股價與匯率之非線性關係研究 : 台灣、日本和韓國實證

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Title:	股價與匯率之非線性關係研究 : 台灣、日本和韓國實證
Other Titles:	Nonlinearities in the stock price and exchange rate : evidence from the Taiwan, Japan and South Korea
Authors:	朱明偉;Chu, Ming-wei
Contributors:	淡江大學財務金融學系碩士在職專班聶建中;Neih, Chien-chung
Keywords:	門檻自我迴歸模型;門檻誤差修正模型;多變量非對稱GARCH;Threshold Autoregressive Model;Threshold Error-Correction Model;Multivariate Asymmetric GARCH Model
Date:	2006
Issue Date:	2010-01-11 00:50:48 (UTC+8)
Abstract:	隨著而近年來國際資金佔亞洲資本市場比重日益攀升，亞洲各國股市及匯市彼此間的連動性勢必日趨緊密。本文以1996/1/1至2005/8/31期間，台灣日本韓國三國間的股市與匯市報酬進行實證。利用Enders and Granger(1998)門檻自我回歸模型(TAR)及動差門檻自我回歸模型(MTAR)檢定不對稱均衡關係是否存在。並利用Enders and Siklos (2001)門檻自我回歸共整檢定找出不對稱共整關係，透過不對稱共整合模型來捕捉報酬長短期互動關係。考慮條件變異數異質性、波動叢聚及波動非對稱性下，本文利用Kroner and Ng (1998)多變量非對稱GARCH模型以捕捉波動性外溢關係，探討跨國跨市場間的波動互動關係。實證結果發現，股匯市關係上，報酬呈現雙向外溢關係，股市報酬同向領先匯市，股匯市波動外溢存在且具有不對稱性。在跨國股市關係上，本文發現南韓對台灣及日本報酬外溢及波動外溢最為顯著，且波動存在不對稱效果。在跨國匯市關係上，日本及韓國均對台灣具有報酬外溢，台灣、日本與南韓匯市波動彼此連動性相當顯著。 As foreign direct investment expanding steadily in Asian equity market, the relationships between stock market and exchange market are more and more closely. This paper empirically tests the relationships between stock index and exchange rate in Taiwan, South Korea and Japan during 1996 to 2005. We use Threshold Autoregressive Model, Momentum-Threshold Autoregressive Model, Threshold Error-Correction Model and Multivariate Asymmetric GARCH Model as methodology in this paper. Empirical analysis shows that feedback causality relationships between stock index and exchange rate exist in Taiwan and Japan. Indeed, in Taiwan, Japan and South Korea, stock index returns are positively Granger-cause to the exchange rate appreciation and volatility spillovers have asymmetric effect. The results highlight return spillovers and asymmetric volatility spillovers in stock market form South Korea to Taiwan and Japan. The results also support that Japan Yen dominates Asian exchange market and the linkage among Taiwan, Japan and South Korea is significantly strong.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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