Asymmetric Causality between Foreign Exchange Rates and Stock Prices: New Evidence from the Pacific Rim Economies

外匯市場與股票市場的不對稱因果關係：太平洋沿岸國家的實證研究

陳仕偉(Shyh-Wei Chen) ； 林政輝(Cheng-Hui Lin)

《中國統計學報》 52卷2期 (2014/06) Pp. 265-299

摘要

本文旨在探討六個太平洋沿岸國家外匯市場與股票市場的因果關係。我們利用Hatemi-J（2012）的不對稱Granger因果關係檢定法進行實證分析。實證結果顯示包括日本、台灣及印度，外匯市場對股票市場存在單向的對稱及不對稱因果關係，隱含流量模型成立。而包括南韓、新加坡及印尼，外匯市場及股票市場存在雙向的對稱及不對稱因果關係，隱含流量模型及資產組合模型成立。由於投資大眾可以利用外匯市場的資訊去預測股票市場價格的波動，表示這幾個國家的股票市場並不符合弱式效率市場假說。

關鍵字

外匯市場 ； 股票市場 ； 不對稱因果關係

並列摘要

This study aims to present some evidence for the presence of a causal relationship between foreign exchange and stock markets for six Pacific Rim economies. The econometric methodology used in this paper allows us to determine the symmetric and asymmetric Granger causality between the foreign exchange rates and stock prices and it helps us to discriminate between competing theories on how information is disseminated between the two financial markets. Among the main results, it is found that there is uni-directional symmetric and asymmetric Granger causality running from the foreign exchange rates to stock prices for Japan, Taiwan and India, indicating that the 'Flow-oriented' model is applicable to these countries. Generally speaking, the foreign exchange market and stock markets of South Korea, Singapore and Indonesia are simultaneously subject to the influences of the 'Flow-oriented' and the portfolio balance models because there is a feedback relation between the foreign exchange rates and stock prices. Finally, the results imply that stock markets are inefficient due to the fact that traders could make abnormal profits by forecasting their prices based on previous foreign exchange rates.

並列關鍵字

Foreign exchange rate ； stock price ； asymmetric causality

參考文獻

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