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    Title: 新興市場股價、美股與世界指數之相關性研究
    Other Titles: A relationship analysis of the stock indexes among the emerging markets, USA and the world
    Authors: 陳昱佑;Chen, Yu-yo
    Contributors: 淡江大學企業管理學系碩士班
    趙慕芬;Chao, Muh-fen
    Keywords: 新興市場;世界指數;股價指數;向量誤差修正估計;emerging market;world index;stock index;VECM
    Date: 2009
    Issue Date: 2010-01-11 04:11:47 (UTC+8)
    Abstract: 隨著美國發生次級房貸風暴,興起探討其他新興市場股市潛力的想法,並以目前投資商品中最熱門投資標的,三大新興市場為研究主題;此三個新興市場分別為新興亞洲地區、新興東歐地區以及新興拉丁美洲地區。本研究將此三個新興市場與世界指數以及美股指數作一相關性分析,研究期間從2007年1月1日至2008年12月31日止,樣本研究期間為日資料,三大新興市場指數樣本是採用MSCI的新興市場系列指數,世界指數樣本是採用MSCI的世界指數,而美股指數樣本則是採用S&P500股價指數。

    本研究首先使用單根檢定,來檢驗所有資料是否呈現定態;接著使用共整合與VECM進行研究,藉以了解各變數之間是否存在因果關係。經由共整合檢定得知,新興市場指數、世界指數與美股指數在長期間具有共整合均衡關係,但短期間卻不一定具有均衡關係。而經由向量誤差修正估計可得知,美國股市報酬率會對所有的指數報酬率形成強度最大的正向影響;對於新興市場的影響力上,世界指數報酬率的影響程度並不明顯;而新興亞洲報酬率指數幾乎會對所有指數報酬率造成負向關係影響,且各指數對其反應的落後時間大約是兩個星期~三個星期左右。

    故本研究得以下四項結論:1.三大新興市場長期呈現整合趨勢;2.美股對三大新興市場股市仍具有一定影響力;3.世界因子對三大新興市場影響並不明顯;4.新興亞洲市場的崛起。
    The subprime lending crisis in USA arouses my interests to probe into the stock market potentiality in other emerging markets. The focus of this research is on Emerging Asia、Emerging Eastern Europe and Emerging Latin America. In this research, the daily data is used over the period January 1st 2007 through December 31st 2008 to analyze the relationship of indexes among the three emerging markets, USA and the world. The variable of the three emerging markets adopts MSCI Emerging Market Series Index, the variable of world index MSCI World Index, and the variable of USA stock price S&P 500 Index.

    This research adopts VECM (Vector Error Correction Model). Firstly through cointegration test, the indexes of the three emerging markets, USA, and the world tend to be in equilibrium in the long term but not so in the short term. Then with VECM, the findings are that USA stock returns have the greatest positive effect on all indexes while the effect of world index returns on emerging markets is not significant; on the contrary, the index returns of Emerging Asia have negative effect on almost all index returns and th lag-time 2-3 weeks.

    The conclusion of this research: 1. The three emerging markets tends to be convergent in the long term; 2.USA stock price still influences the three emerging markets greatly; 3.The impact of world factor on the three emerging markets is not significant; 4. Emerging Asia market is on the rise.
    Appears in Collections:[企業管理學系暨研究所] 學位論文

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