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研究生:陳秀芬
研究生(外文):CHEN HSIU-FEN
論文名稱:匯率制度自由化與選擇權交易對股票報酬影響之研究:以南韓金融市場為例
論文名稱(外文):The Impacts of Currency Market Liberalization and Options Trading on South Korea’s Stock Market
指導教授:陳君達陳君達引用關係
指導教授(外文):CHEN CHUN-DA
學位類別:碩士
校院名稱:大葉大學
系所名稱:國際企業管理學系碩士在職專班
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:67
中文關鍵詞:匯率制度外人直接投資股票報酬通貨膨脹率買權交易量賣權交易量價格發現
外文關鍵詞:Currency market liberalizationForeign direct investmentStock returnsInflationCall volumePut volumePrice Discovery
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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
1.方文碩(2000),通貨貶值對股市報酬與波動的衝擊:亞洲四小龍實證研究,亞太管理評論,5:4,451-465。
2.李承翰(1998),金融風暴期間東亞各國股匯市之整合關係,國立成功大學企管系碩士論文。
3.林少龍(1998),由供給面分析外人來台直接投資的決定因素,亞太管理評論,3:1,59-72。
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

1.Abdalla, I. S. A. and V. Murinde (1997), “Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Pakistan, and Philippines.” Applied Financial Economics, 7, 25-35.
2.Aquino, R. Q. (2005), “Exchange Rate Risk and Philippine Stock Returns: before and after the Asian Financial Crisis.” Applied Financial Economics, 15, 765-784.
3.Bahmani-Oskooee, M. and A. Sohrabian (1992), “Stock Prices and the Effective Exchange Rate of the Dollar.” Applied Economics, 24, 459-464.
4.Chen, D. Y. (2005), “Foreign Direct Investment in the United States: Interest Rate and Exchange Rate.” Southern Business Review, 31(1), 1-12.
5.Demos, A., F. Filippaios, and M. Papanastassiou (2004), “An Event Study Analysis of Outward Foreign Direct Investment: The Case of Greece.” International Journal of the Economics of Business, 11, 329-345.
6.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.
7.Fang, W. S. and S. M. Miller (2002), “Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis.” Department of Economics, University of Connectict, Working Paper 2002-30.
8.Frenkle, J. A. and M. Goldstein (1986), “A Guide to Target Zones.” IMF Staff Papers, 33, 633-673.
9.Gastanaga, V. M., J. B. Nugent, and B. Pashamova (1998), “Host Country Reforms and FDI Inflows: How Much Difference Do They Make?” World Development, 26, 1299-1314.
10.Granger, C. W. J. and P. Newbold (1974), “Spurious Regressions in Econometrics.” Journal of Econometrics, 2, 111-120.
11.Kamath, R. (2005), “Media Stocks up on FDI Announcement.” Businessline, 20050701, 1.
12.Kerr, I. A. and M. P. Vasanthi (2001), “The Determinants of Foreign Direct Investment in China,” the 30th Annual Conference of Economists, University of Western Australia, Perth, Austria.
13.Krugman, P. (1991), “Target Zones and Exchange Rate Dynamics.” Quarterly Journal of Economics, 106, 669-682.
14.Nabende, A. B. (2002), “Foreign Direct Investment Determinants in Sub-Sahara Africa: A co- integration analysis.” Economic Bulletin, 6, 1-19.
15.Nguyen, N. B. and J. Haughton (2002), “Trade Liberalization and Foreign Direct Investment in Vietnam.” ASEAN Economic Bulletin, 19, 302-318.
16.Phylaktis, K. and Y. Kassimatis (1994), “Does the Real Exchange Rate follow a Random Walk? The Pacific Basin Perspective”, Journal of International Money and Finance, 13, 476-49
17.Sims, C. A. (1980), “Macroeconomics and Reality.” Econometrica, 48, 1-48.
18.Soenen, L. and E. Henniger (1988), “An Analysis of Exchange Rates and Stock Prices - The US Experience between 1980 and 1986.” Akron Business and Economic Review, 19, 7-16.
19.Solnik, B. H. (1984), “Stock and Money Variable: The international evidence.” Financial Analyst Journal, 69-73.
20.Werner, A. M. (1992), “Exchange Rates and Target Zone Width.” Economics Letters, 40, 455-457.
21.Yang, Y. Y., N. Groenewold, and M. Tcha (2000), “The Determinants of Foreign Direct Investment in Australia.” The Economic Record, 76, 45-54.

