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研究生:林孟加
研究生(外文):Meng-Chia Lin
論文名稱:亞太股市關聯性之研究
論文名稱(外文):Research on the relations among Asia-Pacific stock markets
指導教授:鍾俊文鍾俊文引用關係
指導教授(外文):Chun-wen Chung
學位類別:碩士
校院名稱:東吳大學
系所名稱:國際經營與貿易學系
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
語文別:中文
論文頁數:72
中文關鍵詞:亞太股市報酬指數Granger因果關係
外文關鍵詞:Asia-Pacific stock marketsTotal return indexGranger causality
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在國際資金全球化的趨勢下,國際熱錢流動影響各國股票市場間波動程度的大小,對於投資人的投資策略而言具有相當程度的影響;而亞太地區在近二十年來,無論是經濟發展或貿易成長,皆有驚人之表現,並且成為許多國際投資人矚目的焦點。因此,本研究採用ADF單根檢定、Johansen共整合檢定、VECM向量誤差修正模型及Granger因果關係檢定等計量方法,來探討亞太地區台灣、日本、香港、新加坡、南韓、中國、澳洲、紐西蘭、美國股市間之連動關係,以1993年1月至2009年12月之月資料進行實證分析。
此外,考慮物價上漲因素後,股利再投資的複利效果更形重要,而股利再投資對長期投資報酬率的貢獻也將高於資本利得,故本研究將以亞太各國股市的報酬指數作為計算基礎。再者,由於亞太各國間股市休市的日期並不相同,若為選取日資料勢必將某些國家的部份資料刪除,此舉可能對研究結果產生影響,造成本研究極大困擾。因此,本研究資料頻率採取月資料,以解決上述問題。
本研究所得實證結果發現,亞太各國股市間存在共整合關係,尤其是中國與其他亞太各國股市間,可觀察到長期的共整合關係,澳洲、香港股市亦同。由Granger因果關係檢定結果可知,美國與日本股市對亞太各國股市較無領先、落後關係;中國股市的變動會影響澳洲、香港、南韓、紐西蘭、新加坡的股市,然而中國卻不受這些國家或其他亞太股市的變動所影響,因此,可確認中國股市為亞太股市中最具影響力的國家。
In the trend of international capital’s globalization, the scale of the international hot money’s effect on the fluctuation between individual stock market has significant influence on investor’s strategy. In the last two decades, the Asia-Pacific region has not only experienced surprising growth in both economic development and trade, but also attracted attention of many international investors. Therefore, this study employed quantitative methods, such as ADF unit root test, Johansen co-integration test, Vector Error Correction Model (VECM), and Granger causality test, to investigate the dynamic relationship among stock markets in Asia-Pacific region, including Taiwan, Japan, Hong Kong, Singapore, South Korea, China, Australia, New Zealand, and the America. Empirical analysis was conducted using data between January 1993 and December 2009.
In addition, the effect of compound interest yielded from dividend reinvestment has become more important in consideration of the factor of price inflation. As long-term return of investment derived from dividend reinvestment would be higher than capital gain, this study adopted total return index of each stock market in Asia-Pacific region as calculation base. Furthermore, as legal holidays of stock markets of Asia-Pacific countries are different, some data of some countries would be omitted if such holidays were collected incidentally, which would possibly cause influence on research results and became an annoying disturbance in the process of the study. In turn, this study retrieved monthly data to solve such problems.
In the empirical result of this study, co-integration relationship was found among stock markets of Asia-Pacific region, especially between China and countries of Asia-Pacific, where long-term co-integration relationship was observed, so was between Australia and New Zealand. The result of Granger causality test suggested that the stock markets of the America and Japan generally did not lead or follow those of Asia-Pacific stock markets. Floating of China stock market affected those of Australia, Hong Kong, South Korea, New Zealand, and Singapore; in contrast, China stock market was not affected by those of the above countries or of the Asia-Pacific region. From this it was justified that the stock market of China is the most influential among those of the Asia-Pacific countries.
