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    Title: 美國重要股價指數之動態關係研究
    Other Titles: Dynamic relationship among three major stock indices of the US
    Authors: 洪國城;Hung, Guo-cheng
    Contributors: 淡江大學全球華商經營管理數位學習碩士在職專班
    李沃牆;Lee, Wo-chiang
    Keywords: 美國股價指數;金融海嘯;時間序列;長短期互動;Stock prices;Financial Tsunami;Time series;Financial crisis
    Date: 2009
    Issue Date: 2010-01-10 23:03:25 (UTC+8)
    Abstract: 本研究利用時間序列的各種方法,深入探討2006年1月1日起至2008年4月30日期間日資料的美國股市三大股價指數Nasdaq、 Down Jones及S&P500之長期均衡與短期動態互動關係。研究方法包括Augmented Dickey-Fulller(ADF)單根檢定法、Johansen的五模型最大概似共整檢定、因果關係(Granger causality)檢定、向量自我迴歸模型(VAR)來對樣本資料作檢測。
    其所得結果發現:美國三大股價指數皆為I(1)的非定態數列,呈隨機漫步的狀況,投資人無法以技術分析獲取超常報酬。於共整合的檢定結果中顯示,各股價指數間並無共整之長期均衡關係存在,表示次貸風暴期間,美國各別股市並無法準確預估其他相關股市的走勢。不過在此風暴期間,投資人可藉三大股市趨離的走勢,進行投資組合分散風險的策略。
    本研究另自Granger 因果關係檢定及VAR模型檢定發現,Nasdaq股價指數對於其股價指數而言,具有最為領先的地位,其次為Down Jones股指,而S&P500股指則在美國三大股指中呈現最為“落後”的現象。最後,在三大指數間的相互衝擊中,發現Nasdaq及Down Jones對S&P500有較強烈的正向短期衝擊影響;而Nasdaq對Down Jones亦顯現出明顯的正向短期衝擊影響。變異數分解的實證結果與衝擊反應分析所得發現相似,Nasdaq及Down Jones股價指數對其三大指數波動所產生的解釋能力皆高於S&P500股價指數,其中尤以Nasdaq的解釋能力最強。
    綜觀所有本文研究發現,由本研究所使用多項時間序列方法針對美國三大指數的互動影響中得到,無論在「領先-落後」關係,或衝擊及解釋力的影響上,Nasdaq股價指數皆顯現出為最有影響力之美國股價指數,建議國際投資客在以美國三大股價指數作為各國股市走勢之參考指標時,宜以Nasdaq股價指數為持股策略的主要參考指標。
    The purpose of this thesis is to apply various time series methodologies to fully investigate the long run and short run dynamic relationships among three major stock indices in the US for the period of 2006/01/01 through 2008/04/30. The three major stock indices are Nasdaq, Dow Jones and S&P 500 and those time series methodologies employed include Augmented Dickey-Fully (ADF) unit-root test, Johansen five models of maximum likelihood cointegration test, Granger causality test and vector autoregressive (VAR).
    The first finding from ADF test is that all three US major stock indices are I(1) non-stationary series. The presence of the random walk asserts that no abnormal return can be obtained from the technique analysis. The further finding of no cointegration relationship implies that during the sub-prime period, the investors can not get arbitrage but diversify from the US major stock indices.
    Other findings of the ‘lead-lag’ relationship from Granger causality and VAR model tests can be summarized as follows. The Nasdaq shows the most leading position, then the Dow Jones, and the S&P 500 the most lagged position. From impulse response function (IRF), we find that S&P 500 is positive and short run strongly responded to the shocks of Nasdaq and Dow Jones, whereas Dow Jones is positive and short run strongly responded to the shocks of Nasdaq. The result of variance decomposition (VDC) is quite similar to that of IRF. VDC shows the ordering of the explanatory power of the US three major indices is Nasdaq, Dow Jones and S&P 500.
    Summary of all the findings from this thesis, we find that no matter the ‘laed-lag’ relationship, the shock impulse or the explanatory power, Nasdaq is always the leading index which can be viewed as the reference index for the stock movement.
    Appears in Collections:[全球華商經營管理數位學習碩士在職專班] 學位論文

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