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研究生:廖啟助
研究生(外文):Liao, Chi-Chu
論文名稱:歐、亞股匯市關係之實證研究-以台灣、日本、韓國、德國、英國與法國為例
論文名稱(外文):A Study on the Relationships between Stock and Foreign Exchange Markets of Europe and Asia - Evidence from Taiwan, Japan, South Korea, Germany, England and France
指導教授:王凱立王凱立引用關係
指導教授(外文):Wang, Kai-Li
學位類別:碩士
校院名稱:東海大學
系所名稱:管理碩士學程在職進修專班
學門:商業及管理學門
學類:其他商業及管理學類
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:114
中文關鍵詞:共整合向量自我迴歸模型衝擊反應分析變異數分解
外文關鍵詞:CointegrationVector Auto Regression ModelImpulse ResponseVariance Decomposition
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本研究以亞洲區-台灣、日本、韓國及歐洲區-德國、英國、法國之股價、匯率為研究
標的,利用單根檢定、Johansen共整合檢定、向量自我迴歸模型、誤差修正模型、衝擊
反應分析與預測誤差變異數分解等研究方法,研究期間為2000年1月1日至2005年6月30
日,分別探討單一國家、區域內及跨區域之股匯市長、短期互動關係,實證研究結果發現:

一、 就單根檢定而言,無論是亞洲區之台灣、日本、韓國及歐洲區之德國、英國、
法國之 股價、匯率原始資料皆不具定態,必須經過自然對數一階差分後始成為定
態資料。

二、 Johansen共整合檢定結果顯示,跨區域之台灣、日本、韓國、德國、英國及
法國股價指數存在共整合向量的長期均衡關係,投資者在跨區域的股市投資上
,可藉由彼此間的預測達到獲利目的。另外,在單一國家或區域內股匯市變數
組合,由於變數間皆不存在長期均衡關係,因此投資者可藉由不同之投資組合
達到分散風險的目的。

三、根據向量自我迴歸模型、誤差修正模型檢定得知,台灣股價報酬率與新台幣匯率
變動率兩者間具有雙向回饋關係,韓國與德國股價報酬率單向領先匯率變動率。
台灣股價報酬率顯著受到日本股價報酬率之影響,新台幣匯率變動率則受到韓圜
匯率變動率的影響,德國及法國之股價報酬率則領先英國之股價報酬率。

四、藉由衝擊反應分析及預測誤差變異數分解結果顯示,各國匯率變動率受到股價報
酬率的衝擊反應較大,而股價報酬率受到匯率變動率的影響較不明顯。另外,股
價報酬率或是匯率變動率面對自身皆有高度的解釋能力,而且股價報酬率對匯率
變動率的解釋能力高於匯率變動率對股價報酬率的解釋能力。
This research which is based on the relationships of stock prices and exchange rates among Taiwan, Japan, South Korea, Germany, England and France by using Unit Root test, Johansen Cointegration, Vector Auto Regression Model (VAR), Vector Error Correction Model (VECM), Impulse Response and Forecast Error Variance Decomposition, researched period from January 1, 2000 to June 30, 2005, will explore mutual relationships between long-term and short-term periods for unit country, region and cross regions respectively and obtains the results as below.

Firstly, the result of unit root test shows the original data of Taiwan, Japan, South Korea, Germany, England and France are nonstationary time serials. However, they are all stationary after using first difference.

Secondly, there are cointergration vector and long-term equilibrium relationships in stock prices revealed from Johansen Cointergration test among cross regions of Taiwan, Japan, South Korea, Germany, England and France. It implies that investors can make profits in investment of cross regions through mutual prediction. On the contrary, they can disperse risk by taking different portfolios.

Thirdly, according to the tests of VAR and VECM, there are feedback relations between returns of stock price and exchange rate in Taiwan. The returns of stock prices are unidirectional leading the returns of exchange rates in Korea and Germany. The return of stock price in Japan and the return of exchange rate in Korea affect those in Taiwan respectively. The returns of stock price in Germany and France are unidirectional leading those in England.

Fourthly, from the analysis of Impulse Response and Forecast Error Variance Decomposition, we find the returns of exchange rate are mainly affected by the returns of stock prices in most countries. In addition, the returns of stock prices and exchange rates have higher explanation facing itself respectively, and the explanation of returns of stock prices is higher than that of returns of exchange rates.
中文摘要……………………………………………………………………………i
英文摘要…………………………………………………………………………...ii
誌謝………………………………………………………………………………..iii
目錄…………………………………………………………………………….….iv
表目錄……………………………………………………………………….......…v
圖目錄…………………………………………………………………………….vii
第一章、緒論………………………………………………………………………1
第一節、研究動機……………………………………………………………1
第二節、研究目的……………………………………………………………5
第三節、研究架構……………………………………………………………6
第二章、文獻回顧…………………………………………. ……………………..8
第一節、國外文獻……………………………………………………. …..…8
第二節、國內文獻…………………………………………………………..10
第三章、研究方法………………………………………………………………..18
第一節、單根檢定…………………………………………………………..18
第二節、共整合檢定……………………………………………………….22
第三節、向量自我迴歸模型……………………………………………….25
第四節、誤差修正模型…………………………………………………….26
第五節、衝擊反應分析…………………………………………………….28
第六節、預測誤差變異數分解…………………………………………….30
第四章、實證結果與分析……………………………………………………….31
第一節、資料來源與處理………………………………………………….31
第二節、實證資料之基本分析…………………………………………….31
第三節、單根檢定…………………………………………………………..41
第四節、共整合檢定……………………………………………………….46
第五節、向量自我迴歸模型……………………………………………….60
第六節、向量誤差修正模型……………………………………………….71
第七節、衝擊反應分析…………………………………………………….73
第八節、預測誤差變異數分解…………………………………………….84
第五章、結論與建議…………………………………………………………….96
第一節、研究結論………………………………………………………….96
第二節、後續研究建議……………………………………………………100
參考文獻…………………………………………………………………………101
一、中文部分

