臺灣博碩士論文加值系統

諸多研究均證實金融市場間是具有市場聯結，並認同市場連結在資產定價模型中具有一重要地位。前人的研究多著重於各國股市、匯市與國際資本市場關聯性之探討；依據財金理論股票期貨之行為模式將會衝擊其股票現貨市場，然而，卻少有文獻將股票期貨整合於金融市場聯結中。因而，本文主要目的是探討各國股票市場、外匯市場、國際股市與股票期貨間是否存在市場聯結。本文以多變量GARCH模型，分析1998年至2001年亞洲四個準工業化國家-台灣、新加坡、香港、南韓之股票市場、外匯市場、國際股市場與股票期貨市場間的傳遞關係與市場相關性。
本文之實證結果支持在探討市場聯結時應納入股票期貨於模型中，並可獲得以下之結論：
1.在四個國家中，四個金融市場-股票、期貨、外匯與美股間具有長期的均衡關係，在探討市場間的動態關聯時，應納入市場間的長期均衡關係。
2.在四個準工業化國家中，只有台灣國內三個金融市場－股票市場、期貨市場和即期匯率，彼此間存在雙向的外溢效果。
3.美股對樣本國家中的股市與期貨市場皆有正向的外溢效果，可知美股不僅會影響國際的資本市場，對於期貨市場也有相當程度的外溢性。
4.香港與新加坡之即期匯率不受任何金融市場的影響，最具獨立性。
5.各國的股市、匯市、期貨市場與美國股市報酬均呈現波動叢聚的現象。
6.四個亞洲準工業化國家之股市與期貨市場的條件共變異數均具有隨著時間變動而變動的特性，投資者可藉由股市與股票期貨的條件共變異數，隨時調整投資組合，以進行避險策略。
7.實證結果顯示，各市場間之的條件共變異數並非固定不變的，投資者應留意市場間之相關性大小，隨時調整投資組合，以達避險或套利之目的。
8.多變量GARCH模式較適用於台灣與新加坡地區。

Numerous studies had have documented the existence of market linkages in the internal financial markets and provided evidence to support the importance of such existence to the asset pricing. Previous studies mainly focused on the linkages among domestic stock market, foreign exchange market, and international stock market. Finance theory claims that future markets have price discovery functions of underlying spot financial assets hence the movements of stock index future tend to have explanatory power on the spot stock market performance (Abhyankar,1995、Antoniou and Homes,1995、Iihara, Kato and Tokunaga,1996). However, no empirical evidence is provided to verify the significance of the linkage between the stock index future and other financial markets. The objective of this study is to investigate the existence of market linkages between the domestic spot stock index, foreign exchange rate, international stock index, and domestic stock index futures. To address such this issue, a modified multivariate GARCH model had has been utilized to examine the linkage in each of the four major semi-industrial countries, including Taiwan, Singapore, Hong Kong, and South Korea for the period from 1998 to 2001.
The empirical results of this study provide useful evidence to support the importance of incorporating stock index future as an element of market linkage:
1.Among the four countries under investigation, there is a long-term relationship in the four financial markets-stock, stock index future, foreign exchange, and S&P500 index.
2.There is a bi-directional spillover effect between the return of the three financial markets- stock market, stock future, and spot exchange rate in Taiwan.
3.S&P500 index has a positive correlation effect to both the domestic stock and the stock index future of each sample country.
4.The foreign exchange market of both Hong Kong and Singapore is independent from the other financial markets.
5.GARCH effects are significant in all of the observed markets including the stock market, stock future, foreign exchange market, and S&P500 index of each sample country.
6.The conditional covariance between the stock market and stock future have the time-varying character. Investors can adjust their asset portfolios according to conditional covariance to diversify the risks.
7.The conditional covariance of the financial markets is not invariable. Investors should look to the relationship of each market and adjust their portfolio all the time.
8.Multivariate GARCH model is more suitable for Taiwan and Singapore.

第一章 緒論………………………………………………………………1
第一節 研究動機與目的……..…………………………………………1
第二節 研究限制…………………………………………………………3
第三節 研究內容……..………………………………..……..………3

第二章 文獻探討…………………………………………………………4
第一節 外匯市場與股票市場之相關性……………………….……….4
第二節 股票市場與期貨市場之相關性……………..…….…..…..13
第三節 國際資本市場之相關性………………………….…..…..…22

第三章 研究方法……………………………..………….……………30
第一節 資料來源………………………………....……..………….30
第二節 模型之介紹………………………………..………..……….32
第三節 檢定方法…………………………………….……….……….41
.
第四章 實證結果……………….………………..……………………46
第一節 資料的基本分析…………..……….……...…………….…46
第二節 單根檢定…………………..….……….…..…………….…49
第三節 向量自我迴歸模……….………….…….…………………..51
第四節 共整合檢定……....……….…………………………………66
第五節 向量誤差修正模型…..……………..……………………….67
第六節 異質變異數檢定…..…………………..…………………….73
第七節 多變量GARCH模型…….…………………..………………….75

第五章 結論與建議…………...………………………………………90
第一節 結論……………………...………………………………..…90
第二節 研究建議…………………….………………………………..92

附錄……………………………………….……………………………..93
參考文獻…………………………………….…………………………..97

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