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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/30362


    Title: 俄羅斯股市、油價與美國股市關係之研究 : 共整合及向量誤差修正模型分析
    Other Titles: The relationship among Russian stock index, oil price and US stock indices : a cointegration and VECM analysis
    Authors: 盧彥銘;Lu, Yen-ming
    Contributors: 淡江大學俄羅斯研究所碩士班
    汪哲仁;Wang, Che-jen
    Keywords: 俄羅斯交易系統指數;共整合檢定;向量誤差修正模型;Granger 因果關係;RTSI;Cointegration;VECM;Granger Causality
    Date: 2009
    Issue Date: 2010-01-10 23:35:52 (UTC+8)
    Abstract: 本文主要是研究俄羅斯股票、油價以及美股指數之間的關係。研究的變數包含了俄羅斯交易系統指數(Russian Trading System Index;RTSI)、美國那斯達克指數、美國道瓊工業指數及美國西德州原油價格。本研究利用共整合與向量誤差修正模型,來探討RTSI、那斯達克指數、道瓊工業指數及西德州原油價格,四種變數之間的關係。研究結果如下:
    1.經由單根檢定後發現,所有變數皆屬於I(1)時間序列。
    2.透過共整合檢定可看出,那斯達克指數、道瓊工業指數及西德州原油價格與RTSI之間,具有長期均衡的關係。
    3.經由向量誤差修正模型可得知,RTSI偏離長期均衡時,西德州原油價格將影響RTSI,使RTSI調整至長期均衡狀態。
    4.由衝擊反應函數的結果顯示,NASDAQ為主要影響RTSI的主要因素。
    5.而變異數分解部份顯示,短期下受衝擊的解釋變異大多來自於本身並非其它變數所貢獻;長期下受衝擊的解釋變異大多來自於原油價格。
    6.最後透過Granger的檢定結果得知,RTSI與那斯達克指數間具有雙向回饋的關係;西德州原油價格與道瓊工業指數皆領先於RTSI的價格變化,其中以西德州原油價格的領先關係較為明顯。

    關鍵字:俄羅斯交易系統指數、共整合檢定、向量誤差修正模型、Granger因果關係。
    The purpose of this research is to find out the relationship among the Russian stock index, oil price and US stock indices. The Russian Trading System Index (RTSI), The National Association of Securities Dealers Automated Quotations system (NASDAQ), Dow Jones Industrial Average (DJIA) and West Texas Intermediate (WTI) are used in the research as the proxies of Russian stock index, US stock indices and oil price, respectively. The report implements cointegration and Vector Error Correction Model (VECM) to analyse these variables. Our findings follow.
    1.The unit root test finds that all variables are not stationary and are I(1) series.
    2.The Johansen cointegrating test finds there exists a long-term equilibrium among NASDAQ, DJLA, WTI and RTSI.
    3.VECM shows that when RTSI deviates its long-term equilibrium, WTI is the major force which pushes RTSI back to its equilibrium.
    4.The impulse response function test shows that NASDAQ is the major determinant of RTSI.
    5.The variance decomposition test finds that in the short-term RTSI is heavily impacted by itself, rather by other variables, but in the long-term by both itself and the oil price.
    6.Finally the Granger causality test finds there is a feedback relationship between RTSI and NASDAQ. An unidirectional causality runs from DJIA and WTI, and the effect of WTI is statistically more significant than that of DJIA.
    Appears in Collections:[俄羅斯研究所] 學位論文

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