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研究生:陳建福
研究生(外文):Chien-Fu Chen
論文名稱:門檻迴歸模型與追蹤資料共整合方法在財務的應用
論文名稱(外文):Financial Applications Using Threshold Regression Model and Panel Cointegration
指導教授:沈中華沈中華引用關係
指導教授(外文):Chung-Hua Shen
學位類別:博士
校院名稱:國立政治大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:88
中文關鍵詞:門檻向量自我迴歸模型不對稱共整合追蹤資料共整合股票市場購買力平價說
外文關鍵詞:threshold vector autoregressionasymmetric cointegrationpanel cointegrationstock marketspurchasing-power parity
相關次數:
  • 被引用被引用:15
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本論文包括3篇時間序列方法在財務的應用。第一篇以門檻向量自我迴歸模型 (threshold vector autoregression) 分析股市訊息傳遞的不對稱效果;第二篇利用不對稱共整合模型 (asymmetric cointegration) 分析中國大陸股市之間長期均衡關係;第三篇根據追蹤資料共整合檢定(panel cointegration test) 檢定購買力平價說。
第一篇文章利用門檻向量自我迴歸模型分析 Nasdaq 股市對台灣、日本與韓國股市不對稱的訊息傳遞效果。 實證結果發現, 當 Nasdaq 市場處於下跌狀態時 (壞消息狀態), Nasdaq 市場干擾對亞洲股市的衝擊較大, 反之, 當 Nasdaq 市場處於上漲狀態時(好消息狀態)時, Nasdaq 市場干擾對亞洲股市的衝擊較小, 而在壞消息狀態時, Nasdaq 指數大跌對Jasdaq 指數與 Kosdaq 指數的衝擊效果大於 Nasdaq 指數大漲的效果,Nasdaq 指數小跌所產生的衝擊與小漲所產生的效果具有對稱性。
第二篇文章以 Enders and Siklos (2001) 不對稱共整合模型探討,中國大陸上海及深圳 A 股與 B 股股價指數之間長期不對稱的均衡關係,實證結果發現, 在1992年10月至2001年8月,上海 A 股指數與深圳 A 股指數之間具有不對稱共整合關係, 且當上海 A 股處於好消息狀態 (股市上漲) 時,其誤差修正項的調整速度較壞消息狀態 (股市下跌) 之下為快,此外, 上海 A 股指數與深圳 A 股指數之間具有雙向的連動關係。在 B 股開放之後,則是深圳股市 A 股與 B 股指數存在不對稱共整合關係,同時Granger 因果關係檢定顯示深圳 B 股指數領先 A 股指數。
第三篇文章利用 Pedroni (2001) 追蹤資料共整合檢定,探討大麥克漢堡價格與 CPI 兩種不同的價格指數用於檢定購買力平價說的有效性,根據14個國家1992--1999年的追蹤資料得到的實證結果顯示, 以名目匯率作為被解釋變數,則大麥克漢堡價格與 CPI 都是支持 PPP 假說, 然而若以相對價格為被解釋變數,則只有大麥克漢堡價格是支持 PPP 假說, 而以 CPI 為基礎的 PPP 假說則是無法得到支持。除此之外, 本文的實證結論並不受生產力差異的影響。
This dissertation includes three financial applications using time series methods. The first article investigates the asymmetric effects of information transmissions in stock markets using threshold vector autoregression model. The second article uses asymmetric cointegration to study the long-run equilibium relationships among Chinese stock markets. The third article uses panal cointegration to test purchasing-power parity (PPP).
Firstly, we examines the asymmetric effects of information transmissions of Nasdaq stock market on Taiwan, Japan, and Korea stock markets by using a threshold vector autoregressive
model. And also, we check whether Nasdaq stock market have different impacts on organized stock exchanges (including TAIEX, NIKKEI 225 Index, Korea Composite Index) and over-the-counter markets (including Taisdaq Index, Jasdaq Index, and Kosdaq Index) or not. The empirical results indicate that negative innovations in Nasdaq market (bad news regime) have large influence on Asia stock markets. Particularly, the positive innovations in Nasdaq market (good news regime)
have small influence on Asia stock market. The large negative innovations in Nasdaq market have great influence than those of the large positive innovations on Jasdaq Index and Kosdaq Index in bad news regime.
The second article uses Enders and Siklos''s (2001) asymmetric cointegration model to investigate the long-run asymmetric equilibrium relationships. The empirical results find that there exits an asymmetric cointegrated relationship between Shanghai A share index and Shenzhen A share index for the period from October 1992 to August 2001. The adjustment parameters of error correction term at Shanghai A share market are larger in bad-news regime than those in good-news regime.
This result reveals investors at Shanghai possess over-reaction behavior on news of stock market. Moreover, there exists a bi-directional Granger causality between Shanghai A share index and
Shenzhen A share index. We find there exists an asymmetric cointegrated relationship between Shenzhen A share index and Shenzhen B share index after 19 February 2001. Furthermore, the Shenzhen B share index leads Shenzhen A share index after 19 February 2001.
The third article uses Pedroni''s (2001) panel cointegration test to examine the validity of PPP hypothesis by two different price indces, i.e. Big Mac prices and CPI. Our panel observations include 14 countries from 1992 to 1999. The empirical evidence indicates Big Mac PPP and CPI PPP is supposed if we use nominal exchange rate as the explanatory variable. Nevertheless, the Big Mac PPP is valid but CPI PPP not valid if we use price level as the explanatory variable. Moveover, our concludtion does not influenced by productivity bias.
1 緒論 1
2 股市干擾大小及方向對其傳遞效果有影響嗎? 3
2.1 前言...............................................3
2.2 前經濟互動.........................................6
2.3 門檻向量自我迴歸模型...............................7
2.4 資料來源與說明....................................10
2.5 實證結果分析......................................10
2.5.1 門檻效果之非線型檢定........................11
2.5.2 直線型衝擊反應函數..........................11
2.5.3 非直線型衝擊反應函數........................13
2.5.4 亞洲金融風暴的影響..........................15
2.5.5 股市干擾不對稱影響的經濟涵意................17
2.6 結論..............................................19
參考文獻..............................................21
3 中國大陸股票市場不對稱共整合關係之實證研究............45
3.1 前言..............................................45
3.2 中國大陸股票市場簡介..............................48
3.3 不對稱共整合模型..................................49
3.4 實證結果分析......................................52
3.4.1 資料說明....................................52
3.4.2 單根檢定....................................53
3.4.3 Engle-Granger 共整合檢定....................54
3.4.4 Enders-Siklos 不對稱共整合檢定..............55
3.4.5 不對稱誤差修正模型之估計....................56
3.5 結論..............................................59
參考文獻..............................................59
4 購買力平價說之再檢定..................................69
4.1 前言..............................................69
4.2 追蹤資料單根檢定與追蹤資料共整合檢定..............72
4.2.1 追蹤資料單根檢定............................72
4.2.2 追蹤資料共整合檢定..........................74
4.3 實證結果分析......................................76
4.3.1 資料來源與說明..............................76
4.3.2 追蹤資料單根檢定............................76
4.3.3 模型設定....................................77
4.3.4 Pedroni 追蹤資料共整合檢定..................78
4.4 結論..............................................79
參考文獻................................................79
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