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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/32209

    Title: 臺灣筆記型電腦股價與兌美元匯率關聯性研究
    Other Titles: A study on the relationships between stock prices and ntd/usd exchange rate for notebook industry in Taiwan
    Authors: 廖明堂;Liao, Ming-tang
    Contributors: 淡江大學國際貿易學系國際企業學碩士在職專班
    聶建中;Neih, Chien-chung
    Keywords: 筆記型電腦產業;股價;匯率;門檻共整合;長短期因果;Notebook industry;Stock prices;Exchange rates;Threshold cointegration;Long-run and short-run Granger causality
    Date: 2008
    Issue Date: 2010-01-11 01:51:10 (UTC+8)
    Abstract: 本研究以台灣筆記型電腦前五大廠商平均股價與兌美匯率資料為研究摽的,取自1999年6月至2008年5月止9年期間之月資料,共108筆資料觀測值,運用非線性模型架構,探討台灣筆記型電腦平均股價與兌美匯率的長短期門檻因果互動關係。
    在研究方法上,先分別採用PP、KPSS及NP傳統單根及KSS非線性單根(Kapetanios et al., 2003)檢定法,測試各選取變數的穩定性,發現皆呈現非定態之I(1)序列結果;再以Enders and Granger (1998)門檻自我回歸模型(TAR)及動差門檻自我回歸模型(M-TAR)進行門檻共整合檢定,並進一步運用Enders and Granger (1998)及Enders and Siklos (2001)門檻誤差修正模型(TECM),解析變數間的長短期因果關係。
    Based on nonlinear framework, this study employs TAR, M-TAR and M-TECM models, respectively, developed by Enders and Granger (1998) and Enders and Siklos (2001) to profound investigate the asymmetric long-run equilibrium and short-run dynamic relationships between stock prices of notebook industry and NTD/USD exchange rates in Taiwan. Our monthly sample date runs from June 1999 to May 2008, a total of 108 observations cover nine-year period are collected.
    We first apply the pretest of unit root to test for the stationarity of each variable. The two variables considered in this study are all found to be I(1) series from both the traditional unit root tests of PP, KPSS and NP and the nonlinear unit root test of KSS. We then further employ TAR, M-TAR and M-TECM to investigate the asymmetric long-run equilibrium and short-run dynamic relationships between the two variables considered.
    There are few interesting findings from our empirical investigation for the long run and short run dynamic relationship between NB stock prices and NTD/USD exchange rates. First, there exist long run equilibrium relationships between stock prices and exchange rates. The mean revision adjustments occur at the upper regime for the stock market and at the lower regime for the exchange rate market, respectively. The speeds of adjustment for both markets are approximately the same (7.03% for stock market and 6.20% for exchange rate market). Second, only a one-month effect from stock prices to exchange rates is found for our short run dynamic VAR testing between stock prices and exchange rates. Finally, testing for the Granger causality, we find that there exists a uni-direction causal relationship from stock prices to exchange rates both in short run and long run. This research concludes that stock prices can be served as a leading index for the movement of the exchange rates.
    Appears in Collections:[國際企業學系暨研究所] 學位論文

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