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究架構 7
第二章 理論基礎與文獻探討 9
第一節 報酬指數 9
第二節 國際股市連動之相關理論探討 11
第三節 國際股市連動性實證分析之相關研究 13
第三章 研究方法 26
第一節 資料說明與處理 26
第二節 研究流程 28
第三節 計量方法說明 30
第四章 實證結果與分析 43
第一節 亞太各國股市報酬指數敘述統計與常態性檢定 45
第二節 單根檢定定態分析 49
第三節 亞太各國股市報酬指數報酬長期均衡關係 53
第四節 向量誤差修正模型分析 55
第五節 亞太各國股市報酬指數報酬因果關係 58
第六節 近期因果關係實證研究分析 63
第五章 結論與建議 65
第一節 結論 65
第二節 後續研究建議 68
參考文獻 69
附錄 72
中文部份
1.朱正修(2003),「台灣股市與國際股市連動性之研究」,國立成功大學統計研究學研究所碩士論文。
2.邱建良、李彥賢、鄒易凭(2005),「金融風暴對股市間波動性的連動性影響-ARJI模型」,真理財經學報,第13期,頁1-22。
3.吳銀釧(1998),「台灣與國際股市相關係數的時間數列分析及應用」,國立政治大學國際貿易研究所碩士論文。
4.陳思寬(2007),「東亞地區金融整合之實證分析」,中央銀行季刊,第29卷第4期,頁13-46。
5.楊筆琇(1999),「台灣電子指數與美國股價指數互動關係之實證研究」,國立成功大學企業管理研究所碩士論文。
6.楊奕農(2005),「時間序列分析」,臺北市,雙葉書廊。
7.廖珮真(1993),「美、日、港、新、台五國股市報酬率多元時間序列關聯性之研究」,國立台灣大學商學研究所碩士論文。
8.鍾俊文、羅靖霖(2007),「股價指數之編製與應用」,臺北市、臺灣經濟新報。
9.聶建中、林景春、詹凱婷(2004),「兩岸三地股價聯動性研究」,輔仁管理評論,第11卷 第2期,頁63-82。

英文部份
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3.Cheung, Y-W and Lai, K.(1993) “A fractional cointegration analysis of purchasing power parity.” Journal of Business and Economic Statistics 11, PP.103-112.
4.Chou,L. and Wu,C.S.(1998) “Modeling Taiwan Stock Market and International Linkages” 1998 NTU International Conference on Finance, Department of Finance, National Taiwan University
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9.Forbes,K. and Rigobon,R.(2002) “No Contagion Only Interdepenence: Measuring Stock Market Comovements” Journal of Finance,(5), PP.2223-2261
10.Ghosh,Asim,Saidi Reza and Johnson Keith H.(1999) “Who Moves the Asia-Pacific Stock Markets-US or Japan? Empirical Evidence-Based on the Theory of Cointegration” The financial Review,34, PP.159-170
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13.Granger,C.W.J.(1969) “Investigating Causal Relations by Econometric Models and Cross-Spectral Maethods” Econometrica 37, PP.424-438
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21.Liu,Y.A.,Pan,M.S.,Chan,K.C. and Shieh,J.C.P.(1993) “International transmission of stock market movements: Evidenceon the U.S. and five Asian stock markets” Journal of Economics and Finance, 22(1), PP.59-69
22.Nelson,C.R. and Plosser,C.I.(1982) “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications” Journal of Monetary Economics 10(2), PP.139-162
23.Miyakoshi, Tatsuyoshi(2001) “Notes on volatility spillover effects from Japan and the US to the Pacific-Basin.” Speech in National Normal University, Taiwan
24.Perman,R.(1991) “Cointrgration: An Introduction to the Literature” Journal of Economic Studies 18, PP.3-30
25.Salim,M.,Darbar and Partha.(1997) “Comovement in International Equity Markets” Journal of Financial Research(Fall 1997), PP.305-322
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