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題名：七大工業國家股市連動及保險與經濟成長關係之探討
作者：陳菁芝
作者(外文)：CHEN,CHIN-CHIH
校院名稱：逢甲大學
系所名稱：金融博士學位學程
指導教授：張倉耀
學位類別：博士
出版日期：2017
主題關鍵詞：股市連動；保險市場；經濟成長；小波分析；拔靴追蹤資料因果關係檢定法；Stock Co-movements；Insurance；Economic Growth；Wavelet Analysis；Bootstrap Panel Granger Causality Test
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本文基於股市連動相關理論以及保險促進經濟成長機理，利用小波分析與拔靴追蹤資料因果關係檢驗，對七大工業國組織間金融市場（股市、保險）和經濟成長的關係進行研究。股市連動結果表示：七大工業國組織間股市呈現橫跨全樣本區間的強烈連動關係，這一連動關係不僅涵蓋高頻連動，同時也涵蓋低頻連動，顯示股票市場之間的連動關係不僅取決於短期因素，同時也取決於長期因素，即實體經濟因素。進一步將經濟成長作為控制變數後，發現各國股市在低頻（長期）範圍內的正向連動效應得到極大減弱，進一步反映國家間實體經濟、國際貿易方面能反映股市的長期連動。保險與經濟成長的追蹤資料因果關係檢驗顯示：保險市場與經濟成長之間的關係存在複雜性，此複雜性符合現實中各國保險市場發展和經濟發展規律。總體上來看，儘管存在差異性，各國金融市場和實體經濟之間的確存在密切的關聯。此結論對發達國家合理調整金融市場和實體經濟之間的關係具有深遠的現實意義，同樣對全球其他經濟體（如新興國家等）也具有重要的借鑒意義。
Based on the theory of stock market co-movements and the mechanism of insurance promoting economic growth, this study utilizes the wavelet analysis and the bootstrap panel Granger causality test to investigate the relationship between the financial market (the stock market and the insurance market) and the economic growth in Group of Seven (G7). Results of the stock co-movement suggest that, strong co-movements exist in the stock market across the full-sample in G7 countries. The co-movements both cover the high-frequency interaction and low-frequency interaction, showing the stock co-movements not only depend on the short-term factors, but also depend on the long-term factors (real economic factors). To further investigate the role of economic growth in stock co-movement, this study takes the economic growth as the control variable. The results show that, the low frequency (long-term) positive linkage in the stock market is greatly weakened, which further proves that the long-term interaction of the real economy and the international trade could be reflected from the stock co-movement. The bootstrap panel Granger causality between the insurance and the economic growth shows that, the relationship between insurance market and economic growth is complex, and this complexity conforms to the law of insurance market development in different countries. Overall, this study proves a close correlation between financial markets and the real economy though differences between countries existing. Results of this study have far-reaching practical significance for the reasonable adjustment of financial market and the real economy in developed countries, and these results also have important reference significance for other economies (such as emerging countries).
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