臺灣博碩士論文加值系統

論文摘要
許多研究( 如 Eun and Shin (1989) , Brocato (1994) 李敏生 (2000) ) 指出美國股市會影響世界各國之股市，然而這些實證研究幾乎皆由線性關係出發。由於Granger and Terasvirta (1993)、Ocal & Osborn (1997) 與Luukkonen & Terasvita (1991) 等多位學者皆發現大多數的總體經濟變數呈現非線性的走勢；甚至Tiao & Tsay (1991) 亦指出戰後美國經季節調整後之GNP成長率，符合兩階段的門檻自我迴歸(Two-regime threshold autoregressive)的走勢。又股市被視為國民所得的先行指標，且股票市場的實際數據資料常呈現不對稱的現象，因此本文以Tersavirta (1992) 提出之平滑轉換自我迴歸(smooth transition autoregressive；STAR)模型來探討台灣、香港、新加坡、日本與韓國股市股價之行為；因STAR模型具有適合描述存在門檻效果及以平滑方式在不同狀態(regime)間轉換的資料型態特性。
本文的實證結果發現台灣、香港、新加坡、日本與韓國股市皆拒絕線性模型假設，同時發現其較適當模型為LSTAR （logistic smooth transition autoregressive）模型。其中新加坡股市的LSTAR模型不論在殘差、殘差平方、ARCH (4)檢定或是預測績效上，皆比線性模型表現較佳；另一方面，台、港、日及南韓股市之LSTR模型表現並沒有比線性模型來得好，故此六個模型可能需要再用其他非線性的函數來捕捉其特性。

Abstract
Eun & Shin (1989), Brocato (1994), Min-Sheug Li (2000), pointed out that the U.S. stock return has linear effects on Asian stock markets. However, Granger & Terasvirta (1993)、Ocal & Osborn (1997) and Luukkonen & Terasvita (1991) indicated that most macroeconomic variables have non-linear behaviors; for example, Tiao & Tsay(1991) showed that the post-war U.S. GNP can be expressed as a two-regime threshold autoregressive process. Applying with the STAR (smooth transition autoregressive) family of models, this paper tries to investigate the non-linear relationships between U.S. stock return and Asian stock return.
Our empirical results show that the stock return of Taiwan, Hong Kong, Singapore, Japan and Korea all reject the hypotheses of linear models. It also reveals that LSTAR (logistic smooth transition autoregressive) models are more appropriate than ESTAR (exponential smooth transition autoregressive) models to capture the characteristics of our data. Comparing with the diagnostic tests and forecast performances among LSTAR, linear and random walk models, LSTAR has the best performance for the stock return of Singapore. But we don’t have strong evidence to support the non-linear models for the stock return of Taiwan, Hong Kong, Japan and Korea.

第一章、序論…………………………………………………………………….1
第一節、研究動機與目的…………………………………………………1
第二節、研究架構…………………………………………………………3
第二章、相關理論與文獻探討………………………………………………….4
第三章、研究方法……………………………………………………………….8
第一節、單根及共積檢定………………………………………………..10
第二節、線性模型之建構………………………………………………..15
第三節、非線性模型之建構……………………………………………..17
第四章、實證結果………………………………………………………………23
第一節、單根及共積檢定………………………………………………...23
第二節、線性測試及STAR模型挑選……………………………………26
第三節、STAR模型之診斷與預測……………………………………….31
第五章、結論與建議……………………………………………………………41
附錄一、模型估計………………………………………………………………44
附錄二、台、港、星、日及南韓股市之線性模型……………………………45
參考文獻…………………………………………………………………………47

參考文獻
(一)中文部分
李敏生，「NASDAQ股市對於台灣股市報酬率與波動性的影響」，國立交通大學經營管理研究所，民國88年六月。
杜元隆，「國際股票市場股價關係之實證研究」，國立台灣大學財務金融研究所碩士論文，民國81年6月。
廖佩真，『美、日、英、港、台五國股市報酬率多元時間數列關連性之研究』，台灣大學商學研究所碩士論文，民國81年6月。
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