Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/125861
|
| Title: | 金融危機與俄羅斯股市發展
Financial Crises and the Development of Russian Stock Market |
| Authors: | 黎宜凌
Lee, Yi-Ling |
| Contributors: | 林永芳
黎宜凌
Lee, Yi-Ling |
| Keywords: | 俄羅斯股市
金融危機
私有化過程
共整合檢定 |
| Date: | 2019 |
| Issue Date: | 2019-09-05 17:18:57 (UTC+8) |
| Abstract: | 本論文之目的在於探討俄國股市及金融危機前後之影響，並對俄羅斯股市作出質化及量化兩種研究。質化方面採取文獻檢閱法，而量化方面則針對RTS指數來做出統計上的推論。據此，本論文分為五章，除緒論與結論之外，其餘三章分別為俄國股市建立的過程，以及兩次金融風暴對俄國股市所產生之長期改變，可提供對俄國股市的全盤了解。
根據研究發現，由於俄國先前為共產主義國家，在俄國政府將國營企業私有化過程之中，充滿了許多弊病，其中最明顯的便是金融寡頭的誕生，並使裙帶資本主義高漲。雖然私有化過程為人詬病的地方甚多，但其也促使莫斯科股票交易所成立。另外，不同時期的俄國股市皆對於國際原油價格以及國內生產總值的敏感度有重大改變。對於這些時間序列資料，本論文乃是透過向量自回歸模型、單根檢定、以及Johansen共整合關係檢定來得出各因素之相關關係式，並進而對於該時期的俄國政府之政策做出評論。
The purpose of this study is to explore the Russian stock market and the impact on the market before and after the financial crisis broke out, and carry out research on the Russian stock market using two types of research, namely, the qualitative and the quantitative research. For the qualitative part, the literature review method was employed; for the quantitative part, the RTS index was targeted for statistical inferences. As a result, this paper is divided into five chapters. Other than the Introduction and Conclusion, the other three chapters include: the establishment process of the Russian stock market and the long-term changes in the Russian stock market as a result of the two financial crises, which shall provide insights into the Russian stock market.
According to the research findings, since Russia was previously a communist country, the process of privatizing state-owned enterprises by the Russian government involved many abuses, most obvious of which was the birth of a financial oligarchy and the rise of crony capitalism. Despite the numerous criticisms of the privatization process, the privatization prompted the establishment of the Moscow Exchange. In addition, the Russian stock market in different periods had significantly changed the sensitivities of international crude oil prices and its GDP. By using the time series data, this study adopted Vector Autoregression Model (VAR), the unit root test, and Johansen tests for cointegration to obtain the relational equations of the factors, and drew the conclusions on the policies of the Russian government at the time. |
| Reference: | 一、中文
(一) 官方資料
經濟部國際貿易局統計資料 https://www.trade.gov.tw/
(二) 專書
洪美蘭。經濟均衡發展策略：歐洲轉型國家之案例與啟示。瀚蘆出版社。2008年。
(三) 論文期刊
王瑋楠。金融危機對俄羅斯的影響及對策研究。邊疆經濟與文化。2016年。頁132-133。
曲文軼。俄羅斯的企業改制及其微觀經濟績效。外國經濟與管理。2001年。頁31-36。
江振華。俄羅斯”休克療法”述評。經濟特區。2000年。頁50-51。
吳學良、孫智麗、洪德生、李清松。「我國公營事業民營化前後績效變化之研究」。台灣經濟研究院 生物科技產業研究中心。2003。頁8。
汪耿。「國際直接投資與間接投資相融合研究」。現代商業。2011。頁199。
范敬春、宋景義。俄羅斯股票市場分析。中共濟南市委黨校。濟南市行政學院。濟南市社會主義學院學報。2003年。頁39-43。
郝珈瑩。2008年金融危機對俄羅斯股票市場發展的影響分析。東方企業文化。財會金融。2013年。頁214-215。
梁德沁。風險與機遇並存－論經濟危機中的俄羅斯。國際經濟。2009年。頁49-51。
習秀華。「國際金融危機影響下的俄羅斯有價證券市場。」東北亞論壇。2009。頁113。
陶海東。反思2008年國際油價上漲時對俄羅斯的負面影響。生產力研究。2009年。頁109-111。
劉軍梅。應對金融危機：從比較中看俄羅斯經濟的轉型與發展。東北亞論壇。2010年。頁58-67。
龐大鵬。普京時期美國對俄羅斯國內政策的影響和干預。俄羅斯研究。2006年。頁30-36。
(四) 學位論文
羅任媛。「新興市場國家金融危機成因之研究—以俄羅斯為案例」。國立政治大學 俄羅斯研究所。2001。頁115-118。
