臺灣博碩士論文加值系統

本研究在探討跨國股市資訊傳遞效果，以台灣加權股價指數、美國S＆P500、中國上海綜合指數為研究對象討論各國之關聯性。本文探討在全球國際金融市場一直處與領導地位的美國，以及在亞洲區域經濟的主要市場-中國，對台灣市場的影響差異。尤其在次級房貸風暴後，一連串的國際金融事件影響，各國間的股市傳遞效果更為顯著。本文另一研究重點在分析次級房貸風暴前後，三股票市之交互影響。文中運用共整合分析，再利用VAR向量自我迴歸模型、VECM誤差修正模型、衝擊反應分析、來探討這三市場間的互動關係。由共整合分析顯示次級房貸前三市場並無共整合之關係，而次級房貸風暴後三市存在顯著共整合關係。由VAR向量自我迴歸模型分析顯示次級房貸前美國為台灣主要的資訊傳遞來源，而大陸對台灣股市並不存在短期的資訊傳遞效果。VECM誤差修正模型探討短期互動現象，當三市場呈現偏離時，將在短期間回復到長期的均衡關係，隱含投資人可藉由三市場的偏離，尋找套利投資的機會。台灣股市於次級房貸風暴前後皆受美國股市的影響，但在次級房貸後大陸股市對台灣股市亦呈現傳遞的影響。實證結果顯示，美國、中國與台灣在風暴前並不存在共整合關係。但在風暴後則顯示顯著的共整合關聯，說明金融風暴對全球市場的整合產生結構性的影響。

This study examines the effects of cross-market information flow to the Taiwan Weighted Stock Index, the U.S. S & P500, and China's Shanghai Composite index and the relationship between the studied countries stocks. The international financial market has been the global leader in the United States, the regional economy in Asia, major markets such as China. This article discusses differing behaviors in the Taiwan market.With the recent subprime mortgage crisis that triggered a series of international financial events, the stock transfer between countries has yielded significant results. Another focus of this study is the before and after analysis of the subprime mortgage crisis and the interactions between the three previously mentioned stock markets. This study makes use of cointegration analysis, VAR model analysis, VECM error correction model and impulse response analysis. the future of this interaction between the three markets. Cointegration analysis of the subprime mortgage market shows that three co-integration relationships exist between the markets. VAR model analysis shows that for subprime mortgages before the crisis, the United States is Taiwan's main source of information transmission, while with the mainland shows no short-term effects of information transfer. VECM analysis of the phenomenon implies that investors may deviate from the three markets, looking for arbitrage investment opportunities. Taiwan's stock market during the subprime mortgage crisis is shown to be subject to the U.S. stock market before and after the impact, but the mainland has shown to also have impact on the Taiwan stock market. The empirical results show that the United States, China and Taiwan before the storm had no correlation existing. However, after the crisis, the associated financial turmoil on global markets indicates a structural integration of the markets.

誌 謝 i
論文摘要： ii
Abstract： iii
表目錄 vii
圖目錄 viii
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究目的 4
第三節 研究對象與期間及資料處理 5
第四節 研究條件限制 7
第五節 研究架構與流程 8
第二章 文獻回顧與探討 9
第一節 國際金融巿場整合之相關理論研究 9
第二節 國內外有關國際股市連動性之相關研究 11
第三章 研究方法 21
第一節 單根檢定 21
第二節 共整合檢定 24
第三節 向量自我迴歸模型 26
第四節 向量誤差修正模型 27
第五節 衝擊反應分析 28
第四章 實證結果分析 30
第一節 資料收集與整理說明 30
第二節 相關性分析 34
第四節 共整合檢定 37
第五節 向量自我迴歸模型 39
第六節 向量誤差修正模型 41
第七節 衝擊反應分析 43
第五章 結論 45
參考文獻 47

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