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系統識別號 U0002-1307200712065500
中文論文名稱 千禧年前後亞洲股市連動性研究—中國與亞洲四小龍
英文論文名稱 Linkage between Asian Stock Markets around Millennium: China and four little Dragons
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 95
學期 2
出版年 96
研究生中文姓名 周克行
研究生英文姓名 Ke-Hsin Cho
學號 694490524
學位類別 碩士
語文別 中文
口試日期 2007-06-21
論文頁數 51頁
口試委員 指導教授-聶建中
指導教授-韋伯韜
委員-杜化宇
委員-謝劍平
委員-洪坤
中文關鍵字 共整合  Granger因果關係  長短期動態傳導 
英文關鍵字 Cointegration  Granger causality  long-term and short-term transmission 
學科別分類 學科別社會科學商學
中文摘要 近年來,國際金融市場變化劇烈,亞太地區最具代表性之金融市場,諸如亞洲四小龍及經濟迅速發展之中國,吸引全球投資客的青睞。何者能贏得趨勢領先指標首選為一重要議題。本文利用Johansen最大概似共整合檢定、向量自我迴歸(VAR)模型、向量誤差修正模型(VECM) 、Granger因果關係檢定、衝擊反應分析以及預測誤差變異數分解等實證方法探討以千禧年前後兩組資料期間之長短期動態傳遞效果的變動情形。
實證結果指出,1997~2000年在短期的互動關係上韓國扮演領先的角色。經實證結果在2000年以前,五個市場經Johansen共整法檢定發現無長期均衡關係,在投資時五個市場的避險效果明顯; 2000年後,五個市場存在長期均衡關係,因此在五個市場的避險效果不明顯而短期互動上香港的影響力有明顯提升,與韓國呈現雙向因果關係,顯示香港及韓國發現趨勢領先指標效果顯著,此結果對投資者及未來施政者具參考意義。
英文摘要 The movements of international financial markets, such as the four little dragons and China, have become more volatile, the rapid growth of these representative financial markets in the Asian-Pacific area has attracted more and more global investors. Therefore, it is a crucial issue to determine the lead-lag relationships among these financial markets. The purpose of this study is to employ various time series methodologies of Johansen-cointegration, Granger causality, impulse response function and variance decomposition to discuss and examine the long-term and short-term transmission among five Asian stock markets for two separated periods, before and after year 2000.
The empirical results can be summarized as follows. Before the year 2000, the results from Granger causality test show that the Korea stock index is in the leading position among others. However, Hong-Kong stock market reveals its significant influence after year 2000 and show a bi-directional causal relationship with Korea stock market. Moreover, the five stock markets do not hold a long-term equilibrium relationship for the period 1997~2000. However, there exists a long-term equilibrium relationship among these five markets for the period 2001~2006. This indicates that investors can gain the benefit of the international diversification when investing in the five Asian stock markets before year 2000, whereas not in the period after year 2000.
論文目次 目 錄
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 研究架構 4
第二章 文獻回顧 5
第一節 亞太區域經濟整合概況 5
第二節 國內外文獻 8
第三章 研究方法 12
第一節 穩定性分析(單根檢定) 12
第二節 長期均衡關係(共整合檢定) 14
第三節 短期互動 向量自我回歸模型VAR 16
第四節 向量誤差修正模型 VECM 17
第五節 領先-落後關係(因果關係檢定) 18
第六節 衝擊反應分析 19
第七節 預測誤差變異數分解 21
第四章 實證分析 22
第一節 資料來源與處理 22
第二節 單根檢定 .24
第三節 共整合檢定 30
第四節 向量自我迴歸(VAR)及向量誤差修正(VECM) 33
第五節 Granger 因果關係檢定 37
第六節 衝擊反應函數 40
第七節 預測誤差變異數分解 43
第五章 結論 46
參考文獻 49












表 圖 目 錄
表2-1 亞太區域經濟整合 7
表4-1a 基本統計量的檢定1997~2000年 23
表4-1b 基本統計量的檢定2001~2006年 23
表4-2a 單根檢定1997~2000年 29
表4-2b 單根檢定2001~2006年 29
表4-3a AIC值表1997~2000年 30
表4-3b AIC值表2001~2006年 30
表4-4a Johansen共整合檢定結果表1997~2000年 31
表4-4b Johansen共整合檢定結果表2001~2006年 31
表4-5  VAR及VECM之AIC值表 33
表4-6a VAR表1997~2000年 34
表4-6b VECM表2001~2006年 35
表4-7a Granger因果關係檢定表1997~2000年 38
表4-7b Granger因果關係檢定表2001~2006年 .39
表4-8a 預測誤差變異數結果1997~2000年 43
表4-8b 預測誤差變異數結果2001~2006年 44
圖4-1a 1997~2000年股價指數趨勢圖 25
圖4-2a 1997~2000年股價指數趨勢圖差分後 26
圖4-1b 2001~2006年股價指數趨勢圖 27
圖4-2b 2001~2006年股價指數趨勢圖差分後 28
圖4-3a 衝擊反應函數1997~2000年 41
圖4-3b 衝擊反應函數2001~2006年 42


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