(五) 網路資料
陳旭昇。「時間序列分析 總體經濟與財務金融之應用 向量自我回歸模型概論。」國立台灣大學經濟學系。2013。頁4。
楊基源。貿易俱樂部。2017年。http://www.eximclub.com.tw/countries/information-02c.asp?idno=2808&continen=3&country=%ABX%C3%B9%B4%B5
新浪財經網。2008年。http://finance.sina.com.cn/economist/cankaoxiaoxi/20081014/12585388354.shtml
關鍵評論網。「經濟學人「靠關係才能賺錢」指數：台灣超越中國、排名全球前10」。2016年5月10日。
中華人民共和國商務部。2010。https://countryreport.mofcom.gov.cn/record/view110209.asp?news_id=18820
中華人民共和國商務部。2011。https://countryreport.mofcom.gov.cn/record/view110209.asp?news_id=23178
俄羅斯衛星通訊社。「標準普爾上調俄一系列大型國企評級。」。2018年2月28日。 http://big5.sputniknews.cn/economics/201802281024806311/
俄羅斯衛星通訊社。「惠譽確定俄羅斯評級為BBB-級。」2019年2月16日。http://big5.sputniknews.cn/economics/201902161027679148/
二、英文：
(一) 論文期刊
Alexeev, Michael,” The effect of privatization on wealth distribution in Russia.” Economics of Transition,Vol.7(2),1999, pp.454-455
Alexei Goriaev,Alexei Zabotkin.” Risks of investing in the Russian stock market: Lessons of the first decade” Centre for Economic and Financial Research at New Economic School.2006.p4.
Allen, F. ; Gale, D.”The Asian crisis and the process of financial contagion.” Journal of Financial Regulation and Compliance.1999.pp243-249.
Annika Alexius,Daniel Spång.” Stock prices and GDP in the long run.”Journal of Applied Finance&Banking.2018.pp107-125.
Basdevant, Olivier ; Hall, Stephen G.”The 1998 Russian crisis: could the exchange rate volatility have predicted it?”Journal of Policy Modeling.2002.pp1-2.
Basdevant, Olivier.” An econometric model of the Russian Federation.” Economic Modelling.2000.pp.313-336.
Buck, Trevor ; Filatotchev, Igor ; Wright, Mike ; Frausum, Yves Van,” The Process and Impact of Privatization in Russia and Ukraine.” Comparative Economic Studies,1996 pp.57-59.
Bush, Jason.”A Happy Birthday for Russian Stocks; Ten years after the creation of the RTS index, the stock market is booming -- and its notorious volatility may be smoothing out.(Russian Trading System).” Business Week Online.2005.
Chor Foon,Tang。The Linkage Between Stock Price and Economic Growth in Australia: A Chicken-and-Egg Paradox?。Economic Research-Ekonomska Istraživanja。2013。pp.99-116。
Cohen, J. “Statistical power analysis for the behavioral sciences.”1988
Donlon, J. P.” Reflection on Russia.” Chief Executive.1997.p6.
Fama, Eugene F.” Stock returns, real activity, inflation, and money.” American Economic Review.1981.pp545-565
Fang, Wenshwo。The effects of currency depreciation on stock returns: evidence from five East Asian economies。Applied Economics Letters。2002。pp.195-199。
Granger, C. W. J. ; Newbold, P.” Spurious regressions in econometrics.” Journal of Econometrics.1974.pp111-120.
Granville, Brigitte ; Mallick, Sushanta.” Does inflation or currency depreciation drive monetary policy in Russia?” Research in International Business and Finance.2006.pp164-166.
John S. McClenahen.” U.S. leads, Japan trails. (foreign investment in Russia by nation).” Industry Week.1997.p58.
Kenneth S. Chan and Vinh QT Dang.”The 1997 Asian Currency Crisis, Financial Linkages, and the Monetary Policy of Japan.” Review of International Economics.2012.pp1-3.
