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研究生:游慧雯
研究生(外文):Huei-Wen You
論文名稱:台灣股匯市與美國及日本股市之關聯性研究
論文名稱(外文):A Study of the Relationship between the Stock and the Foreign Exchange Markets in Taiwan and the Stock Markets in the U.S. and Japan
指導教授:康信鴻康信鴻引用關係
指導教授(外文):Hsin-Hong Kang
學位類別:碩士
校院名稱:國立成功大學
系所名稱:企業管理學系碩博士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:中文
論文頁數:72
中文關鍵詞:股市匯市誤差修正模型Granger Causality共整合
外文關鍵詞:CointegrationForeign Exchange MarketStock MarketError Correction ModelGranger Causality
相關次數:
  • 被引用被引用:26
  • 點閱點閱:1516
  • 評分評分:
  • 下載下載:165
  • 收藏至我的研究室書目清單書目收藏:3
  本研究主要在探討與台灣貿易額總量最大的兩個國家,美國以及日本的股票市場,是否會對小型開放經濟且大量依賴進出口貿易額的台灣金融市場之股票市場以及外匯市場具有關聯性的影響。

  本研究的實證期間為2001年1月4日至2004年12月30日的日資料,資料來源由台灣證券交易所以及中國國際商業銀行所擷取並整理,整理後共計899筆日資料。所使用的研究方法包括單根檢定、共整合檢定、Granger Causality test 以及誤差修正模型。

  實證結果顯示,台灣加權股價指數領先新台幣兌美元匯率,且其短期的變動方向為正向;新台幣兌日圓匯率領先台灣加權股價指數,且其短期的變動方向為負向;史坦普500指數領先台灣加權股價指數,且其短期的變動方向為正向;日經225指數領先台灣加權股價指數,且其短期的變動方向為正向;史坦普500指數領先新台幣兌美元匯率,且其短期的變動方向為負向;新台幣兌日圓匯率領先日經225指數,且其短期的變動方向為負向;史坦普500指數領先日經225指數,且其短期的變動方向為正向。
 The purpose of this study is to investigate whether the American and Japanese stock markets, Taiwan’s two largest trading partners, demonstrate a relational influence on the Taiwanese stock and foreign exchange market. This topic is especially important to Taiwan as Taiwan is a small open economy that depends heavily on import and export.

 This study employs the unit root test, a test for cointegration and an Error Correction Model (ECM) to analyze the empirical daily data from January 1, 2001 to December 30, 2004. Data was collected from the Taiwan Stock Exchange Corporation and the International Commercial Bank of China. Data was then rearranged to include a total of 899 pieces of data.

 The main empirical results are as follows: TAIEX increase leads to NTD/USD exchange rate increase, which shows a positive relationship in the short-run. NTD/YEN exchange rate increase leads to TAIEX decrease, which shows a negative relationship in the short-run. S&P 500 index increase leads to TAIEX increase, which shows a positive relationship in the short-run. NIKKEI 225 index increase leads to TAIEX increase, which shows a positive relationship in the short-run. S&P 500 index increase leads to NTD/USD exchange rate decreases, which shows a negative relationship in the short-run. NTD/YEN exchange rate increase leads to NIKKEI 225 index decrease, which shows a negative relationship in the short-run. S&P 500 index increase leads to NIKKEI 225 index increase, which shows a positive relationship in the short-run.
第一章 緒論...................................1
第一節 研究動機...........................1
第二節 研究目的...........................2
第三節 研究架構...........................3
第二章 相關理論基礎與文獻探討.................5
第一節 理論基礎...........................5
第二節 文獻回顧...........................6
第二節 文獻探討與研究方向................16
第三章 實證研究方法與模式....................22
第一節 實證變數與資料來源................22
第二節 研究架構與方法....................26
第四章 實證結果分析..........................37
第一節 單根檢定之實證結果................37
第二節 共整合檢定之實證結果..............39
第三節 Granger Causality test之實證結果..44
第四節 誤差修正模型之實證結果............46
第五節 實證結果與相關文獻之比較..........53
第五章 結論與建議............................57
第一節 研究結論..........................57
第二節 研究建議..........................61
參考文獻.....................................63
附錄.........................................67
中文文獻
1. 方文碩 (2000),「通貨貶值對股市報酬與波動的衝擊:亞洲四小龍實證研究」,亞太管理評論,第五卷第四期,第451-465頁。
2. 王冠閔、黃柏農 (2004),「臺灣股、匯市與美國股市關聯性探討」,臺灣經濟預測與政策,第三十四卷第二期,第31-72頁。
3. 高志宏 (2003),「台灣、日本、南韓股匯市與美國股市相關性之實證研究-GARCH-in-Mean模式之應用」,私立東吳大學經濟學系碩士論文。
4. 康信鴻 (2003),國際金融理論與實際,增訂三版,三民書局。
5. 康信鴻、曾林鈴 (2004),「匯率對股價的影響--以臺灣、香港、大陸B股市場為例」,臺灣銀行季刊,第五十五卷第二期,第212-236頁。
6. 楊踐為、賴怡洵 (1998),「美、日、香港與台灣四地股價指數連動關係之探討」,台灣土地金融季刊,第三十五卷第二期(No.136),第1-15頁。
7. 劉祥熹、張英信 (2000),「東亞主要國家股價與匯率關聯性之研究」,證券金融,第六十七期,第1-33頁。

