美國、中國、印度、巴西、俄羅斯五地股市指數關聯性之研究─以美國量化寛鬆貨幣政策實施前後期為例

• Main Authors: Yi-sung Cheng, 鄭義崧
• Other Authors: 張傳章
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/31405507286828472751

碩士 === 國立中央大學 === 財務金融學系碩士在職專班 === 99 === The purpose of this research is to examine the relation of global stock market returns, including S&P500 Index, SSE Composite Index, Sensex Index , Brazil Index, and RTS Index. The data was from 2007/3/1 to 2010/3/31 , and it was divided into two periods by 2008/11/24 , which is the execution date of U.S. Quantitative Easing Monetary Policy. We use the daily stock closing-price to calculate daily stock return from five major stock markets. The method to carry out this study was using VAR, Engle & Granger Cointegration test, and Granger Causality test to examine the correlation change of five markets return before and after executing Quantitative Easing Monetary Policy. This research found that U.S. and Brazil have important impaction to the whole world before and after executing Quantitative Easing Monetary Policy, but China is getting more important after QE. After the Financial Tsunami, each country’s economy has different suffer, we should ascertain it by each country’s economic condition. Now U.S. is losing its leading position in the world, and BRICs are rising.Compare to U.S. , BRICs not only have monetary policy, but also have fiscal policy support. For example, China stimulated economy through a 4 million policy in 2008. Besides, the relation among BRICs is not significant before QE, but a significant effect is rising after QE.