本研究探討2013年中國政府提出的「一帶一路」倡議對於參與國與中國股市之間共動性。以21個參與一帶一路國家為分析目標，選擇利用Engle（2002）提出的動態條件相關係數模型（DCC），因DCC模型允許多變量之間的相關係數為動態的關係，更符合真實國際金融市場的狀況來衡量參與國與中國的共動性。國際金融市場日趨一體化，國際股市之間存在國際溢出效應，在不同的國際傳播機制下，共動性的影響程度也會受到各國經濟發展程度與匯率而有所不同。由本研究的實證結果證實一帶一路政策的實施確實會提升大部分參與國與中國股市的共動性，共動性的影響幅度會因為自由貿易協定的開放、各國經濟的發展程度而有所不同，其中發現韓國與新加坡與中國自由貿易協定連結程度高，因此與中國股市共動性較高，也發現經濟發展程度較低的國家，與中國股市共動性則較低。

This study explores the “One Belt One Road” initiative proposed by the Chinese government in 2013 for the co-movements of stock market between participating countries and China. We focus on 21 participating countries and use the dynamic condition correlation model (DCC) that allows the presence of dynamic correlation coefficient. Therefore, it is good fit for the real international financial market to measure the stock co-movements. Moreover, the international financial market is becoming more integrated. Under different international communication mechanisms, there is an international spillover effect between international stock markets. The influence will be different depending on the degree of economic development and the exchange rate regime. According to the empirical results, we find that the “One Belt One Road” initiative policy increase the co-movements between the most participating countries and China. The degree of the influence will be different due to the opening of the free trade agreement and the degree of economic development. We find that South Korea and Singapore have higher co-movements because they have higher degree of free trade linkage with China. We also find that countries with lower economic development have lower co-movements with China's stock market.

論文審定書... i

摘要... ii

Abstract iii

目錄... iv

圖次... vi

表次... vii

第一章 緒論... 1

第一節 研究動機... 1

第二節 研究架構... 5

第二章 文獻回顧... 6

第一節 經濟政策對國際股市的影響... 6

第二節 一帶一路... 9

第三節 共動性... 11

第三章 研究方法與模型建立... 14

第一節 分析國家與樣本來源... 14

第二節 動態條件相關係數模型(Dynamic Conditional Correlation) 15

第四章 實證結果... 21

第一節 敘述性統計與ARCH效應檢定... 22

第二節 結構性檢定... 26

第三節 股市共動性分析... 28

第五章 結論與貢獻... 34

第一節 結論... 34

第二節 研究貢獻... 35

第三節 未來研究方向... 35

參考文獻... 36

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陳鳳琴(2012)，台灣股匯市與美國連動性之再探討，中華管理評論國際學報，15(2)

盧正陽(2017)，2017年中國大陸經濟及金融情勢，行政院大陸委員會委託研究

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