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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31608


    Title: 金磚四國(BRICs)匯率與股市關聯性之研究
    Other Titles: The relation analysis of the brics exchange rate and stock market.
    Authors: 施佩儀;Shih, Pei-yi
    Contributors: 淡江大學財務金融學系碩士在職專班
    聶建中;Nieh, Chien-chung;韋伯韜;Wei, Duan
    Keywords: 金磚四國;股價指數;匯率;不對稱門檻共整合;門檻誤差修正模型;BRICs;stock index;Exchange rate;Asymmetric Threshold Autoregression Model;Threshold Error-Correction Model
    Date: 2008
    Issue Date: 2010-01-11 01:02:25 (UTC+8)
    Abstract: 本研究係以金磚四國的資料進行分析,透過各國股價指數與匯率之短期動態關係與長期均衡關係的研究,資料係運用金磚四國2000年1月至2007年8月間,股價指數與匯率之日資料進行實證研究,探討股價指數與匯率在長短期門檻誤差修正下的互動關係,來瞭解金磚四國匯率與股價的長短期互動情況。本研究探討金磚四國間股價指數與匯率的長短期互動情況,在非線性模型架構上,以非線性單根檢定、不對稱門檻共整合模型及不對稱門檻誤差修正模型,來捕捉匯率的波動對股票市場之非線性不對稱效果。本文實證結果發現:在非線性KSS與線性ADF單根檢定法,檢測金磚四國之時間序列皆為I(1)數列。而在門檻共整合檢定部份,研究發現巴西與印度以AIC法則所選出調整機制最佳的模型為TAR模型,俄羅斯與中國則為M-TAR模型。
    經由門檻誤差修正模型的實證結果顯示,巴西股價指數與匯率均受前期股價影響,而股價指數並不受匯率之影響,呈單向因果關係;俄羅斯不存在因果關係;印度股價指數受前期股價指數之影響,但股價與匯率不存在領先與落後關係;中國存在雙向之因果關係。另一方面,由門檻誤差修正模型之長期因果關係可發現,巴西股價指數與匯率互有領先落後關係;俄羅斯股價指數對匯率有單向領先落後關係;印度股價指數與匯率間不存在有領先落後關係;中國匯率與股價指數有雙向領先落後關係。就金磚四國研究得知,巴西的股、匯市在短期較符合投資組合方法,其股市會影響匯率,存在單向因果關係,但長期則為傳統法與投資組合法同時存在,顯示匯率與股價指數彼此間互相影響。俄羅斯的股、匯市在長期較符合投資組合方法,存在股市影響匯率的單向因果關係,短期則為傳統法與投資組合法並存。印度的股、匯市在長、短期並沒有存在較顯著的因果關係。中國的股市與匯市在短期與長期皆符合傳統方法與投資組合方法,存在匯率影響股市以及股市影響匯率的雙向因果關係,顯示中國的匯率與股價指數間相互影響。
    This paper examines the relation of the BRICs exchange rate and stock market. Employing the Threshold Error-Correction Model (TECM), we investigate the asymmetric causal relationships between stock price and exchange rate in BRICs using the daily closing data running from 2001 to 2007. The results from Granger-Causality tests based on corresponding Threshold Error-Correction Model clearly point out the followings: In Brazil, a unidirectional causality running from the stock market to the exchange rate market in the short run and bidirectional causality running from these two markets in the long run. In Russia, the result found that unidirectional causality running from the stock market to the exchange rate market in the long run. In India, the evidence illustrates that no causal relationship exists between the two financial markets. In China, bidirectional causality running from the stock market to the exchange rate market in the short run and long run.
    However, in the long-run, when the differences in the previous disequilibrium term are above their threshold value, a positive causal relationship running from stock index to exchange rate in Russia supports the portfolio approach, and in Brazil and China argue for both traditional approach and portfolio approach. Furthermore, we find asymmetric price transmissions between the stock market and the exchange rat in the long run. These findings ought to be made readily available to individual investors and financial institutions holding long-term investment portfolios in these two asset markets for their likely implications today.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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