臺灣以及中國與其主要貿易國證券市場關連性之研究__臺灣人文及社會科學引文索引資料庫

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題名：	臺灣以及中國與其主要貿易國證券市場關連性之研究
作者：	林郁芬
作者(外文)：	Yu-feng Lin
校院名稱：	國立中山大學
系所名稱：	中國與亞太區域研究所
指導教授：	梁金樹林德昌
學位類別：	博士
出版日期：	2012
主題關鍵詞：	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
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:30

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。

以文找文

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.

以文找文

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