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題名：太平洋盆地股市互動與投資策略意涵
作者：楊世瑞
作者(外文)：Shih-Jui Yang
校院名稱：雲林科技大學
系所名稱：管理研究所博士班
指導教授：胥愛琦
楊踐為
學位類別：博士
出版日期：2010
主題關鍵詞：共整合；結構性檢定；投資策略；連漲(跌)；因果關係檢定；causality；rise(drop) in succession；structural break；investment strategy；cointegration
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本文運用因果關係檢定和共整合檢定來討論美國、台灣、香港、日本、南韓和中國的股票市場之連動性。而根據實證結果，美股對東亞經濟體仍是居於主導地位。樣本期間也經歷了亞洲金融危機、網路泡沫化和九一一等重大事件。因此另做結構性檢定看是否有出現結構性問題。結果顯示，香港在亞洲金融危機有出現結構性變化，而台灣在九一一之後亦有出現結構性變化。另本文再討論美股連漲(跌)3天、4天和5天對東亞地區股市報酬的影響，也針對香港和台灣結構改變時點做前後比較，並找到投資策略以做為投資的參考依據。在以「大中華經濟圈」中兩岸三地的互動而言，在「大中華經濟圈」中，原本大多數文獻都認為香港具有主導地位，而經由實證顯示，中國在經過亞洲金融危機後，在「大中華經濟圈」的訊息傳遞居於領先，這或許可以說明中國經濟實力開始有顯著影響力的開端吧。
This article examines the causality and cointegration relationship of US, Taiwan, Hong Kong, Japan, Korea and China stock markets. But according to our empirical analysis, US stock market still resides in the dominant position to the East Asian economy. In sample period also has experienced Asia Financial Crisis, the Burst of Internet Bubbles and 911 and so on big events. Therefore also makes the structural breakpoint test to check whether to have the constitutive problem. Finally Hong Kong has the constitutive change at the Asia Financial Crisis and Taiwan after 911 has presents the constitutive change. In addition we will discuss the US stock market rise (drop) for 3 days, 4 days and 5 days in succession to have any change again to the East Asia stock market reward and also around aims at has constitutive question Hong Kong and Taiwan makes the comparison, and found the investment strategy to be possible to do for the investment reference. Although present stage China has many limits to the foreign capital, is unable to explain the foreign capital in China''s investment strategy. Taiwan which, Hong Kong and China contains by “the Greater China area” discuss China''s influence. Many articles mentioned Hong Kong stock market played a very important role in the Greater China area before Asia Financial Crisis. This paper proves China stock market has gained a leading position in the Greater China area gradually after Asia Financial Crisis.
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