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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/87206

    Title: 比較美元指數與新臺幣匯率對臺灣股價之互動關係
    Other Titles: The comparison of the interactive relationship for both US dollar index and exchange rate respectively with Taiwan stock price
    Authors: 羅碧霞;Lo, Pi-Hsia
    Contributors: 淡江大學財務金融學系碩士在職專班
    聶建中;Nieh, Chien-Chung
    Keywords: 匯率;美元指數;動差門檻自我迴歸模型;門檻誤差修正模型;Exchange rate;US Index;MTAR;TECM
    Date: 2012
    Issue Date: 2013-04-13 10:51:11 (UTC+8)
    Abstract: 本研究以美元指數及新台幣匯率對臺灣加權股價指數資料為研究摽的,利用非線性模型架構,分別研究美元指數、新台幣匯率與台股之間之長短期因果關係。在研究方法上,採用以Enders and Granger(1998)門檻自我迴歸模型(TAR)及動差門檻自我回歸模型(M-TAR)進行門檻共整合檢定,並進一步利用Enders and Granger(1998)及Enders and Siklos(2001)門檻誤差修正模型(TECM),來探討變數間的長短期非對稱因果關係。
    This paper will compare and analyze the interactive relationship of both US dollar Index and exchange rate respectively with Taiwan stock price with the daily closing date from 2005 to 2011. It is empirically employed as the method of a full exploration that the threshold error-correction model( TECM) is elaborated by Enders and Granger(1998) 、Enders and Siklos(2001) and assume that it’s relative nature between the variables is on the basis of non-linearity.
    This empirical evidence suggests that it has an asymmetric threshold cointegration relationship that exists only between of the US index and Taiwan stock with a long-term equilibrium relationship. In addition, the results of TECM Granger-Causality tests show that there is a causal relationship from the USDX and US exchange rate to the Taiwan stock either in short run or the long run but the former running more positive. The traditional approach is obviously supported by these findings, therefore domestic stock prices in Taiwan would be strongly influenced by the US index and it is readily available for individual investors.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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