國人主要投資地區股價指數關係之實證研究

Abstract

本研究主要想探討國人投資比重較高國家之股市關聯性，以了解是否能藉由投資不同國家而有分散風險之可能，樣本採美國、歐洲、香港、日本、中國、印度、印尼、泰國、俄羅斯從2015年至2019年4月之股市收盤日資料，另亦將此九個國家分為成熟市場及新興市場組，使用單根檢定、共整合檢定、向量自我迴歸、預測誤差變異分解、衝擊反應函數、因果關係檢定研究。 實證結果得出結論1. 經共整合檢定實證結果認為成熟市場組及新興市場組均具有一個共整合向量，亦即存在長期均衡關係2. 美國股市仍穩坐領先指標之地位3. 成熟國家中之四個國家，互相影響程度及解釋比率均較高 4.新興市場樣本國家中仍有些國家具獨立關係，包含：印度及泰國、印度及俄羅斯、中國及俄羅斯、印度及印尼，可妥善分散風險5. 新興市場相較於成熟市場確實較能分散風險，因成熟市場間之股市互相連動及影響幅度較高。

This research studies the correlation among stock index of primary investment countries in Taiwan includes US, Europe. Hong Kong, Japan, China, Indonesia, India, Thailand and Russia, for the objective of whether invest in different countries can diversify risk. These countries are divided into two groups, one is called developed markets, another is emerging markets. This research use unit root test, cointegration test, VECM, impulse response function, forecast error variance decomposition and Granger causality test, etc. Period of daily data is from January 2015 to April 2019. The empirical results show some findings as following. (a) there are one cointegration at both developed markets and emerging markets, which means there are long-term equilibrium. (b) U.S. stock market is still a leading indicator. (c) There are higher explanation ratio and great influence among 4 countries of developed markets group (d) In the emerging markets group, there are some countries independent, include India and Thailand, India and Russia, China and Russia and India and Indonesia. It implies they can be used to manage risk. (e) Because of higher explanation ratio and great influence among developed markets group and more independence among emerging markets. Emerging markets did can be used to diversify risk compare to developed markets.