臺灣博碩士論文加值系統

Using data covering the period from January 1994 to December 2004, this study attempts to examine the degree of stock market interdependence between Taiwan and its six trading partners and to find out which economic fundamentals give rise to such interdependence. The general argument in previous studies, namely, that the more economic integration there is between countries, the more interdependent the stock markets of those countries will be, is also examined. In order to investigate the extent of the stock market interdependence, the newly-developed generalized variance decomposition (VDC) approach and the impulse response function (IRF) analysis of Pesaran and Shin (1998) are applied. To examine the general argument, this study employs the nonlinear threshold regression model developed by Hansen (2000) to characterize the economic integration and, hence, to test the significance of the effects of economic factors on the stock market interdependence for different degrees of economic integration.
The findings in relation to the stock market interdependence indicate that a substantial number of interactions exist among stock markets in general. By contrast, the Taiwan market is largely isolated from other markets and other markets are less responsive to shocks in the Taiwan market. The Taiwan market is found to exhibit higher interdependence with the Asian markets than with the U.S. and German markets. The impulse response functions show that the initial responses of the Taiwan market to unexpected shocks in the foreign markets are significant, but the responses over time rapidly become insignificant and taper off to zero. The time profile of the stock market interdependence between Taiwan and foreign countries shows that such interdependence fluctuates and increases over time. In particular, the degree of stock market interdependence between Taiwan and the Asian countries has increased remarkably since the outbreak of the Asian financial crisis in 1997.
The results of the nonlinear panel threshold model show that the bilateral trade has threshold effects that divide the observations into three different integration regimes. When the degree of economic integration is low, national stock market interdependence may simply reflect contagious market shocks that are unrelated to economic fundamentals. When the degree of integration is higher, economic factors may affect stock market interdependence through the bilateral trade channel. In the case where there is a high degree of integration, not only will the explanatory power of economic factors increase, but the stock market interdependence will be impacted through both bilateral trade and foreign direct investment (FDI) channels. The findings of this study provide support for the general argument that the stronger the economic integration between countries is, the higher should be the degree of interdependence between their stock markets.

Abstract i
Chapter 1 Introduction 1
Chapter 2 Stock Market Interdependence between Taiwan and Its Trading Partners 5
2.1 Introduction 5
2.2 Sample Design and Data 9
2.3 Methodology 12
2.3.1 Unit Root Tests 12
2.3.2 Generalized IRF and VDC Analyses 14
2.4 Empirical Results 17
2.4.1 Stationarity Test 17
2.4.2 Stock Market Interdependence and Stock Price Transmission 17
2.4.3 Fluctuations in Interdependence between Taiwan and Foreign Stock Markets 24
Chapter 3 The Economic Determinants of International Stock Market Interdependence 29
3.1 Introduction 29
3.2 The Model 33
3.3 Methodology 36
3.3.1 Panel Unit Root Test 37
3.3.2 Nonlinear Panel Threshold Regression 40
3.4 The Empirical Model and Data 44
3.4.1 Empirical Model 44
3.4.2 Data 45
3.5 Empirical Results 50
3.5.1 Panel Unit Root Test 50
3.5.2 The Panel Threshold Effects 52
3.5.3 Effects of Economic Factors on Stock Market Interdependence 58
Chapter 4 Conclusion 62
References 66

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