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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/105090

    Title: 國際股市對於台灣加權指數之非線性研究
    Other Titles: The nonlinear investigation of international stock markets on TAIEX
    Authors: 陳建志;Chen, Chien-Chih
    Contributors: 淡江大學財務金融學系碩士班
    Keywords: 平滑移轉回歸模型;台灣加權指數;國際油價;Smooth transition regression;TAIEX;Oil Price
    Date: 2015
    Issue Date: 2016-01-22 14:47:30 (UTC+8)
    Abstract: 本文主要研究目的是針對台灣重要貿易夥伴日本、香港、中國和美國,討論這些國家的股市對於台灣股票市場的影響。資料期間為2008年1月1日到2014年12月31日並採用日資料,使用Granger and Teräsvirta(1993)和 Teräsvirta(1994)提出的平滑移轉自我迴歸模型,探討其對台灣加權指數所造成的影響。以日經225指數、香港恆生指數、中國上海A股指數和美國道瓊指數的報酬率,探討在不同國際油價下,國際股票指數報酬率對於台灣加權指數報酬率的影響。
    The purpose of this study is to investigate the effect of TAIEX return rate influenced by foreign stock index such as NKY, HSI, SHI and DJI. Our data start from Jan. 1 2008 to Dec 31 2014, and we use daily data. We employ the smooth transition regression model which introduced by Gonzalez, Teräsvirta and van Dijk (2004, 2005), and discuss the effect on TAIEX. We use the foreign stock index return rate stated before, and research how these stock return rates influence TAIEX return rate at different price.
    The empirical result of linear test is the exponential smooth transition auto regression (ETAR). The lag stage is the fifth stage. The threshold value of the oil price by the smooth transition test is 94.97643 US dollars per barrel. When the oil price is near the threshold value, NKY has a negative influence on TAIEX, HIS、SHI and DJI have a positive influence on TAIEX. However, if the oil price is far higher or lower than the threshold value, the outcome is every stock index do not have obvious influence on TAIEX.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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