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研究生:蔡佾岑
研究生(外文):Tsai Yi-Tsen
論文名稱:台灣地區外資、匯率與股價關聯性之研究-Wildbootstrap法之應用
論文名稱(外文):The Relationship Among Foreign Investment, Stock Price and Foreign Exchange Market- The Application of Wild Bootstrap Method
指導教授:林福來林福來引用關係
指導教授(外文):Lin Fou-Lai
學位類別:碩士
校院名稱:大葉大學
系所名稱:事業經營研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:76
中文關鍵詞:外資交易行為股價匯率異質變異數Wild boostrap法
外文關鍵詞:Foreign Investmentstock priceForeign Exchange MarketHeteroskedasticityWild bootstrap method
相關次數:
  • 被引用被引用:12
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:5
本研究試圖納入一些衡量外資交易行為、股價、匯率的相關變數,且透由單根檢定結果,將其分為定態變數與非定態變數,進一步,將變數分為六個線性結構迴歸模型,來探討台灣地區外資、匯率與股價關聯性。事實上,財務資料大部份存在異質變異的情形。因此,本研究在線性結構實證模型皆加入ARCH模型,用來補捉異質條件變異情形。然而,實證模型加入ARCH模型後,條件變異方程式還是有可能發生錯誤設定的困擾,為了避免發生此困擾。本研究則採用Wu(1986)年提出 Wild bootstrap 法,將其應用於線性結構迴歸實證模型中。實證結論分別(1)外資會受自身前幾期影響,且外資交易行為具有群聚現象。(2)外資會受股價指數、取自然對數後的股價指數與股價指數報酬率等三變數前第一期正向影響。(3)加權股價指數與匯率指數之間、股價報酬與匯率變動率之間、取自然對數後的加權股價指數與取自然對數後的匯率指數之間在前第一期時皆存在相互影響的負向關係。
Some of variables are tried to be included in order to measure the foreign investment, Stock price, foreign exchange market in our study. They are separated into stationary variables and non-stationary variables by the ADF test. Futhermore, they are divided into six linear structural regression models in order to discuss the relationship among foreign investment, stock price and foreign exchange market. In fact, Heteroskedasticity is generally had in financial data. Hence, the ARCH Model is used into the linear structural regression model to observe the condtional heteroscedasticity. However, there are still problems in the setting of the ARCH model, even though it is used into the linear structural regression model. Wild bootstrap method proposed by Wu(1986) is applied into the linear structural regression model in our study can solve this problems. Our major findings are as follows:(1)Foreign investment is influenced by its past-period values. Foreign investment has the Clustering Phenomenon.(2)Foreign investment is positively influenced by stock price, stock price introduced in nature logarithm, stock returns at lag one period.(3)They are negatively influenced between stock price and exchage rate at lag one period. They are negatively influenced between stock price introdued in natual logarithm and exchage rate introduced in natual logarithm at lag one period. They are negatively influenced between stock returns and exchage rate fluctuations at lag one period.