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,第5卷第4期,第451-465頁。

王毓敏(1998),「台灣地區股票市場與外匯市場間報酬與波動性外溢效果之研究」,台北銀行月刊,第二十八卷第十二期,第159-171頁。

李承翰(1988),「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。

李崇主與劉祥熹 (2000),「台灣地區外資,匯率與股價聯性之研究:VAR 與VECM 之應用」,證券市場發展,第十二卷第三期,第1-41頁。

何國誠(2004),「金融風暴前後亞洲四小龍與美、日間股匯市之整合性及相互關聯性」,國立中興大學財務金融研究所碩士論文。

高志宏(2003),「台灣、日本、韓國股匯市與美國股市相關性之實證研究-GARCH-in-Mean模式之應用」,東吳大學經濟學系碩士論文。

殷惠緡(2001),「股價與匯價關聯性分析---多變量GARCH模式運用」,淡江大學財務金融學系碩士論文。

郭耀成(1996),「股價與匯率長短期關係之探討」,國立中正大學企業管理研究所碩士論文。

黃伯乙(2004),「歐元匯價與歐洲主要國家股市之關聯性研究」,長庚大學企業管理研究所碩士論文。

曾林鈴(2002),「匯率對股價的影響-以台灣、香港、大陸B股市場為例」,國立成功大學企業管理研究所碩士論文。


張英信(1999),「東亞主要國家股價與匯率關聯性研究」,國立中興大學企業管理研究所碩士論文。

張裕鑫(2001),「歐元成立對台灣貿易及股市之影響」,國立成功大學企業管理學系碩士論文。

溫晉慶(2000),「東亞各國外資與股票市場、外匯市場的相關性」,國立成功大學企業管理學系碩士論文。

錢盡忠(1988),「台灣地區匯率與股票價格關係之研究」,國立政治大學企業管理研究所碩士論文。

蘇英谷(2000),「匯率波動對股價報酬之影響-條件變異數不對稱模型實證研究」,淡江大學財務金融學系碩士論文。


二、英文部分

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Bahmani-Oskooee, M. and Domac, I., 1997. “Turkish Stock Prices and the Value of Turkish Lira.” Canadian Journal of Development Studies 18: pp.139-150
Choi, J. J., 1995. “The Japanese and U.S. Stock Prices: A Comparative Fundamental Analysis.” Japan and the World Economy 7: pp.347-360.

Chow, E.H., Lee, W.Y. and Solt, M.S.,1997, “The Exchange Rate Risk Exposure of Asset Returns”, Journal of Business, 70, pp.105-123.

Dickey, D.A. and Fuller, W.A., 1981. “Likelihood ratio statistics for autoregressive time series with a unit root” Econometrica, 49 ,pp.1057-72.

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Dickey, D.A. et al., 1991. “A Primer on Cointegration with an Application to Money and Income.”, Federal Reserve Bank of St. Louis Review,pp.58-78

Dropsy, V. and Nazarian-Ibrahimi, F., 1994. “Macroeconomic policies, exchange rate regimes and national stock markets.”, International Revies of Economics and Finance, 3(2), pp.195-220.

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Engle, R. F. and Yoo, B. S. (1987). “Forecasting and testing in cointegrated system.” Jour- nal of Econometrices, Vol.35, pp.143-60.

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Gonzalo, J., 1994, “Five Alternative Methods of Estimating Long-Run Equilibrium Relationships.” Journal of Econometrics 60(1-2), pp.203-233.

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Granger, C.W.J., 1987. “Testing for Causality:A personal Viewpoint.” Journal of Economic Dynamics and Control, Vol.2., pp.329-352.

Granger, C. W.J., Huang, B.N. and Yang, C.W., 2000 “A bivariate causality between stock prices and exchange rates: evidence from recent Asian flu” The Quarterly Review of Economics and Finance 40, pp337-354.

Johansen, S., 1988. “Statistical Analysis of Cointegration Vectors.”, Journal of Economic Dynamics and Control, pp231-254.

Johansen, S., 1991, “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models.” Econometrica, 59, pp.1551-1580.

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