English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 49064/83169 (59%)
造訪人次 : 6960121      線上人數 : 74
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/29903


    題名: 美、臺、港、日股市連動性研究
    其他題名: Dynamic relationship among stock prices of the us, Taiwan, Hong-kong and Japan
    作者: 張樹義;Chang, Shu-i
    貢獻者: 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
    關鍵詞: 股市;次貸危機;時間序列;股價指數;Stock Market;Subprime Mortgage Crisis;Time series;Stock prices
    日期: 2009
    上傳時間: 2010-01-10 23:03:29 (UTC+8)
    摘要: 本研究利用時間序列的各種方法,深入探討2005年3月1日起至2009年3月31日止四年間日資料的美國NASDAQ股價指數、台股指數、日經指數及香港恆生指數之長期均衡與短期動態互動關係。研究係透過單根、共整、Granger因果檢定、衝擊反應以及預測誤差變異數分解來進行。本研究所得實證結果:單根檢定得知四國股價指數皆為整合級次I(1)的非定態時間序列資料。由共整合檢定得知,四國股價指數間並不存在任何的共整合向量,即不具有長期穩定的均衡關係,分析其原因,值此間金融海嘯衝擊嚴峻,各國皆仍謹慎自我穩定政策,雖然本研究關心的四國國家股市,於資料研究其間皆顯熊市(bearish market)崩跌,但各國跌幅循環各不相同,因此說明海嘯期間,四國股市不具有長期穩定的均衡關係,也因此這四國股市的任意組合都具有國際投資組合風險分散的利益。由Granger因果檢定實證結果可知,美國對各國股市的影響均十分顯著,並皆存在極為顯著之單向領先(lead)關係,此結果明顯說明著美國於國際間的金融領先地位。另外,因果檢定結果中,亦發現台灣股市對香港存在有單向領先關係,此可自近年來中國大陸經濟的快速成長來說明,因為台灣與大陸有著緊密的進出口產業貿易往來,受大陸經濟變化的影響極為劇烈,對大陸市場的金融反應也較香港迅速,因此實證出現台灣股市對香港股市的單向連動性。綜合因果檢定所得,四國之領先-落後關係依序為:美國NASDAQ指數領先台灣加權股價指數領先香港恆生指數領先日本東京東證指數。
    在衝擊反應函數分析方面,發現每一個變數對自身衝擊的解釋能力最高,而美國NASDAQ指數是其餘三國股價指數漲跌的風向球,這結果和美國一直是世界強國,其股市為世界領導市場相呼應。最後,由變異數分解可得:各國股市的變異自我解釋能力都十分強烈,尤以美國NASDAQ為最,在第一期時居然高達百分之百!表示美國不易受他國影響,市場的獨立性超高;三十期後,各國股市的自身解釋能力有減弱的現象。
    本文研究的目的在於統整出一個各國股市確切的關係,可作為投資者的一個參考。而在投資管道眾多及經濟蓬勃發展的今天,個人理財已不侷限於存款生利息如此簡單而已。收集資訊、統合資訊、甚至利用資訊都是現代人必不可缺的知識工具。
    This research applied various time series methodologies to fully investigate the long run and short run dynamic relationships among daily stock indices of the US NASDAQ, Taiwan stock, Japan Nikke 225 and Hong-Kong Hensen for the period of 2005/03/01 through 2009/03/31. Those time series methodologies applied include unit-root test, cointegration test, Granger causality, impulse response function and variance decomposition. The findings of this research are as follows. Unit-root test finds that all the four indices considered are I(1) series. Further test of cointegration shows that the four indices do not cointegrated together, which also implies that no long run equilibrium relationship exists among the four indices consided. The finding of on cointegration during the period of sub-prime financial crisis tells us that countries concentrate more about their own policies to defeat the downtrend of the bearish condition. Therefore the stock markets move apart among each other. This situation also allows diversification strategy when implementing the international portfolio. Results from Granger causality illustrate that the US sock index shows a significant leading position among all the indices considered. This also can say that the US financial market is among the leading role all over the world. The Granger causality also finds that Taiwan stock index leads Hong-Kong Hensen index. This might be reasoned by that both Taiwan and Hong-Kong are strongly related to China fast growing economic, however, Taiwan is more affected by China’s economic growth then Hong-Kong does. The overall ordering of the four indices form Granger causality is the US NASDAQ, Taiwan stock, Hong-Kong Hensen and Japan Nikke 225.
    The analysis of impulse response function shows that all the indices are responded to their own shock more significant. However, the shock of the US index shows strong influences to all other three, which again supports the leading role of the US financial market. Finally, variance decomposition shows that all the indices are more likely self-explained, especially for the US index which explain its own variation higher then others do.
    The purpose of this research is to lump sum the information about the dynamic relationships among international stock indices. The findings of this research offer a valuable information to the investors who’s investment strategies is not just for the interest bearing deposit, but collecting all the useful informations.
    顯示於類別:[全球華商經營管理數位學習碩士在職專班] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    0KbUnknown439檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