Lee, Peter” Sitting out the Russian winter. (Russia`s stock market)(includes related articles).” Euromoney.1996.pp50-53.
Narisa Laplamwanit.” A Good Look at the Thai Financial Crisis in 1997-98”1999.pp1-2.
Peitsch, Barbara.” Foreign investment in Russia.” OECD Observer,1995,pp32-33.
Radelet, Steven ; Sachs, Jeffrey.” Asia`s reemergence.” Foreign Affairs.1997.pp44-45.
Radygin, A.” The Redistribution of Property Rights in Post-Privatization Russia.” Problems of Economic Transition.2000.pp6-9.
Robinson, Neil.” So what changed? The 1998 financial crisis and Russia`s economic and political development.” Demokratizatsiya:The Journal of Post-Soviet Democratization.2007.pp248-250.
Schneider, Richard C. JR.“Privatization in One Country: Foreign Investment and the Russian Privatization Dynamic.” Hastings International and Comparative Law Review,1994,pp738-740.
Sharma，Shalendra D.” Not an exceptional country: russia and the global financial crisis of 2008 – 2009.” Mediterranean Quarterly.2011.pp31-40.
Steve R. Smirnoff,” Privatization in Russia.” Business Forum. Winter/Spring94, Vol. 19 Issue 1,1994,p36
Yarrow, George K,“Privatization in theory and practice.” Economic policy : a European forum. Vol.1. 1986. pp.327-328.
(二) 網路資料
2007次級房貸危機時間表
“2007 Financial Crisis Explanation, Causes, and Timeline.” Thebalance.2019.<https://www.thebalance.com/2007-financial-crisis-overview-3306138>
2008金融海嘯時間表
“2008 Financial Crisis Timeline.” Thebalance.2019.<https://www.thebalance.com/2008-financial-crisis-timeline-3305540>
北海布倫特原油歷史資料https://www.indexmundi.com/commodities/?commodity=crude-oil-brent&months=300
https://www.investing.com/commodities/brent-oil-historical-data
世界銀行http://www.worldbank.org/
盧布兌美元匯率網站
https://freecurrencyrates.com/zh-hans/exchange-rate-history/USD-RUB/1992/cbr
https://cn.investing.com/currencies/usd-rub-historical-data
(三) 新聞
Ambrose Evans- Pritchard. “Europe Helpless as Financial Crisis Spreads Across Atlantic.” International Herald Tribune.2008.
Stevenson, Richard W.” Foreign capitalists brush risks aside to invest in Russia.” The New York Times.1994.
“Existing Home Sales “Slipped” 23.4%” 25 Feb 2008.The Big Picture.<https://ritholtz.com/2008/02/existing-home-sales-slipped-234/>
“Foreclosure Rates Climb More Slowly.”26 Feb 2008. Daily Real Estate News.<https://www.nar.realtor/rmodaily.nsf/pages/News2008022602>
“Historic Bailout Passes As Economy Slips Further.”The Wall Street Journal.4 Oct 2008.<https://www.wsj.com/articles/SB122304922742602533>
“Text of Draft Proposal for Bailout Plan.”the New York Times.20 Sep 2008.<https://www.nytimes.com/2008/09/21/business/21draftcnd.html?_r=1&ref=business&oref=slogin>
“Washington Mutual and How It Went Bankrupt.” Thebalance.2018.<https://www.thebalance.com/washington-mutual-how-wamu-went-bankrupt-3305620>
<http://money.cnn.com/news/newsfeeds/articles/djf500/200809150751DOWJONESDJONLINE000296_FORTUNE5.htm>
三、俄文：
(一) 官方資料：
莫斯科交易所統計資料 https://www.moex.com/en/
莫斯科交易所RTSI統計 https://www.moex.com/ru/index/RTSI
俄羅斯聯邦國家統計局人口統計資料 http://www.gks.ru/wps/wcm/connect/rosstat_main/rosstat/ru/statistics/population/
俄羅斯聯邦國家統計局GDP統計資料
http://www.gks.ru/wps/wcm/connect/rosstat_main/rosstat/ru/statistics/accounts/# |
| Description: | 碩士
國立政治大學
俄羅斯研究所
105263008 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105263008 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU201901148 |
| Appears in Collections: | [俄羅斯研究所] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| 300801.pdf | 2434Kb | Adobe PDF2 | 0 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
