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標題: | 台灣、美國、日本、中國、香港之股價關聯性研究 Correlation of the Stock Price Index between Taiwan, the U.S., Japan, China and Hong Kong |
作者: | Yung-Yun Wu 吳詠筠 |
指導教授: | 陳思寬 |
關鍵字: | 單根檢定,向量自我迴歸模型,Granger因果關係,衝擊反應函數,變異數分解,共整合檢定,關聯性, Unit Root Test,VAR,Granger Causality,Impulse Response Function,Variance Decomposition,Cointegration, |
出版年 : | 2019 |
學位: | 碩士 |
摘要: | 本研究旨在探討2010年1月1日至2018年12月31日九年間,台灣、美國、中國、日本、香港五個股票市場間的關聯性,本研究利用台股加權股價指數、美國標準普爾500指數、滬深300股價指數、香港恆生指數及東證股價指數來進行分析,選取了這九年間的2347筆的日資料作為研究樣本,希望能檢驗股市間是否會互相影響,抑或有共整合關係,藉此幫助投資人作為投資決策的參考。
實證結果發現:從向量自我迴歸模型來看,各國股市彼此間具有正向或負向的關係,而利用Granger因果關係檢定來更進一步的探討其彼此間領先落後的關係,發現五個變數間並沒有雙向因果關係,且美國標準普爾500指數報酬率「Granger領先」了最多市場,由衝擊反應函數分析了解到,各國股市在受到衝擊後,約在3到4期後會收斂,惟受到美國市場衝擊後,需要到第5期才會恢復平穩。透過變異數分解結果顯示,各國股市的預測誤差主要可以由自身解釋,但香港股市只有約莫50%能由自身的預測誤差變異數來解釋,其它誤差變異則依序由台灣、美國、中國、日本市場來解釋,顯示香港作為貿易樞紐的角色,最後,唯有中國及香港市場間具有共整合關係,表示其具有長期的關聯性。總的來說,各國股市的互動彼此間有一定程度的影響,美國市場在股票市場內具有相當大的影響力,而台灣在其四個最大的貿易夥伴國中,並不具太大的主導地位,投資人在進行投資活動時,可以選擇分散市場投資,進一步達到分散分險的效果。 This study investigated the correlation between five stock markets including Taiwan, the U.S., China, Hong Kong and Japan during 2010 to 2018. The study used Taiwan Stock Exchange Index (TAIEX), Standard and Poor’s 500 Index, CSI 300 Index, Hong Kong Hang Seng Index and Tokyo Stock Price Index, these five stock price indexes to analyze. These stock indexes are chosen from the five regions and are representative. This study tried to find out the interactions between stock markets in order to improve the portfolio of investors. Empirical findings showed that there existed some positive or negative effects between stock markets. The Granger Causality test showed the U.S. stock market can granger cause the stock markets in Taiwan, China and Hong Kong. China stock market can also granger cause the stock markets in Taiwan and Hong Kong. The impulse response functions implied that most of the stock indexes would converge after 3 or 4 periods but the stock markets shocked by the U.S. would converge after 5 periods. The Variance Decomposition Tests pointed out all the stock market indexes were influenced most by themselves. In the end, there’s only one cointegration between China and Hong Kong To conclude, the U.S. is in a leading position between the stock markets. And Taiwan as a country living on international trade seemed not has a dominant position between its four main trade partners. For investors, they can achieve investment portfolio diversification by building their portfolio across countries. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/73500 |
DOI: | 10.6342/NTU201900647 |
全文授權: | 有償授權 |
顯示於系所單位: | 國際企業學系 |
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