台灣與美國、日本、中國及香港股市關聯性之研究

A Study on the Relationships of Stock Markets among Taiwan, USA, Japan, China and HK

洪玉勳(Yu-hsiun Houng)

指導教授 ： 鄭光甫

嶺東科技大學/財經學院/財務金融系碩士班/碩士(2019年)

摘要

本研究探討台灣與美國、日本、香港及中國股價指數關聯性，選取台灣加權股價指數、美國紐約道瓊工業平均數、美國納斯達克綜合指數、美國紐約史坦普爾500股價指數、日本東京日經225指數、香港恆生指數、上海綜合股價指數、深圳綜合股價指數週資料。研究期間為2000年01月01日至2018年06月30日，以向量自我迴歸模型、向量誤差修正模型、Granger因果關係檢定分析台灣與各國股市關聯性。實證結果顯示：台灣股價指數與美國的價指數會互相影響，台灣股價指數與日本、香港及中國的股價指數皆不影響，不存在相互因果關係。

關鍵字

向量自我迴歸模型 ； 共整合檢定 ； 向量誤差修正模型 ； Granger因果關係

並列摘要

This paper examines the relationships of stock markets among Taiwan, United States, Japan, Hong Kong and China. I select Taiwan Weighted Stock Index, US Dow Jones Industrial Average, US Nasdaq Composite Index, US New York S&P 500 Index, Japan Tokyo Nikkei 225 Index, Hong Kong Hang Seng Index, Shanghai Composite Stock Index, Shenzhen Composite Weekly stock price index. The research period is from January 01, 2000 to June 30, 2018. The VAR, VECM and Granger causality methodologies are used to analyze the stock market among Taiwan and the four regions.
Empirical results show that Taiwan and USA have Granger causality relationship, however, there doesn’t exist any Granger causality relationship between Taiwan and the other regions.

並列關鍵字

vector self-regression model ； optimum backward period number ； co-integration verification ； vector error correction model ； Granger causality verification

參考文獻

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