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Title: 台股指數現貨及期貨與台美匯率之動態關聯性再探討
Revisiting the Dynamic Linkage in Taiwan Stock Index, Taiwan Stock Index Futures and NTD/USD Exchange Rate
Authors: 張峰瑞
Feng-Jui Chang
Contributors: 金融與風險管理系碩士班
王子維
Keywords: 單根檢定、共整合檢定、誤差修正模型、Granger因果關係檢定、 一般化衝擊反應、台股指數現貨、台股指數期貨、台美匯率、那斯達克股價指數、布蘭特原油價格指數
unit-root test, cointegration test, vector error correction model , Granger causality test , impulse response function, Taiwan stock index, Taiwan stock index futures, NTD/USD exchange rate, NASDAQ, Brent oil price.
Date: 2012
Issue Date: 2012-12-11 15:38:33 (UTC+8)
Publisher: 高雄市:[樹德科技大學金融與風險管理系碩士班]
Abstract: 本研究以Rahbek and Mosconi(1998)共整合檢定、Granger(1969) 因果關係檢定及Pesaran and Shin(1998)一般化衝擊反應函數來探討在那斯達克股價指數及布蘭特原油價格指數等外生變數存在下,台股指數現貨及期貨與台美匯率之動態關聯性。樣本為自2004年07月至2008年06月之月資料,實證結果顯示:經共整合檢定後我們發現:台股指數現貨、台股指數期貨及台美匯率間存在一條共整合關係,即具有長期均衡關係。其次,經Granger因果關係檢定後我們發現:台灣加權股價指數、台股指數期貨及台美匯率三者間均無短期因果關係。最後,經一般化衝擊反應分析後我們發現:,所有衝擊的屬性均屬永久性,且半衰期約1個月。
This research uses the statistical methods proposed by Rahbek and Mosconi(1998), Granger(1969), and Pesaran and Shin(1998) to investigate the dynamic linkage between Taiwan Stock Index, Taiwan Stock Index Futures and NTD/USD rate under the influence of exogenous variables such as NASDAQ Composite Index and Brent oil price. The sample period is from July, 2004 to June, 2008. The conclusions are as follows: First, there is a long-term equilibrium relationship between these three endogenous variables. Second, from Granger Causality test we find that these three endogenous variables do not Granger cause each other. Finally, from the generalized impulse response analysis we show that all the impacts of these three endogenous variables on each other are all permanent, and the half lives are all about one month.
Appears in Collections:[金融與風險管理系(所)] 博碩士論文

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