台股多面向連動性分析

Abstract

本研究以還原除權息之MSCI台股指數為基礎，以單根檢定、共整合、誤差修正模型、向量自我迴歸模型、Granger因果分析等方式進行多面向關聯性分析，分別探討台股與國際股市 (主要為金磚四國) 連動性、金融面變數、實質面變數、以及行為及資訊不對稱面變數之關聯性。 結果發現2001年之前的台股與國際股市並不具共整合現像，分散投資是可行的策略；2001年之後台股與金磚四國等股市呈現共整合現像，中國市場領先台股且對所有市場皆有單向Granger因果關係，代表大陸股市可作為我們投資台股之參考，但於2001年後分散投資的效果也因大陸與國際股市連動程度提高而有所遞減。 金融面變數部分以M1B對台股影響最顯著，而匯率、利率、通膨間有連動關係；實質面變數部分則以銅價對於台股影響最顯著，工業生產指數則可用作景氣確認之指標；而在行為及資訊不對稱面變數的部份，可由董監持股變化觀察到資訊不對稱之現象，而由VIX指數可發現，股票市場由恐慌調整回正常之情況可能需時1個月以上，而美債十年期殖利率比黃金更適合當作恐慌情緒的觀察指標。

The main purpose of this study is to focus on the correlations of MSCI Taiwan gross return index with certain international stock indexes (i.e. Brazil, Russia, India, China, or “BRIC”, and U.S.) and pre-defined factors. The type of factors under the scope of this study can be categorized into financial market factors, real business factors, and other factors and the study methodologies adopted within this paper are Unit root test, Vector Autoregression Model, Johansen’s cointegration model, and Granger Causality Test. The findings of this study conclude that there was no correlation among the stock indexes in Taiwan, U.S., and BRIC prior to 2001, therefore investors can benefit from a diversified portfolio consisted of stock indexes of these markets. Since 2001, however, the stock markets among Taiwan, U.S., and BRIC have become more correlated and it appears that Taiwan’s stock index started to follow the stock index of China, according to the Granger Causality Test conducted in this study. With an increased degree of correlation; however, the benefit of diversification among these countries starts to diminish This study also discovers that M1B has the most significant impact among financial market factors on the movement of Taiwan’s stock index even though certain degree of correlation does exist between Taiwan’s stock index and other financial market factors such as exchange rate, interest rate, WPI, or CPI. Among the real business factors, the one with most significant impact on Taiwan’s stock index is the price of copper, and we can use industry production index as a good indicator to assess the overall economic condition. Last but not least, for the other factors, we noted the reflection of asymmetric information through observing the change in the key controlling shareholders’ ownership in a publicly traded company, and it would take more than one month for the stock market to recover from the impacts caused by irrational market reactions. In addition, the yield of U.S. 10-year T-Note is a better indicator than gold’s price when investors want to gauge the degree of fear in Taiwan’s stock market.