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研究生:陳仁豪
研究生(外文):Ren-Hao Chen
論文名稱:匯率與股價指數之動態關聯-台、韓金融海嘯前後實證分析
論文名稱(外文):The Dynamic Linkage between the Exchange Rate and Stock Index-Evidence from Taiwan and Korea before and after Financial Crisis of 2008
指導教授:陳思寬陳思寬引用關係
指導教授(外文):Shi-Kuan Chen
口試委員:萬哲鈺張銘仁
口試日期:2015-05-22
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:國際企業學研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
語文別:中文
論文頁數:63
中文關鍵詞:股價指數匯率單根檢定共整合向量自我回歸向量誤差修正衝擊反應函數2008金融海嘯
外文關鍵詞:Stock Price IndexExchange RateUnit Root TestCointegrationVARVECMImpulse Response FunctionThe 2008 Financial Crisis
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本研究主要在探討台灣與韓國在2008年之金融海嘯前、後,其股價指數及匯率之間的連動性。台灣與韓國素來在產業結構與股市結構皆極為相似,大致來說,產業均以高科技業為主軸,而外資佔股市市值總額均約30%至40%左右,同樣的,兩國亦差不多在1980年代與1990年代進行金融自由化,包括了資本移動管制的鬆綁,以及匯率操控的減少,而這兩項因素也正是股市與匯市之最主要的關聯性來源。
台灣在經過金融開放之過程後,目前仍存在資本移動管制與匯率操控,相對的,韓國在此兩項則是近乎完全開放。因此台灣可被視為保守穩健,韓國則是激進快速,兩者皆有利弊,保守穩健可使台灣較不易受到國際情勢影響,但經濟成長緩慢,激進快速則是經濟成長迅速,但國外情勢易傳遞至國內,造成股、匯市大幅震盪。
本文先進行ADF單根檢定,並確認所有變數均為同階定態,再進行Engle-Granger共整合檢定,若存在共整合則繼續以向量誤差修正模型(VECM)分析變數之長期與短期關聯,反之,若無共整合則以向量自我回歸模型(VAR)分析短期情況,最後,再輔以衝擊反應函數與預測誤差之變異分解,探討其受到衝擊後可於多久時間收斂。
實證結果為,台灣不論在金融海嘯前或後,股價指數與匯率均不存在共整合,韓國在金融海嘯前亦如此,但在金融海嘯之後卻出現了共整合關係,顯見其股、匯市出現了長期關聯性。合理的理由可能來自於台灣中央銀行以保守穩健為原則,經常介入匯市,以及資本移動管制仍相當嚴格;而韓國雖然為浮動匯率制且對資本移動管制近乎完全開放,但在2004至2008年期間,有以下兩點因素導致其無共整合現象,分別是韓國央行發行貨幣穩定債券(Monetary Stabilization Bonds)與外資入主當地銀行有關;隨後,即便在金融海嘯之後,韓國仍沒有提高資本移動管制與匯率操控,取而代之的,改以間接性政策從旁著手,例如不阻止韓圜貶值,促使自我穩定機制產生,以及支持外匯流動性,另外,更在2009年推出了〈金融投資服務及資本市場法〉,大幅鬆綁金融商品可投資的範圍,顯見韓國加速資本開放的決心。
因此,台灣與韓國的金融自由化過程,雖都在同一時期建立法律基礎,但由於台灣保守、韓國激進,故導致往後遭遇國際經濟危機時有不同的處境,2008年之金融海嘯正是一個例子,因此本文希望藉由台、韓之政策比較,試圖找出其中的平衡點。


The main purpose of this paper is to investigate the dynamic linkage between stock price index and exchange rates from Taiwan and Korea, before and after the 2008 financial crisis. Taiwan and Korea are similar in industrial as well as stock market structure. Generally speaking, both develop high technology as main industry, and foreign capital all accounts for 30 to 40% in total stock market value. Besides, they enforced financial liberalization during 1980s and 1990s, including the deregulation of international capital movement and the cutting down control of exchange rate, both of which are the major sources for the linkage between stock and foreign exchange markets.
During the process of financial liberalization, Taiwan has lifted little regulation of international capital movement and control of exchange rate, and even to date; conversely, Korea is the opposite. Taiwan could be viewed as conservative and stable, while Korea could be regarded as active and prompt. The former keeps it in a safer position from global financial crisis, though bearing a lower rate of economic growth; the latter enjoys prosperous economy, but exposes itself to foreign condition, resulting in the increasing fluctuations of stock and foreign exchange markets.
As for the methodology, first of all, ADF unit root test is performed to ensure that all variables are stationary. Second, Engle-Granger cointegration test is conducted, once the cointegration relation is found, the vector error correction model (VECM) is adopted to analyze short-term as well as long-term relations among variables. However, the vector autoregression(VAR) method is applied instead if the cointegration test was rejected. Finally, the impulse response function and forecast error variance decomposition help to explore how much time would it take from the beginning of shocks to convergence.
The empirical result shows that there’s no cointegration before and after the 2008 financial crisis for Taiwan, and so is Korea before the 2008 financial crisis. However, in the aftermath of the crisis, Korea starts to show cointegration relation, meaning a long-term linkage among variables. And the results may be attributed to the interruption of foreign exchange market by central bank in Taiwan, who always deems stability of exchange rate as its top priority. Furthermore, regulation of international capital movement still maintain at a highly strict level. On the other hand, for Korea, though till the end of 1990s, it had turned into floating exchange rate regime and abolished control of international capital movement, the issuance of Monetary Stabilization Bonds and domination of local financial institutes by foreign capital contributed to no cointegration. After the crisis, Korea let its currency depreciate as it should be and supported liquidity of foreign exchange, simultaneously, the law of Financial Investment Services and Capital Market Act was enforced in 2009, these all together brought cointegration.
All in all, both of the countries had established the foundation of financial liberalization at the same periods, nevertheless, owing to different attitudes, one conservative, and the other one active, they had put themselves into different predicaments while encountered global economic crisis. Last but not least, this thesis aims at finding the balance between Taiwan and Korea by means of comparing the policies they had implemented.


誌謝 I
中文摘要 II
Abstract IV
目錄 VII
表目錄 X
圖目錄 XI
第一章 緒論 1
1.1 研究背景 1
1.2 研究目的 2
1.3 研究架構 3
第二章 文獻回顧與理論探討 6
2.1 金融海嘯對台、韓股市之影響 6
2.2 金融海嘯對台、韓匯率之影響 7
2.3 文獻探討 10
2.4 相關理論 14
第三章 研究方法 17
3.1 單根檢定 17
3.2 Engle-Granger兩階段共整合檢定 18
3.3 Johansen共整合檢定與向量誤差修正模型(VECM) 19
3.4 向量自我迴歸(VAR) 22
3.5 衝擊反應函數 24
3.6 預測誤差之變異分解 26
第四章 實證分析 28
4.1 參數定義與資料來源 28
4.2 台灣金融海嘯前後實證分析 30
4.2.1 單根檢定與Engle-Granger兩階段共整合檢定 30
4.2.2 向量自我迴歸 33
4.2.3 衝擊反應函數 36
4.2.4 預測誤差之變異分解 39
4.3 韓國金融海嘯前後實證 41
4.3.1單根檢定與Engle-Granger兩階段共整合檢定 41
2.3.2 VAR與向量誤差修正模型(VECM) 43
2.3.3 衝擊反應函數 48
2.3.4 預測誤差之變異分解 51
第五章 結論與建議 54
5.1 研究結論 54
5.2 限制與建議 56
參考文獻 60


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