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中文論文名稱 股價與匯率之非線性關係研究─台灣、日本和韓國實證
英文論文名稱 Nonlinearities in the Stock Price and Exchange Rate: Evidence from the Taiwan, Japan and South Korea
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 94
學期 1
出版年 95
研究生中文姓名 朱明偉
研究生英文姓名 Ming-Wei Chu
電子信箱 mwichu@gmail.com
學號 792490335
學位類別 碩士
語文別 中文
口試日期 2005-12-23
論文頁數 73頁
口試委員 指導教授-聶建中
共同指導教授-莊孟翰
委員-沈中華
委員-謝劍平
委員-韋伯韜
中文關鍵字 門檻自我迴歸模型  門檻誤差修正模型  多變量非對稱GARCH 
英文關鍵字 Threshold Autoregressive Model  Threshold Error-Correction Model  Multivariate Asymmetric GARCH Model 
學科別分類
中文摘要 隨著而近年來國際資金佔亞洲資本市場比重日益攀升,亞洲各國股市及匯市彼此間的連動性勢必日趨緊密。本文以1996/1/1至2005/8/31期間,台灣日本韓國三國間的股市與匯市報酬進行實證。利用Enders and Granger(1998)門檻自我回歸模型(TAR)及動差門檻自我回歸模型(MTAR)檢定不對稱均衡關係是否存在。並利用Enders and Siklos (2001)門檻自我回歸共整檢定找出不對稱共整關係,透過不對稱共整合模型來捕捉報酬長短期互動關係。考慮條件變異數異質性、波動叢聚及波動非對稱性下,本文利用Kroner and Ng (1998)多變量非對稱GARCH模型以捕捉波動性外溢關係,探討跨國跨市場間的波動互動關係。實證結果發現,股匯市關係上,報酬呈現雙向外溢關係,股市報酬同向領先匯市,股匯市波動外溢存在且具有不對稱性。在跨國股市關係上,本文發現南韓對台灣及日本報酬外溢及波動外溢最為顯著,且波動存在不對稱效果。在跨國匯市關係上,日本及韓國均對台灣具有報酬外溢,台灣、日本與南韓匯市波動彼此連動性相當顯著。
英文摘要 As foreign direct investment expanding steadily in Asian equity market, the relationships between stock market and exchange market are more and more closely. This paper empirically tests the relationships between stock index and exchange rate in Taiwan, South Korea and Japan during 1996 to 2005. We use Threshold Autoregressive Model, Momentum-Threshold Autoregressive Model, Threshold Error-Correction Model and Multivariate Asymmetric GARCH Model as methodology in this paper.
Empirical analysis shows that feedback causality relationships between stock index and exchange rate exist in Taiwan and Japan. Indeed, in Taiwan, Japan and South Korea, stock index returns are positively Granger-cause to the exchange rate appreciation and volatility spillovers have asymmetric effect. The results highlight return spillovers and asymmetric volatility spillovers in stock market form South Korea to Taiwan and Japan. The results also support that Japan Yen dominates Asian exchange market and the linkage among Taiwan, Japan and South Korea is significantly strong.
論文目次 目錄
第一章 緒論 1
第一節 研究目的及動機 1
第二節 研究架構 4
第二章 文獻回顧 5
第一節 單一國家股匯市間外溢效果 5
第二節 跨國股市間外溢效果 8
第三節 跨國匯市間外溢效果 11
第三章 研究方法 15
第一節 單根檢定 15
一、 Augmented Dickey-Fuller單根檢定 16
二、 Phillips-Perron單根檢定 16
三、 Kwiatkowski, Phillips, Schmidt and Shin單根檢定 17
四、 Kapetanios, Shin and Snell單根檢定 18
第二節 共整合檢定 19
一、 Engle and Granger二階段共整合分析法 19
二、 Johansen共整合分析法 19
第三節 門檻自我迴歸模型 20
第四節 向量自我迴歸模型 21
第五節 向量門檻誤差修正模型 22
第六節 門檻共整合非對稱GARCH模型 23
一、 ARCH模型 23
二、 ARCH模型檢定 24
三、 GARCH模型 25
四、 多變量GARCH模型 25
五、 條件變異數不對性檢定 27
六、 多變量非對稱GARCH模型 28
七、 門檻共整合非對稱GARCH模型 29
第四章 實證結果分析 32
第一節 資料來源與資料處理 32
第二節 資料基本特性 32
第三節 單根檢定 34
第四節 門檻共整合檢定 35
一、 單一國家股匯市模型門檻共整合檢定 35
二、 跨國股市模型門檻共整合檢定 36
三、 跨國匯市模型門檻共整合檢定 37
第五節 ARCH模型檢定及條件變異非對稱性診斷檢定 38
一、 單一國家股匯市模型檢定 38
二、 跨國股市模型檢定 39
三、 跨國匯市模型檢定 40
第六節 門檻共整合非對稱GARCH模型估計及檢定 41
一、 單一國家股匯市模型 41
二、 跨國股市模型 45
三、 跨國匯市模型 49
第七節 門檻共整合非對稱GARCH模型檢定 53
一、 單一國家股匯市模型檢定 53
二、 跨國股市模型檢定 54
三、 跨國匯市模型檢定 55
第五章 結論與建議 57
第一節 實證結果歸納 57
第二節 結論 59
第三節 建議 61
第六章 附圖 62
第七章 參考文獻 64
第一節 中文部分 64
第二節 英文部分 66
表目錄
表1. 台灣、日本及南韓三國股市與匯市報酬敘述統計資料彙總 33
表2. 台灣、日本及南韓三國股價指數與即期匯率單根檢定 35
表3. 台灣、日本及南韓三國股匯市門檻共整合檢定 36
表4. 台灣、日本及南韓三國跨國股市門檻共整合檢定 37
表5. 台灣、日本及南韓三國跨國匯市門檻共整合檢定 37
表6. 台灣、日本及南韓三國股匯市VTECM模型檢定 39
表7. 台灣、日本及南韓三國跨國股市VTECM模型檢定 40
表8. 台灣、日本及南韓三國跨國匯市VTECM模型檢定 41
表9. 台灣、日本及南韓三國股匯市VTECM-AGARCH模型參數估計 44
表10. 台灣、日本及南韓三國股匯市VTECM-AGARCH模型假設檢定 45
表11. 台灣、日本及南韓跨國股市VTECM-AGARCH模型參數估計 48
表12. 台灣、日本及南韓跨國股市VTECM-AGARCH模型假設檢定 49
表13. 台灣、日本及南韓跨國匯市VTECM-AGARCH模型參數估計 52
表14. 台灣、日本及南韓跨國匯市VTECM-AGARCH模型假設檢定 53
表15. 台灣、日本及南韓三國股匯市VTECM-AGARCH模型檢定 54
表16. 台灣、日本及南韓跨國股市VTECM-AGARCH模型檢定 55
表17. 台灣、日本及南韓跨國匯市VTECM-AGARCH模型檢定 56
圖目錄
圖表 1 研究架構流程圖 4
圖表 2 台灣、日本及韓國股價指數與匯率走勢圖 62
圖表 3 台灣、日本及韓國股價指數報酬與匯率報酬走勢圖 62
圖表 4 台灣、日本及韓國股價指數報酬與匯率報酬門檻值 63
參考文獻 中文部分
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