- 學位論文
台灣與中國及美國股市連動性分析
A Study on the Relationships of Stock Prices among Taiwan, China and U.S.
摘要
本文研究台灣、中國及美國三個國家各個國家之間股價指數的相互連動性，採用台灣加權股價指數、上海證券交易所綜合股價指數和S&P 500指數股價指數的月資料，分析三國股市指數報酬彼此間的連動關係。樣本取樣區間為 1996年1月到 2023年 2 月，並以COVID19 疫情期間區隔，分為全時期，及疫情前1996年1月到 2020年 1 月，及疫情期間2020年2月到 2023年 2 月三段期間分別探討。採用向量自我迴歸模型和向量誤差修正模型，研究探討三國間彼此股市報酬的連動性，再採用因果檢定來探討三國之間股市報酬所衍生的領先跟落後之因果關係。其實證結果顯示：本研究實證結果表示：全時期及疫情前，台灣股市報酬與美國股市報酬會會影響中國股市報酬，中國股市報酬不會影響台灣股市報酬及美國股市報酬，為單向因果關係。台灣與美國股市報酬皆互不影響，並不存在相互因果關係。疫情期間，台灣股市報酬與美國股市報酬不會影響中國股市報酬，中國股市報酬不會影響台灣股市報酬及美國股市報酬，不存在因果關係。台灣與美國股市報酬皆互為影響，互為因果關係。也就是說，疫情前台灣及美國股市影響中國股市的現象，在疫情期間不見了，反而出現台灣與美國股市互相影響的現象。
並列摘要
Abstract This article studies the relationship between stock prices in Taiwan, China and the United States, and selects Taiwan’s issuance-weighted stock price index and Shanghai Stock Exchange Composite A statistical indicator that reflects the overall trend of stocks listed on the Shanghai Stock Exchange. Compared with the Dow Jones Index, the S&P 500 Index records 500 listed companies in the United States, so risks are more dispersed and market changes are observed more extensively. The S&P 500 is weighted by market capitalization, which better reflects the actual importance of a company's stock in the stock market. Weekly data on stock market indices, discussing the interaction among the returns of stock market indices in the three countries. The data period is from January 01, 1996 to February 28, 2023, separated by the COVID19 epidemic period, from January 01, 1996 to January 31, 2020 and from February 01, 2020 to 2023 Discussed separately during February 28, 2019. Using the vector self-regression model and the vector error correction model to analyze the interrelationship of the stock market returns among the three countries, and to analyze the leading and lagging causality of the stock market returns among the three countries with the causality test. The empirical results show that: Before COVID-19 period, the causality of stock market returns in the three countries is one-way causality from Taiwan and US stock market to Chinese stock market; but during COVID-19 period, we could find one-way causality from Taiwan and US stock market to Chinese stock market, however, we find there is mutual causality between the Taiwan and US stock market.