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。
2.黃營杉、古永嘉與蔡垂君(2001),緩長記憶模式應用於期貨與現貨領先-落後關係之研究:以台灣股價指數期貨及摩根台灣股價指數期貨為例,輔仁管理評論,8:2,73-116。

英文部分

1.Abhyankar, A. (1995), “Return and Volatility Dynamics in the FT-SE 100 Stock Index and Stock Index Futures Markets.” The Journal of Futures Markets, 15, 457-488.
2.Anthony, J. H. (1988), “The Interrelation of Stock and Option Market Trading –Volume Data.” Journal of Finance, 43:9, 49-64.
3.Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics, 31, 307-327.
4.Boluch M. J. and T. W. Chamberlain (1997), “Option Volume and Stock Price Behavior: Some Evidence from the Chicago Board Options Exchange.” Atlantic Economic Journal, 25:4, 358-370.
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.
6.Ciner, C. (2002), “The Stock Price-Volume Linkage on the Toronto Stock Exchange: Before and After Automation.” Review of Quantitative Finance and Accounting, 19:4, 335-349.
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.
9.Engle, R.F. and K.F. Kroner, (1995), “Multivariate Simultaneous Generalized ARCH.” Econometric Review, 11, 122-150.
10.Fleming, J. and B. Ostdiek, and R. E. Whaley (1996), “Trading Costs and the Relative Rate if Price Discovery in Stock Index Futures Markets.” The Journal of Futures Markets, 15, 457-488.
11.Gallant A. R., P. E. Rossi, and G. Tauchen (1992), “Stock Prices and Volume.” The Review of Financial Studies, 5:2, 199-243.
12.Ghosh, A. (1993), “Cointegration and Error Correction Models: Intertemporal Causality between Index and Futures Prices.” The Journal of Futures Markets, 13, 193-198.
13.Granger, C. W. J. and P. Newbold (1974), “Spurious Regressions in Econometrics.” Journal of Econometrics, 2, 111-120.
14.Gunduz, L. and H. J. Abdulnasser (2005), “Stock price and Volume Relation in Emerging Markers.” Finance and Trade, 41:1, 29-52.
15.Hatch,B.C. (2003), “The intraday relation between NYSE and CBOE prices” The Journal of Financial Research, 26, 97-113,
16.Herbst, A. F., J. P. McCormack, and E. N. West (1987), “Investigation of a Lead-Lag Relationship between Spot Stock Indices and Their Futures Contracts.” The Journal of Futures Markets, 7, 373-381.
17.Hiemstra, C. and J. D. Jones (1994), “Testing for linear and nonlinear Granger causality in the stock price-volume relation.” The Journal of Finance, 49:5, 1639-1667.
18.Iihara, Y., K. Kato, and T. Tokunaga (1996), ”Intraday Return Dynamics between the Cash and the Futures Markets in Japan.” The Journal of Futures Markets, 16, 147-162.
19.Kawaller, I., P. Koch, and T. Koch (1987), “Intraday Relationships Between the Volatility in S&P500 Futures Prices and the Volatility in the S&P500 index.” Journal of Banking and Finance, 14, 373-397.
20.Lim, M. and R. Coggins (2005), “The immediate price impact of trades on the Australian Stock Exchange.” Quantitative Finance, 5:4, 365-391.
21.Manaster, S. and R. Rendleman (1982), “Option prices as predictors of equilibrium stock prices.” Journal of Finance, 37, 1043-1057.
22.Min, J. H. and M. Najand (1999), “A Further Investigation of the Lead-Lag Relationship between the Spot Market and Stock Index Futures: Early Evidence from Korea.” The Journal of Futures Markets, 19, 217-232.
23.Osborne, M. (1959), “Brownian Motion in the Stock Market.” Operations Research, 7, 145-173.
24.Pizzi, M. A., A. J. Economopoulos, and H. M. O’Neill (1998), “An Examination of the Relationship between Stock Index Cash and Futures Markets: A Cointegration Approach.” The Journal of Futures Markets, 18, 297-305.
25.Saatcioglu, K. and L. T. Starks (1998), “The stock price-volume relationship in emerging stock markets: the case of Latin America.” International Journal of Forecasting, 14, 215-225.
26.Schlag, C. and H. Stoll (2005), “Price impacts of Options Volume.” Journal of Financial Markets, 8, 69-87.
27.Stickel, A. E. and R. E. Verrecchia (1994), “Evidence that Trading Volume Sustains Stock Price Changes.” Financial Analysts Journal, 50:6, 57-67.
28.Stoll, H. R. and R. E. Whaley (1990), “The Dynamics of Stock and Stock Index Futures Returns.” Journal of Financial and Quantitative Analysis, 25, 441-468.
29.Tay A. S. and C. Ting (2006), “Intraday stock prices, volume, and duration: a nonparametric conditional density analysis.” Empirical Economics, 30,827-842.
30.Tse, Y. K. (1995), “Lead-Lag Relationship between Spot Index and Futures Price of the Nikkei Stock Average.” Journal of Forecasting, 14, 553-563.
31.Wahab, M. and M. Lashgaari (1993), “Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach.” The Journal of Futures Markets, 13, 711-742.
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