近年以來，世界各地之新興金融市場吸引許多投資人與學術研究者的注意，這些新興金融市場發展快速並存在許多潛在的投資獲利機會。在本篇論文中，共分為二部份研究議題，主要以時間序列研究方法探討南韓金融市場股價報酬率與匯率和選擇權之間的關係。其中，第一部分為「南韓外人直接投資、匯率制度與股票報酬之相關性」，在此部份中，我們利用共整合(Cointegration)與向量自我迴歸模型(Vector Autoregression Model, VAR)探討南韓匯率制度從1997年12月開始實施自由浮動匯率制度前後，韓圜兌美元匯率、外人直接投資與股價報酬之間短期與長期的關連性。第二部份為「南韓指數選擇權交易量對現貨價格之影響」，在此部份中，我們利用指數型一般化自我迴歸條件異質性模型(Generalized autoregressive conditional heteroskedasticity model, EGARCH)探討南韓選擇權買權與賣權交易量對現貨價格之價格發現能力，並對變數是否具不對稱性進行檢測，同時探討此三項變數間之關係。

In the last few years, the global emerging financial markets have attracted many investors’ and researchers’ attentions, because of that these emerging markets’ fast development and many potential profit opportunities. In this thesis, we use several time series models to analyze the impacts of currency market liberalization and options trading on South Korea’s stock market. This thesis can be classified into two main parts. We show these two parts briefly as follows. The title of part I is “Foreign Direct Investment, Exchange Rate Systems, and Stock Returns in South Korea.” This aims of part I is to analyze the relationships among the exchange rate, foreign direct investment, stock returns, and inflation via VAR model. In December 1997 (during the peak of the Asian financial crisis period), the daily fluctuation limits for the interbank exchange rate were abolished and thus South Korea’s exchange rate system shifted to a totally free-floating mechanism. The title of part II is “The impacts of the index options trading on stock price in South Korea.” This aim of part II analyzes the price discovery on KOSPI200 index from its underlying asset - call and put options and also investigates the relationships among these two markets.”

目錄

封面內頁
簽名頁
授權書　　　　　　　　　　　　　　　　　　　　　　　　iii
中文摘要　　　　　　　　　　　　　　　　　　　　　　　iv
英文摘要　　　　　　　　　　　　　　　　　　　　　　　v
誌謝　　　　　　　　　　　　　　　　　　　　　　　　　vi
目錄　　　　　　　　　　　　　　　　　　　　　　　　　vii
圖目錄　　　　　　　　　　　　　　　　　　　　　　　　ix
表目錄　　　　　　　　　　　　　　　　　　　　　　　　x

第一部份
中文摘要　　　　　　　　　　　　　　　　　　　　　　　2
Abstract　　　　　　　　　　　　　　　　　　　　　　　　3
1.前言　　　　　　　　　　　　　　　　　　　　　　　　4
2.文獻回顧　　　　　　　　　　　　　　　　　　　　　　7
3.研究方法　　　　　　　　　　　　　　　　　　　　　　10
　　3.1 單根檢定　　　　　　　　　　　　　　　　　　　10
　　3.2 落後期數的選取　　　　　　　　　　　　　　　　11
　　3.3 VAR檢定　　　　　　　　　　　　　　　　　　　11
4.實證結果與分析　　　　　　　　　　　　　　　　　　　14
　　4.1 敘述統計　　　　　　　　　　　　　　　　　　　14
　　4.2 單根與共整合檢定　　　　　　　　　　　　　　　18
　　4.3 短期互動分析　　　　　　　　　　　　　　　　　21
5.結論　　　　　　　　　　　　　　　　　　　　　　　　37
參考文獻　　　　　　　　　　　　　　　　　　　　　　　38

第二部份
中文摘要　　　　　　　　　　　　　　　　　　　　　　　42
Abstract　　　　　　　　　　　　　　　　　　　　　　　　43
1.前言　　　　　　　　　　　　　　　　　　　　　　　　44
2.文獻回顧　　　　　　　　　　　　　　　　　　　　　　47
3.研究方法　　　　　　　　　　　　　　　　　　　　　　50
　　3.1 資料來源與樣本處理　　　　　　　　　　　　　　50
　　3.2 單根檢定　　　　　　　　　　　　　　　　　　　50
　　3.3 三變量GARCH模型　　　　　　　　　　　　　　52
4.實證結果與分析　　　　　　　　　　　　　　　　　　　54
　　4.1 敘述統計　　　　　　　　　　　　　　　　　　　54
　　4.2 單根檢定　　　　　　　　　　　　　　　　　　　56
　　4.3 三變量GARCH模型分析　　　　　　　　　　　　57
5.結論　　　　　　　　　　　　　　　　　　　　　　　　62
參考文獻　　　　　　　　　　　　　　　　　　　　　　　63


圖目錄

第一部份
圖1. 匯率、FDI、KOSPI與CPI資料趨勢圖…….…………………14
圖2. 全時期樣本間的衝擊反應圖………………….………………25
圖3. 浮動匯率實施前樣本間的衝擊反應圖………………….……28
圖4. 浮動匯率實施後樣本間的衝擊反應圖……………….………29

第二部份
圖1. 三樣本資料之趨勢圖…….……………………….………...…55




表目錄

第一部份
表1. 四變數之基本統計資料……………………………………….16
表2. 四變數之相關係數矩陣……………………………………….18
表3. 四變數之單根檢定…………………………………………….19
表4. 四變數差分後之單根檢定…………………………………….20
表5. Johansen共整合檢定結果…………………………….………..21
表6. 各變數間之Granger因果關係檢定統計表……………….….22
表7. 全樣本期間之各變數預測誤差變異分解…………………….32
表8. 浮動匯率實施前各變數之預測誤差變異分解……………….34
表9. 浮動匯率實施後各變數之預測誤差變異分解……………….35

第二部份
表1. 三變數之基本統計資料……………………………………….55
表2. 三變數之相關係數矩陣……………………………………….56
表3. 三變數之單根檢定…………………………………………….57
表4. 三變數之ARCH效果檢定……...…………………………….58
表5. 三變數之動態分析……………...……………………………..60
表6. 條件變異數之實證結果…………………………………....….61

第一部份

中文部份
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4.侯美惠(2004)，貨幣政策、產出目標區與股價，經濟研究，40:2，145-180。
5.劉憶如(2004)，外資在台灣證券交易市場角色之研究，中央信託局92年度年報，526-570。

英文部分

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第二部份

中文部份

1.余尚武與王俞瓔(1999)，日經股價指數期貨與現貨市場之評價、關聯及避險，管理評論，5，1-33。
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英文部分

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5.Chu, Q. C., W. G. Hsieh, and Y. Tse (1999), “Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs.” International Review of Financial Analysis, 8:1, 1-22.
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7.Dickey, D. A. and W. A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of American Statistics Association, 74, 427-431.
8.Easley, D., M. O’Hara, and P. S. Srinivas (1998), “Option Volume and Stock Prices: Evidence on Where informed Traders Trade.” The Journal of Finance, 2, 431-465.
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