A Study of Stock Indices Co-Movement--The Case of U.S., Japan, Hong Kong and Taiwan_

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題名：	A Study of Stock Indices Co-Movement--The Case of U.S., Japan, Hong Kong and Taiwan
書刊名：	亞太管理評論
作者：	楊踐為
作者(外文)：	Yang, Jack J. W.
出版日期：	1999
卷期：	4:2
頁次：	頁97-107
主題關鍵詞：	整合度；因果關係；共整合模式；Integration；Causality；Co-integration
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:2 共同引用:0 點閱:26

　　　　　隨著各國金融市場的日漸開放，國與國間之經濟依存度提高，亦造成彼此的股市整合度(Integration)之提升，本研究即係針對此一課題加以探討，而以美國、日本、香港與台灣的股價指數週報酬率為研究標的。首先透過單根檢定，發現資料呈不恆定(Non- stationary)狀態，必須將之差分，經過一次差分後，再透過共整合模式(Co-integration) 與Granger ECM(Error Correction Method)因果(Causality)關係驗證，所得結果如下：美國之股價指數對日本、香港與台灣方面，存有單向因果關係，即是美國股市會對日本、香港與台灣之股市存有領先效果，而該三地之股價指數卻對美國股市無影響力。就日本而言，其只對台灣、香港具有單向因果關係，但對美國則無任何領先作用，而台灣對其他三地股價指數皆無任何影響力，香港也對美、日、台三地股價指數無任何領先效果。

以文找文

　　　　　The open-door policy adopted by most nations in their financial markets makes the economic dependency among them even more severe. Therefore, the degree of stock market integration for concerned countries has become an important issue. Examining the co-movement of four stock indices (U.S., Japan, Hong Kong, and Taiwan), this study explores the causality relationship among them. With the application of co-integration and Granger ECM (Error Correction Method) after differencing the non-stationary data, the final results indicate that the Dow Jones (US) leads the other three indices and the leading situation is one-way. The Nikkei (Japan) leads both the Hang Seng (Hong Kong) and Taiwan. Mearwhile, Hong Kong and Taiwan play the role of followers.

以文找文

期刊論文
1.	Thornton, Daniel L.、Batten, Dallas S.(1985)。Lag-length selection and tests of Granger causality between money and income。Journal of Money, Credit, and Banking，17(2)，164-178。
2.	Blenman, L. P.(1991)。A model of covered interest arbitrage under market segmentation。Journal of Money, Credit and Banking，23，706-717。
3.	Grubel, H. G.、Fadner, K.(1971)。The Interdependence of International Equity Markets。Journal of Finance，26(1)，89-94。
4.	Ripley, Duncan M.(1973)。Systematic Elements in the Linkage of National Stock Market Indices。Review of Economics and Statistics，55(3)，356-361。
5.	Swanson, P. E.(1988)。Interrelationships among Domestic and Eurocurrency Deposit Yields: A Focus on the U.S. Dollar。The Financial Review，23(1)，81-94。
6.	Wheatley, S.(1988)。Some Tests of International Equity Integration。Journal of Financial Economics，21(2)，177-212。
7.	McDonald, J. G.(1973)。French mutual fund performance: Evaluation of internationally-diversified portfolios。Journal of Finance，28(5)，1161-1180。
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9.	Uri, Ben-Zion、Choi, J. J.、Hauser, S.(1996)。The Price Linkages between Country Funds and National Stock Markets: Evidence from Cointegration and Causality Tests of Germany, Japan, and UK Funds。Journal of Business Finance and Accounting，23，1005-1017。
10.	Diltz, J. D.、Kim, Suhkyong(1996)。The Relationship between Stock and Option Price Changes。The Financial Review，31(3)，499-519。
11.	Agmon, Tamir(1972)。The Relationships Among Equity Markets: A study of Share Price Comovements in the United States, United Kingdom, Germany and Japan。Journal of Finance，1972(Sep.)，839-855。
12.	Bertoneche, Marc L.(1979)。An Empirical Analysis of the Inter-relationships Among Equity Markets Under Changing Exchange Rate System。Journal of Banking and Finance，1979(Dec.)，397-405。
13.	Gultekin, M. N.、Gultekin, N. B.、Penati, A.(1989)。Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets。Journal of Finance，44(4)，849-869。
14.	Liu, Yu-Jane、Chow, Edward H.、Pan, Gin-Gin(1996)。Price Limit and Trading Behavior on Taiwan Stock Market。Journal of Financial Studies，1996(Oct.)，41-60。
15.	Maldonado, R.、Saunders, Anthony(1981)。International Portfolio Diversification and the Inter-Temporal Stability of International stock Market Relationships, 1957-78。Financial Management，10(4)，54-63。
16.	Marr, M. W.、Trimble, J. L.、Varma, R.(1991)。On the Integration of International Capital Markets: Evidence From Euroequity Offerings。Financial Management，1991(Winter)，11-21。
17.	Panton, Don B.、Lessing, V. Parker、Joy, O. Murice(1976)。Comovement of International Equity Markets: A Taxonomic Approach。Journal of Financial and Quantitative Analysis，11(3)，415-432。
18.	Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica，59(6)，1551-1580。
19.	Lessard, Donald R.、俞海琴、張錫杰(1974)。World, national and industry factors in equity returns。Journal of Finance，29(2)，379-391。
20.	Phillips, P. C. B.、Perron, P.(1988)。Testing for Unit Root in Time Series Regression。Biometrika，75(2)，335-346。
21.	Ghosh, A.、Clayton, R.(1996)。Hedging with international stock index futures: an intertemporal error correction model。Journal of Financial Research，19(4)，477-491。
22.	Phillips, P. C. B.(1987)。Time series regression with a unit root。Econometrica: Journal of the Econometric Society，55(2)，277-301。
23.	Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis，24(2)，241-256。
24.	Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society，37(3)，424-438。
25.	Grubel, Herbert G.(1968)。Internationally Diversified Portfolios: Welfare Gains and Capital Flows。The American Economic Review，58(5)，1299-1314。
26.	Hilliard, J. E.(1979)。The relationship between equity indices on world exchanges。Journal of Finance，34(1)，103-114。
27.	Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control，12(2/3)，231-254。
28.	Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。
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學位論文
1.	Chiang, Kuo-Chian(1988)。An Empirical Study about the Causality between Taiwan and other Stock Markets(碩士論文)。National Cheng Chi Univ.。
2.	Tin, Zwi-Gio(1987)。A Study about the Systematic Risk of International Security Portfolio(碩士論文)。National Cheng Chi Univ.。
3.	Wang, Zi-Ming(1989)。An Empirical Study about the Return Co-movement between Taiwan Stock and Other Markets(碩士論文)。Culture Univ.。

圖書
1.	Solnik, Bruno H.(1973)。European Capital Markets: Toward a General Theory of International Investment。Lexington, Massachusetts：Lexington Book。

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