Thesis (MBA)--Stellenbosch University, 2004 / ENGLISH ABSTRACT: This paper investigates the vulnerability of four key emerging markets to crises originating in Asia in 1997; Russia in 1998; Brazil in 1999 and Argentina in 2001. The emerging markets examined, Argentina, Malaysia, Poland and South Africa have been chosen to represent different geographic continents. Stock market data is used to measure for changes in unconditional correlation coefficients during and after the crisis periods. This is to establish whether the volatility shocks generated by the crises are what would reasonably be expected. Results suggest that there is evidence of contagion during the Asian crisis but there is little support of significant cross-market correlations transmitted during the Russian, Brazilian or Argentinean crises. Granger Causality tests are calculated to identify the existence of a relationship between stock market returns of countries in crisis and each of the four emerging markets. There is no evidence of causality emanating from the Thai stock market during the Asian crisis or from the Argentinean index during the Argentinean.crisis. Findings show that there is Granger causality from the Russian index during the Russian crisis to the Argentinean stock market but there was no impact on the markets in Malaysia, Poland or South Africa. Interestingly, there is no evidence that the Polish stock market returns were affected by the Russian crisis, the Argentinean returns by the Brazilian crisis or the Malaysian market by the Asian crisis. The paper further examines whether there is a relationship between stock market returns and country credit ratings and if credit risk can explain stock market returns. Significantly for active investment management, past values of country credit ratings can help predict stock market returns in Argentina, Malaysia and South Africa. Therefore, country credit risk contains information about expected stock market returns and potential investors would benefit by devising an asset allocation strategy that incorporates the explanatory powers of credit risk. / AFRIKAANSE OPSOMMING: Hierdie verslag ondersoek die kwesbaarheid van vier sleutelontwikkelende markte ten opsigte van krisisse wat onstaan het in Asië in 1997; Rusland in 1998; Brasilië in 1999 en in Argentinië in 2001. Die Argentynse, Maleisiese, Poolse en Suid Afrikaanse markte is gekies om verskillende geografiese kontinente te verteenwoordig. Effektebeurs data is gebruik om die verandering in onkondisionele korrelasie koeffisiente gedurende en na die krisis tydperk te meet. Dit is gedoen om vas te stel of die wisselvalligheid-skokke wat veroorsaak is deur die krisis ooreenstem met wat wesenlik verwag sal word. Resultate dui daarop dat daar getuienis is van besmetting ("contagion") gedurende die Asiatiese krisis, maar dat daar min ondersteuning gebied word vir die oordraging van beduidende kruis-mark korrelasie gedurende die Russiese, Brasiliaanse of Argentynse krisisse. Granger "causality" toetse is uitgevoer om die bestaan van 'n verwantskap tussen die effektemark opbrengste van die lande in krisis en elkeen van die vier opkomende markte te identifiseer. Daar is geen bewyse van enige veroorsakende verband voortgebring vanuit die Thai effektebeurs gedurende die Asiatiese krisis, of van die Argentynse indeks gedurende die Argentynse krisis nie. Die bevindinge toon dat daar Granger veroorsaking is vanaf die Russiese indeks na die Argentynse effektebeurs gedurende die Russiese krisis, maar dat daar geen impak was op die markte in Maleisië, Pole of Suid Afrika nie. Dit is interessant dat daar geen bewyse is dat die Poolse effektebeurs opbrengste beïnvloed is deur die Russiese krisis, die Argentynse opbrengste deur die Braziliaanse krisis, of die Maleisiese mark deur die Asiatiese krisis nie. Die verslag ondersoek verder of daar 'n verwantskap bestaan tussen effektebeurs opbrengste en die land se kredietgraderings asook of krediet-risiko effektebeurs opbrengste kan verduidelik. Betekenisvol vir aktiewe beleggingsbestuur is dat die historiese kredietgraderings kan help met die vooruitskatting van effektebeurs opbrengste in Argentinië, Maleisië en Suid Afrika. Dus bevat land kredietgraderings informasie rakende verwagte effektebeurs opbrengste. Potensiële beleggers sal dus baat vind in die ontwikkeling van 'n bate-allokasie strategie wat die verduidelikende kragte van krediet risiko inkorporeer.

