產業因素 vs. 國家因素對日本, 韓國及台灣市場之影響

Abstract

本研究探討在三個亞洲市場中，國家因素或產業因素是否影響股票報酬。其研究對象主要針對1994年至2006年之日本、韓國以及台灣市場。實證結果顯示，台灣股市及韓國股市深受東證一部指數(TOPIX)之影響。經由分析七個主要產業和其指數的關係可得知，大部分的產業存在單向或雙向的因果關係。另外，由產業因素和國家因素對股價報酬產生之效應與股價指數報酬間亦存在Granger Causality因果關係。

This thesis investigates whether stock returns in three Asian markets are significantly influenced by country factors or industry factors. The different implications and performance of Japan, South Korea and Taiwan markets from 1994 to 2006 were studied. Results indicate that the TWSE and KOSPI index returns are deeply affected by TOPIX index returns. By scrutinizing the relationships among seven major industries and its index returns, we found that the relationships are one-way or two-way causality for most industries. Granger causality was performed for stock index returns and the effects of stock returns from country factors and industry factors.