencountrieswhenbothareincontractionaryphase,whilethelowestcorrelationsdowhenbothareinexpansionaryphase.Keywords:EconomicFundamentals,InternationalStockMarkets,CPIRates,SmoothTransition,CARR.摘要本文深入调查了国际金融市场间相关性与实际面的联系。我们选择了6个典型的国际股票市场为研究对象，并考虑了时区效应的影响，同时选取月度年CPI变化率做为转移变量，利用平滑转移条件相关系数CARR模型（简称为STCC-CARR）仔细研究了国际股票市场间的相依性。通过本文的证明，我们发现两市场的条件相关系数将随着两市场的通货膨胀周期而波动且这种影响不能被忽视。当两个国家同时处于通货紧缩期时，两市场具有最高的相关性；而当两国同时处于通货膨胀期时，市场间具有最低的相关性。关键字：经济基础，国际股票市场，CPI，平滑转换，CARR21.IntroductionFinancialandtraditionaltradelinkagesaretwotypicalapproachestodispersecontagionacrosscountries.Withtheintegrationandglobalizationoffinancialmarkets,internationalstockmarketscorrelationshavebeenpaidmoreattentionto.Awealthofqualitativeliteratureshavebeendevotedtotheintriguingconnectionbetweenfinancialmarketsandeconomicfundamentals,andprovidesufficientevidencesthatco-movementofbusiness-cyclefluctuationsdoimpactoncorrelationsofinternationalfinancialmarketsmoreorless.However,thecontroversyhasneverstopped.Debatesonwhetherinternationalfinancialcorrelationsaresignificantlyaffectedbyeconomicfundamentals,suchasbusinesscycleindicatorsandsoon,cameforthintheearly1990s,andhaven’treachedaconsistentagreementyet.Erbetal.(1994)findthatcorrelationsbetweentwoequitymarketsarevaryingaccordingtobothcountries’economiccycles，whostandsthepositivepointthateconomicfundamentalsaffectremarkablyonstockmarketcorrelations.TakingG-7countriesforinstance,analysisshowsthatthehighestcorrelationsappearwhenbothcountriesstandincontractionaryphaseandthelowestcorrelationsdowhenbothcountriesareinexpansionaryphase.Correlationsarevaryingbetweenthesetwoextremestateswhentheyareoutofphases.Longinetal.(1995)drawaconclusionthatthereisagreatandincreasingcorrelationbetweeninternationalstockmarketsinperiodsofhighervolatility1.Internationalintegrationtightensthefinanciallinkage1LonginandSolnik(2001)findthatcorrelationwouldincreaseinbearmarkets,butnotinbullmarkets.Theypointoutthatcorrelationisnotrelatedtomarketvolatilitybutmarkettrend.3progressively.Thecorrelationscouldbepredictedtoclimbinperiodsoflowdividendyieldandhighinterestrates,andthiswasattributedtotheevidencethateconomicvariablessuchasthedividendyieldandinterestratescontaintheinformationaboutfuturevolatilityandcorrelationthatisnotincludedinpastreturnsalone2.Ragunathanetal.(1999)researchonwhetherandtowhatextentbusinesscyclesimpactoncorrelationsandintegrationbymakingasurveyoftheAustralianandAmericanmarketsdata.TheysuggestthatcorrelationsbetweenthesetwomarketswouldbethehighestwhenUSAwasinacontractionaryphase,andalsopointoutthatthemarketsaremorelikelytobesegmentedandintegratedincontractionaryandexpansionaryphaseofbusinesscyclesrespectively.Dumasetal.(2003)highlightthestatisticalevidencethatoutputcorrelationsandstockmarketscorrelationsarepositivelyrelated.Forbesetal.(2004)showushowimportanttherealandfinanciallinkagesbetweentwocountriesare.Theyconsiderthatdirecttradeseemstobethepredominantmovementoftheworld’slargestmarketsthataffectfinancialmarkets,andtheyalsohaveobservedthatUSAplayadominantroleagainstJapanandUK.Onthecontrary,thereareliteraturesstandingwithnegativeviewpoints.Kingetal.(1994)suggestthatco-variancesbetweeninternationalstockmarketsaredifficulttobeinterpretedbytheobservableeconomicvariables,reverselycanbechangedbythevariablesunobservable.AmmerandMei(1996)discoverthatco-variancesbetweeninternationalstockmarketsareinfluencedbycontemporaneousco-movementinmacroeconomicvariables.Buttheythinkitcanbeneglected,becausethereal2Althoughtheeffectisnotobvious,itisprovedstatisticallytobesignificantinthatpaper.4linkagesaremuchstrongerfromalong-runthanashort-runperspective.Kizysetal.(2006)supportAmmerandMeiandshowthatthelinkagebetweenmonthlyconditionalinternationalequitycorrelationsandco-movementofbusiness-cyclefluctuationsisnotsignifica