Responsive image
博碩士論文 etd-0715111-100653 詳細資訊
Title page for etd-0715111-100653
論文名稱
Title
股票與外匯市場動態關係-亞洲地區實證分析
Stock Prices and Exchange Rate Dynamics:The Evidence for Asian Area
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
58
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2011-06-29
繳交日期
Date of Submission
2011-07-15
關鍵字
Keywords
向量誤差修正模型、共積、外匯市場、股票市場、自我迴歸條件異質變異模型
multivariate GARCH, cointegration, stock markets, foreign exchange markets, vector error correction model (VECM)
統計
Statistics
本論文已被瀏覽 5730 次,被下載 0
The thesis/dissertation has been browsed 5730 times, has been downloaded 0 times.
中文摘要
本文透過Herwartz and Luetkepohl (2011) 的共積方法來探討股票市場與外匯市場間的動態調整關係。而與以往不同的是在本文中是考慮誤差項存在條件異質變異的向量誤差修正模型,並且使用可行的一般化最小平方法來估計共積向量。
然而本研究對部分亞洲國家來做實證探討,樣本期間為1997年至2010年。實證結果說明了馬來西亞與新加坡這兩個國家的股票市場與外匯市場間呈現正向相關;而香港的實證結果則顯示股票市場與外匯市場呈負向相關。
Abstract
This study explores the dynamics between stock price and exchange rates through the cointegration methodology proposed by Herwartz and Luetkepohl (2011). Moreover, it consider the vector error correction model (VECM) with conditional heteroscedastic variance. And we use a feasible generalized least squares (FGLS) estimator to estimate the cointegrating vector.
This paper analysis some Asian countries' data from 1997 to 2010. The evidence result suggests that Malaysia and Singapor's stock price and exchange rate are positively related. But Hong Kong's stock price is negatively related to exchange rate.
目次 Table of Contents
1. 緒論 ................................................................1
1.1 研究動機...................................................1
1.2 研究目的...................................................2
1.3 本文架構...................................................2
2. 理論與文獻探討.............................................3
2.1 匯率與股價相關理論...............................3
2.2 匯率與股價文獻探討...............................4
3. 研究方法.........................................................7
3.1 單根檢定 ..................................................7
3.2 最適落後期數.........................................11
3.3 共積檢定.................................................12
3.4 向量誤差修正模型.................................19
3.5 自我迴歸條件異質變異模型.................21
3.6 VECM-GARCH模型..............................24
3.7 VECM-GARCH模型的估計..................26
3.8 VECM-GARCH模型的共積數量..........30
4. 實證分析.......................................................32
4.1 資料來源.................................................32
4.2 單根檢定.................................................33
4.3 共積檢定.................................................36
4.4 VECM-GARCH模型估計.......................40
5. 結論與建議....................................................43
5.1 結論..........................................................43
5.2 建議..........................................................44
參考文獻.............................................................45
附錄I....................................................................48
附錄II...................................................................50
參考文獻 References
• 吳佩珊、鄭婉秀和邱建良 (2002), 「貨幣政策、外匯市場與股票市場間恆常與暫時波動性之分析」, 《商管科技季刊》, 3, 頁161-177.

• 陳仕偉、陳俊偉 (2006), 「台灣股票及外匯市場價量非線性因果關係之探討」, 《經濟與管理論叢》, 2, 頁21-51.

• 楊奕農 (2010), 「時間序列分析-經濟與財務上之應用」, 雙葉書廊有限公司.

• 鄭婉秀、吳佩珊、陳君達和陳玉瓏 (2005), 「貨幣政策、匯率與股價關聯性之探討:GARCH-IRF模型之應用」, 《朝陽商管評論》, 4, 頁73-92.

• Aggarwal, R. (1981), “Exchange Rates and Stock Prices: A Study of U.S Capital Market under Floating Exchange Rates,” Akron Business and Economic Review, 7-12.

• Ajayi, R. A. and M. Mougoue (1996), “On the Dynamic Relation between Stock Price and Exchange Rates,” The Journal of Financial Research, 2, 193-207.

• Branson, W. H. and D. W. Henderson (1985), “The Specification and Influence of Asset Markets,” in R. W. Jones and P.B. Kenen eds., Handbook of International economics, 2, 749-805.

• Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31, 307-327.