近年來國際金融局勢詭譎多變，金融危機層出不窮，無論外資或有意投入國外股市的投資人都勢必更加小心。本研究乃針對亞太盆地國家的股票報酬率與國家信用水準變動做分析，並依開發中國家與已開發國家之別，嘗試探究其差異。本文的研究方法採用時間序列的模型(干預模型與衝擊反應分析)，檢定亞太盆地國家股票報酬率的時間序列型態，及國家信用變動對股票報酬率及其波動性的影響。實證結果顯示： 1.無論開發中國家或已開發國家，其股票報酬率並不受自身股票報酬率的波動度影響，此結論恰與Baillie and Degennaro(1990)吻合。 2.國家信用水準變動對股票報酬率的影響未落後達一個月之久。 3.國家信用變動對已開發國家的股票報酬率及其波動度不具顯著的解釋力。 4.國家信用改變對開發中國家股票報酬率及其波動度較具解釋力，但影響方向不一致，原因可能是開發中國家的投資障礙較多。 5.衝擊反應分析受限於開發中國家股市資料較少及國家信用分數型態，而未有一致而明顯的結論。 第一章、 緒論••••••••••••••••••••••••1 第一節 研究背景與動機••••••••••••••••••••1 第二節 研究目的•••••••••••••••••••••••4 第三節 研究限制•••••••••••••••••••••••4 第四節 研究內容與研究架構••••••••••••••••••5 第二章、 文獻探討••••••••••••••••••••••7 第一節 股票波動度的相關文獻•••••••••••••••••7 第二節 國家風險的相關文獻••••••••••••••••••8 第三節 干預分析的相關文獻••••••••••••••••••10 第四節 衝擊反應分析的相關文獻••••••••••••••••12 第三章、 資料來源與說明•••••••••••••••••••13 第一節 太平洋盆地國家的股市資料來源與類型••••••••••13 第二節 敘述統計•••••••••••••••••••••••15 第三節 使用Institutional Investor的國家信用評等指標為解釋變數之因•22 第四節 國家信用風險評比決定因子與過程••••••••••••24 第五節 國家風險指標的有效性•••••••••••••••••25 第四章、 實證結果••••••••••••••••••••••26 第一節 理論架構•••••••••••••••••••••••26 第二節 檢驗各國股價報酬的時間序列型態••••••••••••29 第三節 變異數自身相關檢定(ARCH、GARCH檢定)••••••••38 第四節 波動度解釋力檢定•••••••••••••••••••45 第五節 國家信用評等解釋力檢定••••••••••••••••48 第六節 衝擊反應分析•••••••••••••••••••••59 第五章、 結論與後續研究建議•••••••••••••••••74 第一節 結論•••••••••••••••••••••••••74 第二節 後續研究建議•••••••••••••••••••••76 參考文獻•••••••••••••••••••••••••••77 一、 中文部份••••••••••••••••••••••••77 二、 英文部份••••••••••••••••••••••••77 附錄(外國專業投資機構直接投資國內狀況分析表) •••••••••80 / For the recent years, the global financial environment has been changing rapidly, which reminds qualified foreign institutional investors of more caution. This survey focuses on the relationship between stock returns, volatility and country credit rating changes among countries in the Asia-Pacific Basin. This research further divides the 12 sample countries into two categories, developed markets and emerging ones, and finds out the differences between both groups. The empirical methods used here are intervention analysis and impulse response analysis. The empirical results are as follows: 1. The stock return and its volatility do not have statistically significant relation in both developed markets and emerging ones, which coincides with the conclusion by Baillie and Degennaro(1990). 2. The impact of changes in country credit level on stock returns will work within one month; that is to say, changes in country credit level this month will affect stock returns of the current month. 3. Country credit change has no impact on stock returns of the developed markets. 4. Changes in country credit levels of the emerging markets have apparent influence on their stock returns but no identical signs. This may result from the common barriers existed in the emerging markets for foreign investors. 5. The impulse response analysis doesn't have an apparent and agreeable result owing to the constraint of rare data.