文獻上普遍認為美國股市是國際股市中最具影響力的市場，美股可視為全球因子，其不僅會影響以開發股市，同時也會影響到開發中股市。本論文將實證探討亞洲四小龍股市報酬率(即香港、南韓、新加坡與台灣)與美股報酬率之間的關係。為了能更準確地估計美股報酬能影響開發中股市報酬，本論文假定美股報酬率會影響開發中股市報酬率；反之，卻不盡然。換言之，我們假定美股於其國內交易並不會受到四個開發中股市任何其中一個的影響；然而，後者之報酬率除了受到其自身動態因素影響外，亦會受到美股報酬率的影響。本論文是以三篇獨立的文章所構成；其中，第一篇文章是利用Zha (1996), Cushman 和 Zha (1997)與 Zha (1999)的區塊外生VAR模型以估計開發中股市報酬率於美股衝擊下的動態衝擊反應，結果發現美股報酬率的確會影響亞洲四小龍股市報酬率。第二篇文章使用Rapach 和Wohar (2005a, 2006a)的方法，結果也發現美股報酬率對個別開發中市場股市報酬率具有樣本內與樣本外的預測能力。最後一篇文章則是利用Bai和Perron (1998, 2003a, 2003b, 2004)的計量方法，結果指出個別開發中股市報酬率之預測迴歸模型至少存在一次結構改變而由此變化可看出美股報酬率對開發中股市影響力之強弱與其市場開放的程度有關。

In the literature, it is a common belief that the U.S. stock market is the single most influential market in the world. The U.S. stock market is a global factor, affecting both developed and emerging markets. This dissertation empirically investigates the interactions between equity markets of the Asian four little dragons (Hong Kong, Korea, Singapore, and Taiwan) and the U.S. equity market. In order to assess correctly the effect of the U.S. stock return rates on emerging equity markets, we incorporate the assumption that returns on the U.S. stock market affect the stock returns on emerging markets but not vice versa. In other words, it is assumed that the U.S. stock exchange performance is not affected by one of the four Asian equity market; however, the latter is affected by both its own dynamics and the U.S. stock exchange. This dissertation consists of three essays. In order to estimate the dynamic impulse responses of the emerging markets’ return rates to random shocks in the U.S. return rates, the first essay uses block exogenous VAR models which suggested in the papers of Zha (1996), Cushman and Zha (1997), and Zha (1999), and it finds that return rates on the U.S. positively affect stock return rates of the four Asian markets. By using the method of Rapach and Wohar (2005a, 2006a), and the second essay also finds that return rates on the U.S. have in-sample and out-of-sample predictive ability for return rates of the respective emerging market. The last essay follows the econometric methodology of Bai and Perron (1998, 2003a, 2003b, and 2004) and it points out that there exists at least one structural change in the predictive regression model of the respective empirical equity market. The results suggest that an emerging equity market’s sensitivity to shocks from the U.S. return rates is related to its degree of openness.

Contents


Chapter 1 Introduction
1.1 Research review about global stock markets and the U.S. stock markets-------------------------------------------------------------------2
1.2 Is our assumption reasonable?---------------------------------------4
1.3 The framework of this dissertation----------------------------------7
Chapter 2 Estimating the impulse response function: an application of block recursive VAR models
2.1 Introduction--------------------------------------------------------------8
2.2Literature review-------------------------------------------------------10
2.3 A block recursive VAR model---------------------------------------13
2.4 Empirical results-------------------------------------------------------28
2.5 Conclusions------------------------------------------------------------31
Chapter 3 Do the U.S. stock returns have predictive ability to the Asian emerging equity markets?
3.1 Introduction------------------------------------------------------------38
3.2 Econometric method--------------------------------------------------41
3.3 Empirical results-------------------------------------------------------46
3.4 Conclusions------------------------------------------------------------47
Chapter 4 Structural change and predictability of emerging stock return basing on the U.S. stock returns
4.1 Introduction------------------------------------------------------------49
4.2 Structural break model and estimators-----------------------------51
4.3 Empirical results-------------------------------------------------------61
4.4 Conclusions------------------------------------------------------------64
Chapter 5 Conclusions--------------------------------------------------------72
Reference-------------------------------------------------------------------------74

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