臺灣博碩士論文加值系統

本文利用與時共變迴歸，探討亞洲四小虎股市與中國、美國股市的連動性，以了解中國、美國與亞洲四小虎間的股價資訊傳遞情形。利用1992年至2012年共8663筆週資料，並將研究樣本劃分為全部樣本期間、亞洲四小虎匯率制度改變前後、東協加一建立前後三個部分。研究結果發現，中國股市對亞洲四小虎股市的影響力，在亞洲四小虎匯率制度改變後都比改變前來的強，在東協加一建立後，中國股市對亞洲四小虎股市的影響力更加提升。美國股市則在本研究所劃分的三個期間中，在全部樣本及東協加一建立前後皆發揮著影響力。在亞洲四小虎匯率制度改變前後方面，美國僅在泰國與菲律賓匯率制度改變前看不到顯著的影響力，其餘時間亞洲四小虎股市與美國股市皆呈現正向連結的現象。
本研究也發現，雖然亞洲四小虎股市與美國股市在本文所有研究期間皆呈現正向連結的現象，但是在全球金融海嘯發生後，美國股市對亞洲四小虎股市的影響力有降低的情形。反觀中國股市，在東協加一建立後，其對亞洲四小虎股市的影響力已與美國股市並駕齊驅，表示在近年來，中國股價資訊對亞洲四小虎股市的影響力，已經與美國不相上下。

This study discusses the stock co-movement between Tiger Cub Economics (included Indonesia, Thailand, Malaysia, and Philippines) and China, United States through time-varying regressions to understand information transmission between those countries. Using totally 8,663 weekly data from 1992 to 2012, and distinguish research data into three parts including full sample period, before and after exchange rate regime change in Tiger Cub Economics, as well as before and after ASEAN–China Free Trade Area (ACFTA) established. The empirical result shows that the influence of China stocks to the stock of Tiger Cub Economics is stronger after exchange rate regime change in Tiger Cub Economics, and much stronger after ACFTA established. During three periods, the stock of United States has influence in full sample period and ACFTA established. During the period of exchange rate regime change in Tiger Cub Economics, United States only has no significant influence in Thailand and Philippines, but shows positive influence to others. During other periods, the stock between United States and Tiger Cub Economics shows positive connection.
This study also finds the stock between United States and Tiger Cub Economics shows positive connection, but after the global financial crisis, the influence of the stock of United States to the stock of Tiger Cub Economics decrease. In contrast, after ACFTA established, the influence of China stocks to the stock of Tiger Cub Economics is keeping pace with the stock of United States. The result points out the influence for stocks information of China to Tiger Cub Economics is equally the same as United States.

摘 要 i
ABSTRACT ii
誌 謝 iii
目 錄 iv
表目錄 V
圖目錄 vi
第一章 緒論 1
第一節　研究背景與動機 1
第二節　研究目的 3
第三節　研究流程 4
第二章 文獻回顧 6
第三章 研究設計 8
第一節　資料來源 　8
第二節　樣本處理 8
第三節　研究方法 　9
第四章 實證結果與分析 13
第一節　敘述性統計 13
第二節　實證結果 20
第五章 結論與建議 53
第一節　結論 53
第二節　建議 55
參考文獻 56
附錄一 亞洲四小虎與越南1992年至2012年GDP與GDP
成長率 57
附錄二 亞洲四小龍1992年至2012年GDP與GDP成長率 58
附錄三 亞洲四小虎1992年至2012年最大進口國 59

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