• Bollerslev, T. (1990), “Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model”, The Review of Economics and Statistics, 72, 498-505.

• Caporale, G. M. and N. Pittis (1997), “Causality and Forecasting in Incomplete Systems,” Journal of Forecasting, 16, 425-437.

• Cavaliere , G., A. Rahbek and A. M. R. Taylor (2010), “Cointegration Rank Testing under Conditional Herteroskedasticity,” Econometric Theory, 1-42.

• Dickey, D. A. and W. A. Fuller (1979), “Distribution of the Estimators for Autoregressive Times Series with a Unit Root,” Journal of the American Statistical Association, 74, 427-431.

• Dornbusch, R. and S. Fischer (1980), “Exchange Rates and the Current Account,” The American Economic Review, 70, 960-971.

• Elliott, G., T. J., Rothenberg, and R. F. Stock (1996), “Efficient Tests for an Autoregressive Unit Root,” Econometrica, 64, 813-836.

• Engle, R. F. (1982), “Autoregressive Condition Heterskedasticity with Estimates of the Variance of UK Inflation,” Econometrica, 55,987-1008.

• Engle, R. F. and C. W. J. Granger (1987), “Cointegration and Error Correction: Representation, Estimation and Testing,” Econometrica, 55, 251-276.

• Gavin, M. (1989), “The Stock Market and Exchange Rate Dynamics,” Journal of International Money and Finance, 8, 181-200.

• Granger, C. W. J. and P. Newbold (1974), “Spurious Regression in Econometrics,” Journal of Econometrics, 2, 111-120.

• Herwartz, H. and H. mbox{L}ddot{mbox{u}}mbox{tkepohl} (2011), “Generalized Least Squares Estimation for Cointegration Parameters under Conditional Heteroskedasticity,” Journal of Time Series Analysis, 32, 281-291.

• Johansen, S. (1988), “Statistical Analysis of Cointegration Vector,” Journal of Economic Dynamics and Control, 12, 231-254.

• Johansen, S. and K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration - with Applications to the Demand for Money,” Oxford Bulletin of Economics and Statistics, 52, 169-210.

• mbox{L}ddot{mbox{u}}mbox{tkepohl}, H. (1982), “Non-Causality Due to Omitted Variables,” Journal of Econometrics, 19, 367-378.

• Ma, C. K. and G.W. Kao (1990), “On Exchange Rate Changes and Stock Prices Reactions,” Journal of Business Finance and Accounting, 441-449.

• Nelson, C. R. and C. I. Plosser (1982), “Trends and Random Walks in Macroeconomic Time Series,” Journal of Monetary Economics, 129-162.

• Phylaktis, K. and F. Ravazzolo (2005), “Stock Prices and Exchange Rares Dynamics,” Journal of International Money and Finance, 24, 1031-1053.

• Said, E. S. and D. A. Dickey (1984), “Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Ordor,” Biometrika, 71, 599-607.

• Schwert, G. W. (1989), “Tests for Unit Roots:A Monte Carlo Investigation,” Journal of Business and Economic Statistics, 7, 147-160.

• Seo, B. (2007), “Asymptotic Distribution of the Cointegrating Vector Estimator in Error Correction Models with Conditional Heteroskedasticity,” Journal of Econometrics, 137, 68-111.

• Shleifer, A. (1986), “Do Demand for Stock Slope Down?,” Journal of Finance, 41, 579-590.

• Soenen, L. A. and E. S. Hennigar (1988), “An Analysis of Exchange Rates and Stock Prices - The US Experience between 1980 and 1986,” Akron Business and Economic Review, 7-16.
電子全文 Fulltext
本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。
論文使用權限 Thesis access permission:校內校外均不公開 not available
開放時間 Available:
校內 Campus:永不公開 not available
校外 Off-campus:永不公開 not available

您的 IP(校外) 位址是 3.234.212.253
論文開放下載的時間是 校外不公開

Your IP address is 3.234.212.253
This thesis will be available to you on Indicate off-campus access is not available.

紙本論文 Printed copies
紙本論文的公開資訊在102學年度以後相對較為完整。如果需要查詢101學年度以前的紙本論文公開資訊,請聯繫圖資處紙本論文服務櫃台。如有不便之處敬請見諒。
開放時間 available 已公開 available

QR Code