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研究生:顏秀蓉
論文名稱:臺灣與歐美國際股市互動現象之探討
論文名稱(外文):Co-Movement in the international Stock Markets between Taiwan and Selected countries
指導教授:孫金華孫金華引用關係
指導教授(外文):Chin-Hwa Sun, Ph.D.
學位類別:碩士
校院名稱:國立海洋大學
系所名稱:應用經濟研究所
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:101
中文關鍵詞:共整合模型離群值模型非巢狀多重決策樹之因果關係檢定GARCH 模型
外文關鍵詞:Co-integration ModelOutlier ModelNon-nested Causality TestGARCH Model
相關次數:
  • 被引用被引用:19
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本研究應用共整合模型、單變量離群值模型、VAR模型非巢狀多重決策樹之因果關係檢定、及GARCH模型,分別探討1997年2月至2002年3月間以每日收盤股價指數為台灣股票市場與美國、歐洲及亞太地區各股價指數,包括台灣股票市場與、美國道瓊、那斯達克及S&P500指數、英國、法國、德國、日本、新加坡、香港、及大陸深圳間進行互動性現象之分析,提供投資人若投資台灣股市時,所需明瞭台灣與各區域股票市場間的互動行為。
實證結果如下:針對臺灣與歐美國際股市11個股價指數,所認定各股價指數離群值成因與效應方面得知:亞洲金融危機、深受美國景氣與利率走勢改變時皆會影響以上所有股市,則可推論為國際共通原因;如俄羅斯發生金融危機時,歐洲區域裡德國股市受到的衝擊為最大,又如大陸股市的波動主要來自於中共對股市的措施,以上則可歸為區域因素或國家因素。就區域別探討其長期共整均衡關係得知:在美國、歐洲各區域內為一個共整合向量,皆具有共整均衡關係,唯亞太區域存在三個共整合向量。就股價指數的波動性而論:各股市皆具有波動叢聚現象,且本文認定除了英國及德國為GARCH(1, 2)模型,其餘股市皆為GARCH(1, 1)模型;較為特殊情況為大陸深圳股市存在IGARCH(1, 1)特性,表示若當大陸深圳股市遭受衝擊時,對股市所造成的波動會持續一段較長的期間。就傳導效應的方向性而言:本研究所使用非巢狀多重決策樹之因果關係檢定法,以台灣股市為主軸,探討台灣與歐美國際股市共11股價指數的因果關係得知,除新加坡與台灣股市互為回饋關係,美國的道瓊、那斯達克及S&P500、英國、法國、德國、日本、香港、新加坡、大陸深圳A股則皆為台灣的領先指數。
This study analyzes the co-movement relationship in the international stock markets between Taiwan and selected countries, in order to provide information for investors if they want to invest in Taiwan stock market. The stock index in Dow Jones, Nasdaq, S&P500, FTSE-100, CAC40, DAX, Nk225, STI, HIS, SZASHR, and TWSE are collected since February 18, 1997 to March 8, 2002. Four major time-series models, such as outlier model, the regional co-integration model, the univariate GARCH model, and the non-nested causality test of each stock indexes are used to identify the volatility of each stock index and the influential factors.
The empirical results on the outlier detection can be used to summarize the follows: local and global volatility factors. The volatility of interest rate in America and the Asian financial Crisis from 1997 to 1999 affect all international stock markets. However, the stock market in Germany was deeply influenced by the Russian financial Crisis. The stock market in China was major influenced by the government’s polices on the stock market.
According to the empirical tests on Johansen co-integration in American and Europe, both areas possess one long-term equilibrium relationship, respectively. However, five of the stock indexes in Asia didn’t possess a single long-term equilibrium relationship.
The volatility of the first difference of each stock indexes, exhibits clustering characteristic. The suitable GARCH model for FTSE-100 index is GARCH(1, 2) model and all others indexes are fitted by GARCH(1, 1) model. However, SZASHR index exhibits IGARCH(1, 1) characteristic which means that if SZASHR index suffers from any shock, the impact will sustain for a long time.
Finally, this study uses the non-nested causality to test the lead-lag relationship between TWSE and the ten indexes. Except for the STI shows a feedback relationship with TWSE, all others stock indexes show as leading indexes to TWSE.
目錄……………………………………………………………….. i
表次……………………………………………………………….. ii
圖次……………………………………………………………….. iii
第一章 緒論……………………………………………………. 1
第一節 研究背景與動機…………………………… 1
第二節 研究目的…………………………………… 2
第三節 研究限制…………………………………… 3
第四節 研究架構…………………………………… 4
第二章 文獻回顧………………………………………………. 6
第一節 國際金融市場整合原因…………………… 6
第二節 國內外有關國際股市之相關研究………… 9
第三章 時間數列理論模型…………………………………….19
第一節 單根檢定(Unit Root Test)………………19
第二節 離群值之偵測與分析………………………22
第三節 共整合分析(Cointegration)…………… 30
第四節 一般化迴歸條件異質變異數模型…………36
第五節 向量自我迴歸模型非巢狀多重決策樹之因果關係檢定............................................. 40
第四章 實證結果與分析……………………………………… 49
第一節 資料來源與處理…………………………… 49
第二節 國際股市概況介紹………………………… 50
第三節 各股價指數離群值的偵測、種類與成因分析 ..............................................59
第四節 歐、美及亞太區域股價指數間長期均衡關係 ..............................................74
第五節 國際股票市場間之傳導效應……………… 76
第六節 國際股市場間之互動的效應……………… 85
第五章 結論與建議……………………………………………. 92
第一節 結論………………………………………… 92
第二節 建議………………………………………… 95
第三節 未來研究方向……………………………… 96
參考文獻………………………………………………………….. 97
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