| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 107 === The study selects two sets of data for the stock index and ETF to discuss and compare the connectedness of stock market returns in Group of Six. Using the spillover index of Diebold and Yilmaz (2009) and the frequency domain of Krehlik and Barunik (2017) to measure the short, medium and long-term connectedness of the six stock indices and ETF's rate of return in Japan, Germany, France, the United States, the UK and Canada. The rolling win- dow estimation is used to analyze the dynamic of spillover effects between stock markets.
From this study, we can understand the occurrence of financial events, and the total spillover effect of the stock market rate of return in the six countries has increased significantly. 2008’s financial crisis was highly connected in the medium and long term. During the study period, the total spillover effect of the stock index's rate of return of the six countries was as high as 68%, and the total spillover effect of the six countries' ETF's rate of return was as high as 76%, reflecting the high connectedness and mutual influence of the stock market returns of the six countries. And the three major European stock markets affect other stock markets larger. Whether in the stock index or in the ETF, short, medium and long-term shows that Japan is received by spillover effect, and European stock markets have positive spillover effect on other countries. But the difference is that the ETF affects each other less than the stock index, and the interaction between the national stock markets during the financial events is not obvious, and the connectedness is not too high.
According to the empirical results of this study, the Japanese stock market has a large volatility in the index, but on the ETF side, Germany has a large volatility. Before investing in these two countries, it is recommended to carefully evaluate the investment risk. The Japanese stock market has the least impact on the other five countries, and stock markets in other countries have a smaller impact on Japan, difference is not big. The U.S. stock market affected the Japanese stock market larger. The principle of laggard or leaders can be used. If Japanese stock price falls less than the United States, the Japanese stock market will have a very large room for leaders, which has arbitrage and speculative opportunities.
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