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研究生:蕭珮瑜
研究生(外文):Pei-Yu Hsiao
論文名稱:影響股市關聯性的總體經濟因素:台灣的實證分析
論文名稱(外文):Macroeconomic Determinants of the Stock Market Interdependence:An Empirical Study of Taiwan
指導教授:劉宗欣劉宗欣引用關係
指導教授(外文):Zong-Shin Liu
學位類別:碩士
校院名稱:逢甲大學
系所名稱:經濟學所
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:2006
畢業學年度:94
語文別:中文
論文頁數:45
中文關鍵詞:近似無相關迴歸最小平方迴歸股市關聯性總體經濟變數
相關次數:
  • 被引用被引用:10
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  • 下載下載:270
  • 收藏至我的研究室書目清單書目收藏:4
1987年紐約股市崩潰引發幾近全球性的股市崩潰,許多研究因而開始探討國際股市間的關聯性(interdependence),並且證實了國際間大多數的股市具有顯著的關聯性。晚近的研究則更進一步的探討,影響股市關聯性的因素為何?台灣為一小型開放經濟,經濟發展對貿易依賴度很高。另一方面,台灣自1991年起開放外資直接投資國內股市,台灣股市與國際股市的關聯性亦逐漸升高。本研究的目的為實證分析1991年開放外資投資後,台灣與主要貿易國股市關聯性的變動,以及影響股市關聯性的總體經濟因素為何?同時,將研究期間區分成1997年亞洲金融風暴之前及之後,並進行比較。
本研究首先以一般化誤差變異數分解(VDC)檢測台灣與主要貿易國的股市關聯性;其次,以最小平方(LS)迴歸和近似無相關迴歸(SUR)二種方法,探討影響股市關聯性的總體經濟因素。研究發現,亞洲金融風暴之後,台灣與各國股市的關聯性有明顯增加的趨勢,特別是台灣與亞洲各國股市的關聯性,其中又以與韓國及新加坡股市的關聯性增加最為明顯。另外,無論是利用SUR或LS分析法,結果皆顯示,整體而言,在亞洲金融風暴之後,台灣與各國的總體經濟變數對股市關聯性的解釋能力,皆比亞洲金融風暴之前顯著提高。個別國家情況則顯示,在亞洲金融風暴之前及之後,影響台灣與各國股市關聯性的總體經濟因素及透過的管道則有所不同。
第一章 前言 1
第二章 文獻回顧 3
2.1 股市關聯性 3
2.2 影響股市關聯性的因素 3
第三章 理論架構與資料 6
3.1 理論架構 6
3.2 資料 7
第四章 研究方法 9
4.1 估計台灣與各貿易國股市的關聯性 9
4.1.1 恆定性檢定 9
4.1.2 變異數分解 10
4.2 估計總體經濟變數對股市關聯性的影響效果 12
4.2.1最小平方法迴歸 12
4.2.2近似無相關迴歸 13
第五章 實證結果 16
5.1 單根檢定結果 16
5.2 台灣與貿易國股市關聯性 16
5.3 最小平方法迴歸分析結果 21
5.4 近似無相關迴歸(SUR)分析結果 23
第六章 結論 27
參考文獻 29
附表1:各國股價指數之單根檢定 32
徐守德(1995),「亞洲股市間共整合關係之實證研究」,證券市場發展季刊,7:4,33-57。
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