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博碩士論文 etd-0731112-123831 詳細資訊
Title page for etd-0731112-123831
論文名稱
Title
臺灣以及中國與其主要貿易國證券市場關連性之研究
The Study on the Stock Market Linkages between Taiwan and China with Their Main Trading Countries
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
91
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
2012-07-13
繳交日期
Date of Submission
2012-07-31
關鍵字
Keywords
Granger因果關係檢定、共整合檢定、單根檢定、股票市場關聯性、傳遞效果、向量誤差修正模型、一般化自我迴歸條件異質模型(GARCH)
Transmission effect, Stock Linkages, GARCH, Granger Causality Test, Vector Error Correction Model, Cointegration Test, Unit Root Test
統計
Statistics
本論文已被瀏覽 5662 次,被下載 355
The thesis/dissertation has been browsed 5662 times, has been downloaded 355 times.
中文摘要
本論文旨在針對臺灣與中國股票指數受其所往來之前五大貿易國的影響進行研究。研究所使用之資料,由2000年1月2日至2010年5月10日止,總數為10年的日資料,約2500筆資料。
在利用單根檢定、共整合檢定、向量自我迴歸、向量誤差修正模型、因果關係檢定、自我相關檢定、異質性檢定以及單元與雙元GARCH模型檢定,進行臺灣以及中國與五大貿易國股市關聯性之實證分析後,可歸納出下列結論:
(1)臺灣、中國、美國、日本、香港與南韓等國之股票指數皆具一階單根特性,即在經一階差分處理皆己呈現定態;(2)臺灣以及中國與各國之間不存在長期均衡之整合性市場,其存在套利活動空間;(3)中國對臺灣是落後之關係,而其它國家卻對臺灣有領先關係,又對中國而言,除南韓與中國不具相互關係外,其餘各國對中國皆具有領先關係,此顯示投資人可以觀察各國股票指數的變化預測臺灣與中國股票指數之趨勢;(4)各國股票指數對臺灣與中國之股票指數是具有隨時間經過而改變的影響現象;(5)各國股票指數皆能有效的去預測自身股票指數,而臺灣以及中國之五大貿易國股票指數,也可用於預測臺灣與中國之股票指數之波動,此研究結果亦有助於投資人進行套利性決策與活動。
本研究結果得知,在時間序列分析的過程中,前五大貿易國確實是能有效地協助投資者進行短期的套利性決策與活動,但唯有在時間性之因果關係上,是臺灣對中國具有領先關係,又南韓與中國是不具相互關係。此實證之發現是,確實與一般性思維有所差異。
Abstract
This study presents our attempt to examine the linkages and to investigate the linkage of stock price indexes among Taiwan, China and its major trading countries. Our empirical analysis employs daily data on stock price indexes over the period of January 2, 2000 to May 10, 2010. The total number of observations is about 2500.
This study employ a sequence of time-series methodologies, including unit root test, cointegration test, vector error correction model, Granger causality test, Criterion, autocorrelation test, heteroscedasticity test, GARCH and Bi-GARCH.
The findings of this study as follows. First, after first difference, every stock price indexes series all became stationary. Second, we found there has no long-run interrelationship among these stock markets. Third, we found that Taiwan’s stock market exits leading role to China’s stock market, but other countries’ stock market lead Taiwan’s stock market. For China, the stock market of United States, Japan, Taiwan and Hong Kong has a leading role to China’s stock market. Only the rela-tionship between South Korea and China’s stock market is independent. Forth, the result of autocorrelation test and ARCH test indicates that the influence of stock price indexes of major trading countries to Taiwan and China’s stock price index has changed over time. Finally, the result of study indicates that every stock market can forecast its future trend by using its past stock data and investor can use the past stock data of stock market of major trading countries to forecast Taiwan and China’s stock market.
目次 Table of Contents
誌謝 ii
摘要 iii
Abstract iv
目錄 v
圖目錄 viii
表目錄 ix
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 6
第三節 研究架構 7
第四節 研究流程 9
第五節 研究資料分析流程 10
第六節 研究範圍與限制 12
一、研究範圍 12
二、研究限制 15
第貳章 文獻探討 16
第一節 臺灣、中國於全球經濟中互相依賴之相關文獻 16
第二節 貿易與股票市場之相關文獻 20
第三節 國際股票市場連動性之相關文獻 23
一、國際股票市場領導相關文獻 23
二、區域股票市場關聯性之相關文獻 27
三、事件影響股票市場關聯性之相關文獻 28
第參章 研究方法 34
第一節 單根檢定(Unit Root Test) 34
第二節 共整合檢定(Cointegration Test) 35
第三節 向量自我廻歸(Vector Auto-Regression)模型 37
第四節 向量誤差修正模型(Vector Error Correction Model) 38
第五節 Granger因果關係檢定(Granger Causality Test) 40
第六節 ARMA(p,q)模型及其配適度 41
一、ARMA(p,q)模型 41
二、ARMA(p,q)模型之估計 42
第七節 單元與雙元之一般化自我廻歸條件變異數模型(GARCH and Bi-GARCH) 43
第八節 異質性檢定 45
第九節 樣本外預測與評估 45
第肆章 實證研究 47
第一節 敘述統計分析 47
第二節 傳遞效果分析 48
一、單根檢定 48
二、共整合檢定 49
三、Granger因果關係檢定 50
第三節 臺灣、中國、美國、日本、香港與南韓之股票指數之ARIMA模型 52
第四節 臺灣、中國、美國、日本、香港與南韓之股票指數之ARIMA-GARCH模型 55
一、臺灣、中國、美國、日本、香港與南韓之股票指數之ARCH效果分析 55
二、臺灣、中國、美國、日本、香港與南韓之股票指數之GARCH模型 56
三、臺灣、中國、美國、日本、香港與南韓之股票指數之ARIMA-GARCH模型 57
四、臺灣、中國、美國、日本、香港與南韓之股票指數之ARIMA-GARCH模型的樣本外預測 58
第五節 臺灣以及中國股票指數受其前五大貿易國傳遞效果影響程度分析 60
一、交叉相關係數圖分析 60
二、轉換變異係數(transformed variance coefficients)分析 63
第六節 雙元時間序列之樣本外預測 65
第伍章 結論與建議 66
第一節 結論 66
第二節 建議 71
參考文獻 73
中文部份 73
專書 73
期刊論文 73
研討會論文 73
英文部份 74
專書 74
期刊論文 75
學位論文 80
網際網路 80
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