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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/71641
Title: | 總體因素、匯率與國際股市對臺灣電子類股股價指數影響之研究 Influence of Macroeconomic Factor, Exchange Rate and International Stock Market on Taiwan Stock Exchange Index-Electronics Sector |
Authors: | Chih-Han Yu 游智涵 |
Advisor: | 謝德宗 |
Keyword: | 單根檢定,共整合模型,向量誤差修正模型,Granger因果關係,衝擊反應函數, Single root test,Cointegration test,Vector Error Correction Model,Granger Casuality,Impulse Response Function, |
Publication Year : | 2019 |
Degree: | 碩士 |
Abstract: | 自17世紀以來,台灣位處優越的地理位址成為海上貿易的重要港口。近幾年更因政策緣故,由高度勞動密集的加工出口業轉變成為高度技術的電子產業,其中更以半導體相關之應用為發展核心。根據台灣證交所統計數據顯示,電子類相關產業在2017年已占總加權股價指數高達之54.45%。
本研究以討論台灣電子類股股價指數為主旨,討論外資買賣、匯率與國際股市等三個不同的層面進行分析。資料長度使用自2001年01月資料至2017年12月資料,共204筆月資料。以單根檢定、最適落後期數、共整合模型、向量誤差修正模型、Granger因果關係與衝擊反應函數等進行實證分析。實證結果得知,透過向量誤差修正模型顯示,電子類股股價指數與過去連續四期外資買進呈現負向關係、與過去兩期之出口呈現負向關係、與台灣實質工業生產指數過去六至九期呈現負向關係;而與過去連續五期之外資賣出呈現正向關係。 Since the 17th century, Taiwan’s superior geographical location has become an important port for maritime trade. In recent years, due to policy reasons, the highly labor-intensive processing export industry has transformed into a highly-skilled electronics industry, with semiconductor-related applications as the core of development. According to the statistics of the Taiwan Stock Exchange, the electronics-related industries accounted for 54.45% of the total weighted stock price index in 2017. This study discusses Taiwan's electronic stock price index and discusses three different kind of factors, foreign investment, exchange rate and international stock market. The data length is from January 2001 to December 2017, with a total of 204 monthly data. The paper analyzes the single root test, optimal backward period, cointegration test, vector error correction model, Granger causality and impulse response function. The empirical results show that the vector error correction model shows that the electronic stock price index has a negative relationship with the past four consecutive periods of foreign purchases, and has a negative relationship with the past two periods of exports, and the Taiwanese real industrial production index for the past six to nine issues showed a negative relationship; and there was a positive relationship with the past five consecutive foreign sales. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/71641 |
DOI: | 10.6342/NTU201900130 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 經濟學系 |
Files in This Item:
File | Size | Format | |
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ntu-108-1.pdf Restricted Access | 5.09 MB | Adobe PDF |
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