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題名：臺灣與貿易夥伴--香港及東協五國--股市互動性之研究
書刊名：管理實務與理論研究
作者：陳鳳琴／黃光中
作者(外文)：Chen, Frng-chin／Huang, Kuang-chung
出版日期：2008
卷期：2:1
頁次：頁87-113
主題關鍵詞：股價指數；單根檢定；共整合檢定；因果關係檢定；向量自我迴歸模型；一般化衝擊反應函數；Stock index；Unit root test；Cointegration test；Causality test；Vector autoregressive model；Generalized impulse response function
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  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
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本研究運用Johansen和Harris-Inder兩種共整合檢定法，在2001年1月3日至2007年8月30日的觀察期間，檢測台灣股市與香港及東協五國股票市場間的長期均衡關係，研究結果發現，台灣股市與香港及東協五國股市彼此間無共整合關係，隱含台灣股市與此六國股票市場間的套利活動在長期間無法使這些金融市場整合在一起。又由VAR模型及Granger因果關係檢定結果發現，香港股價指數單向地領先台灣股價指數，因此，投資人可藉由觀察香港股市的變化，預測台股短期走勢；東協五國股價指數分別與台灣股價指數存在雙向的回饋關係，因此，台灣與東協五國股市具有雙向的訊息傳遞效果。最後，以一般化衝擊反應函數，分析台股報酬率與香港及東協五國股價報酬率間長、短期之動態關聯性，結果顯示，台股報酬率的衝擊，除了對自身有短暫性反應外，香港及東協五國股價報酬率亦發生短暫性的反應，長期間，則呈穩定狀態；反之，當衝擊來自香港及東協五國股價報酬率時，台股會有短暫性的正面反應，無持續性反應。
In this study, we employ two cointegration tests, namely the Harris-Inder approach and the Johansen method, to test for pairwise long-run equilibrium relationship between Taiwan's stock price index and the stock price indices for the Hong Kong and ASEAN-5 countries markets over the period of 3 January 2001 to 30 August 2007. The results from these two tests are robust and consistent in suggesting that the Taiwanese equity market is not pairwise cointegrated with the Hong Kong and ASEAN-5 countries markets, the result is that the arbitrage action among Taiwan, Hong Kong and and ASEAN-5's stock markets has less relation of integration with financial market in long-run basis implicitly. From the VAR model and the Granger causality test, there is unidirectional causality running from Hong Kong stock indices to Taiwanese stock indices, and there are pairwise bidirectional feedback relationship between Taiwanese stock indices and ASEAN-5 countries' stock indices, and there are two-way effects of convey information between Taiwanese equity market and ASEAN-5 countries. Therefore, investors can forecast the trend of Taiwanese stock prices from the variation of stock indices of the Hong Kong markets. Lastly, this study also uses generalized-impulse response function to carry out analysis on short-run and long-run dynamic impact among Taiwanese stock price returns with Hong Kong and ASEAN-5 countries stock price returns. The empirical results of generalized impulse response functions point out that the shock for Taiwanese stock price returns, with the exception of Taiwan itself has transitory impact on Hong Kong and ASEAN-5 countries, it become stable condition in the long-run. On the other hand, Taiwanese market has a transitory positive impact, but no permanent influence from the shock of stock price returns of Hong Kong with ASEAN-5 countries.
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研究報告
1.Kapetanios, G.、Shin, Y.、Snell, A.(2003)。Testing for cointegration in nonlinear STAR error correction models。Queen Mary, University of London。  new window
圖書
1.Box, George E. P.、Jenkins, Gwilym M.、Reinsel, Gregory C.(1994)。Time Series Analysis: Forecasting and Control。San Francisco, CA：Holden-Day。  new window
2.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
圖書論文
1.Harris, D.、Inder, B.(1994)。A test of the null hypothesis of cointegration。No stationary time series analysis and cointegration。Oxford：Oxford University Press。  new window
 
 
 
 
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