臺灣博碩士論文加值系統

近來，區域經濟整合觀念備受矚目，東亞地區國家為促進經濟成長，冀望從國際金融市場中調度基層發展資金，因此引進外人投資於國內，連帶的外匯管制逐漸鬆綁，同時間，因國際投機資金導入自己國家的金融市場，且透過資金的導入而擴大本國金融市場的成長。由於巨額的投機資金隨時在各個國家的市場中轉動著，因此一國發生任何震盪，投機資金自然會想要躲避風險。此次東南亞發生金融危機，國際間資本流動，導致各國匯率之迅速大幅波動，而匯率亦為影響股市之重要因素，因此本研究主要探討在東南亞金融危機發生的同時，東亞主要國家股價間的關聯性，並且將匯率因素納入一起考量。本研究主要探討東亞主要國家之股市及匯市之弱式效率性、股價間長期均衡關係及短期動態調整過程，對於經貿關係非常密切的東亞地區，其是否可將此地區的股市視為一整合市場，提供國內及國際投資者在進行東亞地區投資時，分散風險及投資組合之參考，以及作為政府擬定政策之考量。本研究以單根檢定、共整合檢定及誤差修正模型為計量方法，研究對象包含泰國、印尼、菲律賓、馬來西亞、新加坡、台灣、香港、日本、韓國等九國之股價指數及兌美元匯率，研究期間為1996年3月1日至1998年3月31日，採用資料型態為日資料，共405筆。本研究之實證結果發現：一、 各國股價指數與匯率皆無法拒決單根存在之假說，表原始數列為非恆定數列，亦證實各國股市、匯市均符合弱式效率市場之假說，呈隨機漫步。二、 東亞主要國家股市中存在一組共整合檢定，匯市中存在三組共整合檢定，表示其均存在長期共同趨勢，將無法分散風險，享受國際投資組合分散風險的利益。另一方面，投機者可由一國股價預測其他股價，存在套利機會。三、 國際間股市共整合關係，在加入匯率一起考量時，共移性更明顯，解釋能力變強，險示影響股價除國際因素外，匯率亦為重要考慮因素。四、 國際間股價與匯率一起考量時較單一個國考量時影響顯著，顯示各國因匯率彼此關聯，各國股價不能獨立於區域之外，均受國際因素影響。最後，本研究建議政府相關當局應尊重市場機能，勿以人為之藩籬加以干預，以提升台灣國際資本市場地位。對投資人而言，國際間股價之聯動性為重要考慮因素，另外，應將匯率因素納入一起考率，以獲得較佳之決策資訊。

The concept of regional economic integration is attracted by people''s attention. In order to prompt economic growth, East-Asia Countries look forward to financing capitals from international financial market. Therefore, they drive foreign capital to invest in their country. The constraint of foreign exchange is relaxed and they expect to stimulate their financial market growth. In the same time, international speculative capitals go to domestic financial market. Because large capital is rotating between nations. if one of them has economic fluctuation, speculative bcapital will be hedged. In this South-East Asia Financial Crisis, capital rotating among nations led every foreign exchange market to be fluctuated. This research studies about the stock price index relationship among nations, and incorporate the foreign exchange rate factor to be considered. This study tries to test stock market and foreign exchange market whether they meet weak-formmarkets and detect their long-run equilibrium relationships and short-termadjustment process. Can stock market in East-Asia area be viewed as an integrated market since their internation al trade are frequent? The summary of this study can provide information for international investors when they want to invest in East-Asia area and for government to make financial decision-policy. This thesis employs the unit root cointegration and error correction mo del to examine the stock prices and foreign exchange prices. The main East-Asia countries include Thailand, Philippines, Malaysia, Singapore, Taiwan, Hong-Kong, Japan and Korea. Daily closing price of stock market index and foreign exchange rate were collected as samples from Mar. 1 1996 to Mar. 31 1998. The empirical results can be summarized as follows:1. Each of stock index series and foreign exchange series are non-stationary. This implies each markets satisfy the weak-form efficiency hypothesis.2. There is one cointegration vector in stock markets of East-Asia countries while there are three cointegration vectors in foreign exchange markets. 3. When foreign exchange factor is to be considered, the cointegration among stock markets of East-Asia countries is more significant.4. In addition, stock price and exchange rate are to be considered together, the effe cts of cointegration are more significant in international countries than in only one country