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系統識別號 U0002-1802200913571400
中文論文名稱 道瓊工業指數與美元兌日圓匯率關聯性之研究
英文論文名稱 Investigating the Relationship between Dow Jones Industrial Average and USD/JPY Exchange Rate
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 97
學期 1
出版年 98
研究生中文姓名 陳秋玲
研究生英文姓名 Chiu-Lin Chen
學號 795530111
學位類別 碩士
語文別 中文
口試日期 2008-12-22
論文頁數 55頁
口試委員 指導教授-聶建中
共同指導教授-林建甫
委員-廖咸興
委員-唐代彪
委員-林景春
中文關鍵字 道瓊工業指數  美元兌日圓匯率  利差交易  單根檢定  共整合  動差門檻自我迴歸模型  門檻誤差修正模型 
英文關鍵字 Dow Jones Industrial Average  USD/JPY Exchange Rate  Carry Trade  Unit Root Test  Co-intergation Test  Momentum–Threshold Autoregression Model and Threshold Error-Correction Model   
學科別分類
中文摘要 股市與匯市在經濟發展中扮演著極為重要的角色,尤其是美股及美元的走勢更具市場的指標意義,近期由於全球股市及美元兌日圓走勢均深受國際間「利差交易 (Carry Trade) 」盛行的影響,故若能瞭解道瓊工業指數與美元兌日圓匯率間之關聯性,其研究結果應能提供投資人及財經決策者,作為預測未來相關金融市場走勢之參考依據。

本研究爰以道瓊工業指數(Dow Jones Industrial Average)與美元兌日圓匯率 (USD/JPY Exchange Rate)1998年1月1日至2008年8月31日之每日收盤價為研究對象,利用非線性模型架構,進行道瓊工業指數與美元兌日圓匯率關聯性之探討。在研究方法上,採用Kapetanios et al. (2003) KSS單根檢定法以測試非線性的定態關係,並以Enders and Granger (1998) 門檻自我迴歸模型 (Threshold autoregressive model; TAR),以及動差門檻自我迴歸模型 (Momentum-Threshold Autoregressive Model; M-TAR)進行門檻共整合檢定,且進一步運用Enders and Granger (1998) 及Enders and Siklos (2001) 門檻誤差修正模型 (Threshod Error-Correction Model; TECM),以捕捉變數間長短期非對稱之因果關係。

單根檢定之結果發現道瓊工業指數與美元兌日圓匯率資料均屬於 I ( 1 ) 的時間序列。而依M-TAR檢定結果,道瓊工業指數與美元兌日圓匯率間存有門檻共整合的關係,換言之,兩者有長期均衡的關係。至於在探討兩個時間序列之長短期互動關係方面,以門檻誤差修正模型為基礎之實證結果,在短期動態關係方面,發現前一期之美元兌日圓匯率,對當期美元兌日圓匯率之走勢有顯著的負向影響,但道瓊工業指數與美元兌日圓匯率間並無領先落後的關係;而在兩者的長期互動關係上,考慮門檻誤差修正項之Granger因果關係,則發現在門檻值之上,道瓊工業指數與美元兌日圓匯率互有領先及落後的雙向關係,其中又以美元兌日圓匯率影響道瓊工業指數的力道較強 ; 在門檻值之下,則只有道瓊工業指數單向影響美元兌日圓匯率的領先關係。而當道瓊工業指數與美元兌日圓匯率的長期均衡關係偏離時,道瓊工業指數與美元兌日圓匯率均會修正其本身的價格誤差,使之回復長期的均衡關係,而由於其誤差修正調整係數均為負且不相同,可看出當道瓊工業指數與美元兌日圓匯率之長期均衡關係偏離時,不論在門檻之上或之下,其回復均衡狀態之調整速度並不相同,其中以匯率市場回歸均值的調整速度較快。
英文摘要 The relationship between equity market and foreign exchange market has always received considerable amount of attention from the economists, international investors and policy makers. This study employs various linear and non-linear, time-series methodologies to investigate the short-term and long-term relationships between Dow Jones Industrial Average Index and USD/JPY exchange rate during the period of January 1998 to August 2008.

It is found that from both conventional ADF, PP, and NP tests and advanced KSS test,these two variabls are insured I(1) non-stationary time series; we also find there is significant co-intergation relationship between Dow Jones Index and USD/JPY; in another words, there is a long-run equilibrium relationship between Dow Jones Index and USD/JPY in time series.

The results from Granger-Gausality test based on corresponding TECM (Threshold Error-Correction Model) clearly point out there do exist a bidirectional causality running from Dow Jones Industrial Average Index to USD/JPY exchange rate in the long run; but there is no significant lead-lag causal relationship found between Dow Jones Index and USD/JPY in the short run.

This study might be valuable for those who are participating in equity market or foreign exchange market
and policy makers.

論文目次 目錄
頁次

第一章 緒論1
第一節 研究背景1
第二節 研究動機與目的3
第三節 研究架構與流程6

第二章 文獻回顧8
第一節 國外之相關文獻8
第二節 國內之相關文獻11

第三章 研究方法19
第一節 單根檢定19
第二節 門檻共整合檢定26
第三節 門檻誤差修正模型30

第四章 實證結果與分析33
第一節 變數選取與資料來源33
第二節 單根檢定之實證結果35
第三節 門檻共整合檢定之實證結果37
第四節 門檻誤差修正模型之實證結果39

第五章 結論與建議44
第一節 研究結論44
第二節 研究限制與後續建議46

參考文獻49

圖目錄

圖1.1.1 道瓊工業指數與美元兌日圓匯率走勢對照圖3
圖1.2.1 道瓊工業指數走勢與台灣加權股票指數走勢對照圖4
圖1.2.2 美元隔夜拆款利率與日圓隔夜拆款利率走勢對照圖5
圖1.3.1 研究步驟流程圖7
圖4.1.1 道瓊工業指數走勢圖33
圖4.1.2 美元兌日圓匯率走勢圖34

表目錄

表4.1.1 道瓊工業指數與美元兌日圓匯率之敘述統計資料34
表4.2.1 道瓊工業指數與美元兌日圓匯率之KSS (2003)非線性單根檢    定36
表4.2.2 道瓊工業指數與美元兌日圓匯率之單根檢定37
表4.3.1 道瓊工業指數與美元兌日圓匯率之模型設定及門檻共整合檢    定38
表4.4.1 道瓊工業指數與美元兌日圓匯率之門檻誤差修正模型檢定     41

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