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研究生:程英賓
研究生(外文):Ying Pin Cheng
論文名稱:結構改變對東南亞國協五國股票市場共整合之影響
論文名稱(外文):The Impact of Structural Breaks on the Integration of the ASEAN-5 Stock Markets
指導教授:陳婉淑
指導教授(外文):Cathy W.S. Chen
學位類別:碩士
校院名稱:嶺東科技大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:英文
論文頁數:36
中文關鍵詞:共整合結構性改變東南亞國協金融危機股票市場
外文關鍵詞:cointegrationcointegration rankstructural breakASEAN financial crisisstock market
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本文採用Inoue (1999) 發展的結構改變共整合模型探討在1997/98年亞洲金融風暴對東南亞國協五國(新加坡、馬來西亞、菲律賓、泰國、印尼)股票市場共整合之衝擊。其模型主要有兩個優點,第一允許三種不同型態的結構性改變在其模型中,第二由內生決定結構改變點不必主觀判斷,本文同時考慮Johansen (1989, 1991)標準共整合模型及Johansen, Mosconi, and Neilsen (2000)結構改變共整合模型,實證結果發現,標準的共整合模型找到了一個共整合向量,但是考慮單一結構改變時,Inoue及Johansen, Mosconi, and Neilsen的結構共整合模型找到了兩個共整合向量,並且Inoue模型找出1997年中及1999年底是結構改變點,本文最後採用Johansen, Mosconi, and Neilsen (2000)結構性改變共整合模型,允許同時存在兩個結構改變,結果發現了三個共整合向量,實證發現若考慮結構改變,這五國的關係比沒考慮結構改變時更密切。本文同時使用弱外生性檢定及排除性檢定找出了短期價格驅動者為馬來西亞及印尼,而長期價格驅動者為新加坡和泰國。
This paper explores the impact of possible structural breaks, for example the Asian financial crisis of 1997/98, on integration within ASEAN-5 countries. This study addresses the issue by applying the multivariate Inoue (1999) cointegration procedure that allows for three types of structural break in a dynamic system, and comparing with the standard Johansen cointegration procedure in order to find the rank of a system of daily and weekly stock returns. The empirical results suggest two cointegration vectors within the ASEAN-5 stock markets and that Singapore and Thailand are the main long-term drivers in the region; Malaysia and Indonesia are more short-term drivers. Structural breaks are found to correspond with the Asian financial crisis in 1997/98 and a possible Y2K effect in 2000. Results are verified using the Johansen, Mosconi, and Neilsen (2000) model.
Contents

1 Introduction ………………………………………………………. 1

2 Methodology ……………………………………………………... 4

3 Data and Preliminary Results …………………………………….. 8

4 Empirical Results………………………………………………….. 9
4.1 Zivot and Andrews Unit Root Test …………………………… 9
4.2 Inoue Rank Test and Johansen Rank Test for Structural Break 10
4.3 Exogeneity and Exclusion Tests …………………………….. 13

5 Conclusion ……………………………………………………….. 15

6 Tables and Figures ……………………………………………….. 17

7 Reference ………………………………………………………… 32
References

Chung, P. J., and Liu, D. J. 1994. Common Stochastic Trends in Pacific Rim Stock Markets. Quarterly Review of Economics and Finance 34, 241-259.

Click, R. W. and Plummer, M. G., 2005. Stock Market Integration in ASEAN after the Asian Financial Crisis. Journal of Asian Economics 16, 5-28.

Corhay, A., Rad, A. T., and Urbain, J. P., 1993. Common Stochastic Trend in European Stock Markets. Economics Letter 42, 385-390.

Gerlach, R., Wilson, P., and Zurbruegg, R., 2005. Structural breaks and diversification: The impact of the 1997 Asian crisis on markets in the Pacific, Journal of International Money and Finance, forthcoming.

Gregory, A. W. and Hansen, B. E., 1996. Residual-Based Test for Co-integration in Model with Regime Shifts. Journal of Econometrics 70, 99-126.

Hung, S. W. S. and Cheung, Y. L., 1995. Interdependence of Asian Emerging Equity Market. Journal of Business Financial and Accounting 22, 281-288.

Inoue, A., 1999. Tests of Co-Integrating Rank with a Trend-break. Journal of Econometrics 90, 215-237.

Johansen, S., 1988. Statistical Analysis of Co-Integration Vectors. Journal of Economic Dynamics and Control 12, 231-254.

Johansen, S., 1991. Estimation and Hypothesis Testing of Co-Integration Vectors in Gaussian Vector Autoregressive Models. Econometrica 59, 1551-1580.

Johansen, S., Mosconi, R., and Nielsen, B., 2000. Co-Integration Analysis in the Presence of Structural Breaks in Deterministic Trends. Econometrics Journal 3, 216-249.

Johnson, R. and Soenen, L., 2002. Asian Economic Integration and Stock Market Comovement. Journal of Financial Research 25, 141-157.

Kasa, K., 1992. Common stochastic trends in international stock markets. Journal of Monetary Economics 29, 95-124.

Palac-McMiken, E. D., 1997. An Examination of ASEAN Stock Market: A Cointegration Approach. ASEAN Economic Bulletin 13, 299-311.

Roca, E. D., Selvanathan, E. A., and Shepherd, W. F., 1998. Are The ASEAN Equity Market Interdependent? ASEAN Economic Bulletin 15, 109-120.

Sadorsky, P., 1999. Oil Price Shocks and Stock Market Activity. Energy Economics 21, 449-469.

Sharma, S. C. and Wongbanpo, P., 2002. Long-term and Cycles in ASEAN Stock Market. Review of Financial Economics 11, 299-315.

Sheng, H.C., Tu, A., 2000. A Study of Co-Integration and Variance Decomposition among National Equity Indices Before and During the Period of the Asian Financial Crisis. Journal of Multinational Financial Management 10, 345-365.

Solink, B., 1987. Using Financial Prices to Test Exchange Rate Model: A Note. Journal of Finance 24, 261-275.

Stock, J.H. and Watson, M.W. 1988 Testing for Common Trends. Journal of the American Statistical Association,. 83, 1097-1107

Ng, T. H., 2002. Stock Market Linkages in South-East Asia. Asian Economic Journal 16, 353-377.

Zivot, E. and Andrews, D., 1992. Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business and Economic Statistics 10, 251-270.
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