- 學位論文
台灣股市與國際股市之時變領先落後連動性研究 - 遞迴演進窗口法之應用
Time-varying Lead-lag Movement between Taiwan and International Stock Markets: An Application of Recursive Evolving Window Approach
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摘要
本研究使用 Shi, Phillips and Hurn (2018) 提出的遞迴演進窗口法，探討台灣股市與國際股市之間隨時間改變的領先落後關係。我們選定1997年1月至2021年12月的台灣加權股價指數以及8個已開發國家股票市場大盤指數作為分析資料，並建置未控制美國股市影響下之雙變量模型以及控制美國股市影響之三變量模型進行實證分析。研究結果顯示，在未控制美國股市影響下，台灣股市曾單向領先日本股市，韓國股市也曾單向領先台灣股市，但中國股市與台灣股市於任何時點皆不存在領先落後關係，而香港股市與台灣股市曾存在雙向領先落後關係；整體而言，亞洲各國股市與台灣股市的領先落後關係時期存在較大差異。相較之下，英國、德國、法國股市與台灣股市都曾存在雙向領先落後關係，且歐洲各國股市與台灣股市的領先落後關係時期較為一致。當控制美國股市的影響後，亞洲各國股市與台灣股市的領先落後關係時點依然迥異，且歐洲各國股市與台灣股市的領先落後關係時期也產生顯著變化，驗證了美國股市確實對各國股市具有相當影響力。
並列摘要
This study uses the recursive evolving window method proposed by Shi, Phillips and Hurn (2018) to explore the time-varying lead-lag relationship between Taiwan and international stock markets. We select Taiwan's weighted stock price index from January 1997 to December 2021 and the stock market index of 8 developed countries as the analysis data, and build the bivariate model and the trivariate model which controls for the influence of US stock market in particular for the empirical analysis. The results of bivariate models show that, Taiwan stock market once led Japanese stock market, and South Korean stock market once led Taiwan stock market, but Chinese and Taiwan stock market did not have a lead-lag relationship at any time. Besides, there was a bidirectional lead-lag relationship between Hong Kong and Taiwan stock market; on the whole, there is a big difference in the period of the lead-lag relationship between Asian and Taiwan stock market. In contrast, UK, German and French stock markets and Taiwan stock markets all had a bidirectional lead-lag relationship once, and the period of the lead-lag relationship between European and Taiwan stock market are relatively consistent. After controlling for the influence of U.S. stock market, the period of the lead-lag relationship between Asian and Taiwan stock market is still very different, and the period of the lead-lag relationship between European and Taiwan stock market also changed significantly, which proves that U.S. stock market does have a considerable impact on the stock markets of various countries.
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