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Please use this identifier to cite or link to this item: http://ir.lib.stu.edu.tw:80/ir/handle/310903100/2532

Title: 中國、美國股市及台灣股、匯市 之動態關聯性研究
An Empirical Study on the Dynamic Linkage between Taiwan Stock and Foreign Exchange Markets under the influence of China and U.S. Stock Markets.
Authors: 陳明輝
Ming- Huei Chen
Contributors: 金融與風險管理系碩士班
王子維(Tzu-Wei Wang)
Keywords: 匯率;股價;誤差修正模型;共整合;Granger因果關係;一般化衝擊反應
foreign exchange rate;stock price;error correction model;cointegration;Granger causality relationship;generalized impulse response.
Date: 2011
Issue Date: 2011-12-01 13:25:55 (UTC+8)
Publisher: 高雄市:[樹德科技大學金融與風險管理系碩士班]
Abstract: 本研究主要探討在考慮外生變數如:美國與中國股市等存在之影響下,台灣股票及外匯市場間之動態關聯性。有別於過去文獻如:張貴欣(2006)等,以Johansen(1988)提出之共整合檢定來進行分析,在考慮有外生變數如:美國道瓊工業指數、中國上海綜合指數等存在之影響下,以Rahbek and Mosconi (1998)所提出之共整合檢定來檢視台灣股票及外匯市場間之長期均衡關係;此外,本研究進一步以Granger(1988)提出之因果檢定來檢視兩者間之短期因果關係;最後,再以Pesaran and Shin(1998)提出之一般化衝擊反應函數來檢視當其中之一市場價格產生衝擊時,對另一市場價格之影響效果。

實證結果顯示,台灣股票及外匯市場間存在一長期均衡關係。此外,就整體而言,台灣加權股價指數對各內生變數衝擊反應大多為負向,而人民幣對台幣匯率對各內生變數之衝擊反應大多為正向,只有對台灣加權股價指數為負向,且美元對台幣匯率對各內生變數之衝擊反應大多為正向,只有對台灣加權股價指數為負向,最後;衝擊反應大致上在第8至第13個月之後衝擊效果才慢慢趨近平緩,表示各內生變數衝擊影響效果具有相當的持續性。
This research, in contrast to previous literature such as Chang (2006), applies Rahbek and Mosconi (1998)’s cointegration test to investigate if there is a long-run equilibrium relationship between Taiwan stock and foreign exchange markets (NT dollar/U.S. dollar and NT dollar/RMB) in considering the influence of some important exogenous variables, such as U.S. and China stock markets. In addition to this, we also apply the Granger (1969)’s causality test to understand the short-run dynamic relationship between them statistically. Finally, we apply Pesaran and Shin (1998)’s generalized impulse response function to analyze the impact of the shock
from one of he market on another one.

Our empirical result shows that there is a cointegrating relationship between the market prices. Morever, there is also a causality relationship between them both in the long run and short run. At last, in view of the generalized response functions, Taiwan stock market index has a negative influence on both of the above foreign exchange rates. However, NT dollar/RMB dollar has a positive influence on the NT dollar/U.S. dollar , but negative for Taiwan stock market index. Finally, NT dollar/U.S. dollar has a positive influence on NT dollar/RMB, but negative for Taiwan stock market index. Most of the impacts decay to their long-run levels after 8 to 13 months. It seems that
the influence is persistent.
Appears in Collections:[金融與風險管理系(所)] 博碩士論文

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