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系統識別號 U0002-0708200810514600
中文論文名稱 台灣筆記型電腦股價與兌美元匯率關聯性研究
英文論文名稱 A Study on the Relationships between Stock Prices and NTD/USD Exchange Rate for Notebook Industry in Taiwan
校院名稱 淡江大學
系所名稱(中) 國際貿易學系國際企業學碩士在職專班
系所名稱(英) Department of International Trade
學年度 96
學期 2
出版年 97
研究生中文姓名 廖明堂
研究生英文姓名 Ming-Tang Liao
學號 794480094
學位類別 碩士
語文別 中文
口試日期 2008-06-16
論文頁數 57頁
口試委員 指導教授-聶建中
共同指導教授-謝志柔
委員-莊孟翰
委員-許振明
委員-陳達新
委員-謝志柔
委員-聶建中
中文關鍵字 筆記型電腦產業  股價  匯率  門檻共整合  長短期因果 
英文關鍵字 Notebook industry  Stock prices  Exchange rates  Threshold Cointegration  Long-run and short-run Granger causality 
學科別分類 學科別社會科學商學
中文摘要 本研究以台灣筆記型電腦前五大廠商平均股價與兌美匯率資料為研究摽的,取自1999年6月至2008年5月止9年期間之月資料,共108筆資料觀測值,運用非線性模型架構,探討台灣筆記型電腦平均股價與兌美匯率的長短期門檻因果互動關係。
在研究方法上,先分別採用PP、KPSS及NP傳統單根及KSS非線性單根(Kapetanios et al., 2003)檢定法,測試各選取變數的穩定性,發現皆呈現非定態之I(1)序列結果;再以Enders and Granger (1998)門檻自我回歸模型(TAR)及動差門檻自我回歸模型(M-TAR)進行門檻共整合檢定,並進一步運用Enders and Granger (1998)及Enders and Siklos (2001)門檻誤差修正模型(TECM),解析變數間的長短期因果關係。
本研究所探討筆記型電腦產業平均股價與兌美匯率的價格互動行為,得到下列幾項有趣的發現:
一、股價與匯率存在長期均衡關係,而其均衡調整分別於股價發生在上區間,匯率則發生在下區間,兩者之調整速度大約相同,分別為(7.03%)及(6.20%)。
二、兩者之短期互動關係為股價對匯率有落階一期之顯著影響。
三、無論短期或長期因果關係測試,皆顯著發現筆記型電腦平均股價走勢領先兌美匯率走勢,股價均為匯率之領先指標。
英文摘要 Based on nonlinear framework, this study employs TAR, M-TAR and M-TECM models, respectively, developed by Enders and Granger (1998) and Enders and Siklos (2001) to profound investigate the asymmetric long-run equilibrium and short-run dynamic relationships between stock prices of notebook industry and NTD/USD exchange rates in Taiwan. Our monthly sample date runs from June 1999 to May 2008, a total of 108 observations cover nine-year period are collected.
We first apply the pretest of unit root to test for the stationarity of each variable. The two variables considered in this study are all found to be I(1) series from both the traditional unit root tests of PP, KPSS and NP and the nonlinear unit root test of KSS. We then further employ TAR, M-TAR and M-TECM to investigate the asymmetric long-run equilibrium and short-run dynamic relationships between the two variables considered.
There are few interesting findings from our empirical investigation for the long run and short run dynamic relationship between NB stock prices and NTD/USD exchange rates. First, there exist long run equilibrium relationships between stock prices and exchange rates. The mean revision adjustments occur at the upper regime for the stock market and at the lower regime for the exchange rate market, respectively. The speeds of adjustment for both markets are approximately the same (7.03% for stock market and 6.20% for exchange rate market). Second, only a one-month effect from stock prices to exchange rates is found for our short run dynamic VAR testing between stock prices and exchange rates. Finally, testing for the Granger causality, we find that there exists a uni-direction causal relationship from stock prices to exchange rates both in short run and long run. This research concludes that stock prices can be served as a leading index for the movement of the exchange rates.
論文目次 目 錄
第一章 緒論...............................................1
第一節 研究動機與目的.....................................1
第二節 研究流程與步驟.....................................5
第三節 論文架構...........................................6
第二章 文獻回顧...........................................7
第一節 產業現況...........................................7
第二節 匯率與股價關聯文獻................................12
第三節 文獻彙整..........................................18
第三章 研究方法..........................................24
第一節 單根檢定..........................................24
第二節 門檻共整合檢定....................................29
第三節 門檻誤差修正模型..................................33
第四章 實證結果與分析....................................35
第一節 變數選取與資料來源................................35
第二節 單根檢定..........................................36
第三節 門檻共整合檢定....................................38
第四節 門檻誤差修正模型Granger因果關係檢定...............40
第五章 結論與建議........................................46
第一節 研究結論..........................................46
第二節 研究建議..........................................49
參考文獻.................................................51

圖表目錄
<圖1.2.1 研究步驟流程圖>..................................5
<表2.3.1 文獻回顧表一>...................................19
<表2.3.2 文獻回顧表二>...................................22
<表4.1 個股股價與匯率之敘述統計資料>.....................36
<表4.2.1 KSS (2003)單根檢定法>..........................37
<表4.2.2 PP、KPSS及NP單根檢定>..........................38
<表4.3 平均股價與匯率之門檻共整合檢定>...................39
<表4.4 平均股價與兌美元匯率之非對稱門檻誤差修正模型檢定..41
參考文獻 參考文獻
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