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    Title: 台灣股價報酬對中國大陸出口貿易非線性因果關係
    Other Titles: The nonlinear causal relationship between the stock return of Taiwan to the export trade of China
    Authors: 王淳;Wang, Chun
    Contributors: 淡江大學財務金融學系碩士班
    聶建中;謝劍平
    Keywords: 股價報酬;出口貿易;台灣對中國大陸出口;門檻共整合模型;stock return;Export;Threshold cointegration;Threshold error correction model
    Date: 2015
    Issue Date: 2016-01-22 14:46:33 (UTC+8)
    Abstract: 本研究探討台灣股價報酬與對中國大陸出口貿易兩變數之間的關係,運用了Kapetanios et al.(2003)KSS非線性單根檢定來檢定是否為定態,並以Enders and Granger(1998)門檻自我迴歸模型(TAR)以及動差門檻自我迴歸模型(M-TAR)進行門檻共整合檢定,來檢定兩變數之間影響的方向及長、短期非線性不對稱效果。
    在門檻誤差修正模型為基礎下,討論短期因果關係發現,以台灣對中國大陸出口貿易金額為被解釋變數時,存在短期因果關係之產業有光學器材,不存在短期因果關係之產業有電子產品、化學品、基本金屬及其製品、機械產業、塑膠及其製品;以台灣股價報酬為被解釋變數時,存在短期因果關係之產業有電子產品、化學品,不存在短期因果關係之產業有光學器材、基本金屬及其製品、機械產業、塑膠及其製品。在長期關係中,以台灣對中國大陸出口貿易金額為被解釋變數時,在門檻值之下,具長期領先因果關係之產業有電子產品,在門檻值之上及之下,具有長期領先因果關係之產業有光學器材、化學品、機械產業,在門檻值之上,具長期領先因果關係之產業有基本金屬及其製品,不具有長期領先因果關係之產業有塑膠及其製品;以台灣股價報酬為被解釋變數時,在門檻值之下,具長期領先因果關係之產業有機械產業、塑膠及其製品,在門檻值之上及之下,具有長期領先因果關係之產業有基本金屬及其製品,在門檻值之上,具長期領先因果關係之產業有電子產品、光學器材、化學品。
    The use of Kapetanios et al.(2003)KSS nonlinear single test to test whether a given state, and Enders and Granger(1998) threshold self-regression model(TAR)and the difference between the threshold of self-moving regression model(M-TAR)were co-integrate threshold test to test between two variables influence the direction and long and short-term non-linear asymmetric effect.
    In the long-term relationship, when Taiwan''s exports to mainland China trade amounted to be explanatory variables, with long lead causation under the threshold of the industrial electronic products, above and below the threshold, optical equipment, chemicals , machinery industry, above the threshold value, basic metals and their products.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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