第一章 緒論
1.1 研究背景...............................1
1.2 研究動機與目的............................................3
第二章 相關理論與實證文獻回顧
2.1 匯率與股價之間相關理論......................................4
2.2 外資與股價之間相關理論......................................9
2.3 外資與匯率之間相關理論.....................................13
2.4 外資、匯率與股價之間關聯性..................................15
第三章 研究方法
3.1 定態與非定態之單根檢定.....................................18
3.2共整合與誤差修正模型........................................19
3.3 誤差修正模型之ARCH檢定.....................................20
3.4 Wild bootstrap法.........................................21
第四章 資料分析與實證結果
4.1 資料來源說明..............................................24
4.1.1 變數資料...........................................24
4.1.2 變數定義...............................................26
4.1.3 模型定義................................................27
4.1.4 變數趨勢圖..............................................28
4.1.5 基本統計量..............................................29
4.2 單根檢定結果..............................................31
4.3 Johenson共整合檢定結果....................................33
4.4 向量誤差修正模型(VECM)...................................35
4.4.1 Model I................................................37
4.4.2 Model II...............................................43
4.5 向量自我迴歸模型(VAR)....................................48
4.5.1 Model III.............................................50
4.5.2 Model IV...............................................54
4.5.3 Model V...............................................58
4.5.4 Model VI...............................................63
第五章 結論
參考文獻...............................................74
一、中文文獻
田慧琦(1995)。外資買賣對短期市場之衝擊與長期績效。證交資料,441,47-75。
劉曦敏、賴宏忠(1996)。利率、匯率與股價之長期均衡因果關係-共整合分析法之應用。證券金融,49,23-42。
黃柏農(1998)。台灣的股價與總體變數之間的關係。證券市場發展,10(4),89-109。
吳中書(1998)。台灣匯率與資本移動關聯性之探討。中央銀行季刊,21(2),48-63。
康信鴻、溫晉慶(2000)。東亞各國外資、股價指數與匯率的相關性。台灣經濟金融月刊,36(8),34-48。
劉祥熹、李崇主(2000)。台灣地區外資、匯率與股價關聯性之研究-VAR與VECM之應用。證券市場發展,12(3),1-41。
姜淑美、鄭婉秀、邱建良(2003)。外資交易行為、股市及匯市動態關係之研究。風險管理學報,5(1),45-64

二、英文文獻
Aggarwal, R.(1981). Exchange rates and stock prices: A study of U.S. capital markets under floating exchange rates. Akron Business and Economics Rewiew, 12(2), 7-12.
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Ajayi, R. A., J. Friedman, & S. M. Mehdian(1998). On the relationship between stock returns and exchange rates: Tests of Granger causality. Global Finance Journal,9(2), 241-251.
Athukorala, & Rajaptirana ,S.(2003). Capital Inflows and the Real Exchange Rate: A Comparative Study of Asia and Latin America. Black Publishing Ltd, 613-635.
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Bekaert, G., & C. R. Harvey(1997b). Emerging Equity Market Volatility. Journal of financial economic, 43, 29-77.
Bahmani-Oskooee, M., & A. Sohrabian(1992). Stock prices and the effective Exchange rate of the dollar. Applied Economics, 24, 459-464.
Chan, L. K. C., & J. Lakonishok(1993). Institutional Trades and Intraday Stock Price Behavior. Journal of Financial Economics, 33, 173-199.
Dickey, D. A., & W. A. Fuller(1979). Distribution of the Estimators for Time Series Regressions with a Unit Root. Journal of Future American Statistical Association, 74(366), 427-431.
Dickey, D. A., & W. A. Fuller(1981). Likelihood Ratio Statistics for Autoregr-
essive Time Series with a Unit Root. Econometric, 49(4),1057-1072.
Dickey, D. A., & W. A. Fuller(1990). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366), 427-431.
Dickey, D. A., & W. A. Fuller(1990). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the Business and Economic Statistics, 4 , 249-273.
Efron, B.(1979). Bootstrap methods: another look at jackknife. Annals of Statistics, 7, 1-26.
Engle, R.(1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U.K. Inflation. Econometrica, 50, 987-1007.
Fama, E. F.(1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25, 383-417.
Hamao, Y., & Mei, J.,(2001). Living with the “enemy”: an analysis of foreign investment in the Japanese equity market. Journal of International Money and Finance, 20, 715-735.
Kamesakaa, A., Nofsingerb, J. R., & Kawakitac, H., (2003). Investment patterns and performance of investor groups in Japan. Pacific-Basin Finance Journal, 11, 1-22.
Kim, & Singal(1994). Opening up of Stock Markets: Lessons from and for Emerging Economies. University of Michigan Press.
Said S. E., & D.A. Dickey(1984). Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order. Biometrica, 71, 599-607.
Scholes, M. S.(1972). The markets for securities: substitution versus price pressure and the effects of information on share price. Journal of Business, 4, 179-211.
Wu, C. F. J.(1986). Jackknife, bootstrap, and other resampling methods in regression analysis, The Annals of Statistics, 14, 1261-1295.
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