英文文獻
1. Ajayi, R.A., Friedman, J. and Mehdian S.M. (1998), “On the relationship between stock returns and exchange rates: Tests of granger causality”, Global Finance Journal, Volume 9, Issue 2, pp.241-251.
2. Ajayi, R.A. and Mougoue, M. (1996), “On the dynamic relation between stock price and exchange rates”, Journal of Financial Research, Volume 19, Issue 2, pp.193-207.
3. Akaike, H. (1969), “Fitting autoregressive models for prediction,” Annals of the Institute of Statistical Mathematics, Volume 21, pp.243-247.
4. Chen, J., Naylor, M. and Lu, X. (2004), “Some insights into the foreign exchange pricing puzzle: Evidence from a small open economy”, Pacific-Basin Finance Journal, Volume 12, Issue 1, pp.41-64.
5. Devereux, M.B. and Lane, P.R. (2003), “Understanding bilateral exchange rate volatility”, Journal of International Economics, Volume 60, Issue 1, pp.109-132.
6. Dickey, D. A. and Fuller, W. A. (1979), “Distribution of the estimators for autoregressive time series with a Unit Root”, Journal of the American Statistical Association, Volume 74, pp.427-431.
7. Engle, R, F, and Granger, C. W. J. (1987), “Cointegration and error correction: representation, estimation and testing”, Econometrica, Volume 55, pp.251-276.
8. Engle, R.F. and Yoo, B. (1987), “Forecasting and testing in Co-integrated system”, Journal of Econometrics, Volume 35, Issue 1, pp.143-159.
9. Granger, C. W. J. (1988), “Some recent development in a concept of causality”, Journal of Econometrics, Volume 39, Issues 1-2, pp.199-211.
10. Granger, C. W. J. and P. Newbold (1974), “Spurious regressions in econometrics”, Journal of Econometrics, Volume 2, Issue 2, pp.111-120.
11. Gujarati, D. (1999), Essentials of Econometrics, 2nd edition, McGraw-Hill.
12. Hamao, Y., Masulis R.W. and Ng V. (1990), “Correlation in price changes and volatility across international stock markets”, The Review of Financial Studies, Volume 3, pp.281-307.
13. Kim, K.H. (2003), “Dollar exchange rate and stock price: Evidence from multivariate cointegration and error correction model”, Review of Financial Economics, Volume 12, Issue 3, pp.301-313.
14. Ma, C.K. and Kao, G.W. (1990), “On exchange rate changes and stock price reactions”, Journal of Business Finance & Accounting, Volume 17, Issues 3, pp.441-449.
15. MacKinnon, J. G. (1991), Critical Values for Cointegration Tests, Chapter 13: IN Long-run Economic Relationships: Readings in Cointegration, edited by Engle, R.F. and Granger, W.J., Oxford University Press.
16. Maddala, G.S. (2001), Introduction to Econometrics, 3rd edition, John Wiley & sons, LTD.
17. Masih, R. and Masih, A.M.M., (2001), “Long and short term dynamic causal transmission amongst international stock markets,” Journal of International Money and Finance, Volume 20, Issue 4, pp.563-587.
18. Morley, B. (2002), “Exchange rates and stock prices: implications for European convergence”, Journal of Policy Modeling, Volume 24, Issue 5, pp.523-526.
19. Nieh, C.C. and Lee, C.F. (2001), “Dynamic relationship between stock prices and exchange rates for G-7 countries”, The Quarterly Review of Economics and Finance, Volume 41, Issue 4, pp.477-490.
20. Pippenger, J. (2003), “Modeling foreign exchange intervention: stock versus stock adjustment”, Journal of International Financial Markets, Institutions and Money, Volume 13, Issue 2, pp.137-156.
21. Shamsuddin, A.F.M. and Kim, J.H. (2003), “Integration and interdependence of stock and foreign exchange markets: an Australian perspective”, Journal of International Financial Markets, Institutions and Money, Volume 13, Issue 3, pp.237-254.
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