1980年代中之後,東亞各國股市與經濟表現經歷了一段活絡且蓬勃發展時期,但隨著市場景氣泡沫化,在1990年代末期該區域亦遭逢幣值巨幅滑落與股市崩盤等空前危機。本文的目的在觀察1997年東亞各國發生金融風暴前、後,匯率及貨幣政策等變數變動與股價指數的互動影響,並比較其前、後期間的差異。實證結果顯示,在景氣繁榮且成長時股價對匯率變動,在此地區內各國反應不甚一致。但在金融危機發生後,貨幣貶值則促使各國股價迅速且一致性地大幅滑落,同時落遲期對股價的影響時間亦明顯延長。除此之外,貨幣政策變數在實證上亦有效地為導致股價變異的因素。政策涵義上,因匯率為解釋股價的最重要因素之一,因此有效穩定匯率變動且健全外匯交易制度,以致更有彈性地因應危機,應為發展國內證券市場的重要步驟。
After the mid-1980s, investors had experienced a profitable stock market and booming economic development in East Asian countries, but unfortunately they also got lots of financial crises in the end of 1990s when currency and stock markets collapsed in the area. The goal of our work attempts to observe the interactions among stock prices, exchange rates and monetary policies in the pre-crisis and post-crisis eras. Our empirical results show that the relationship between stock prices and exchange rates are ambiguous across countries before the collapse. However, the stock prices drop sharply when currency seriously depreciated in the crisis period. In additions, money factors play an essential role for stock prices as well. For policy makers, it is substantial for developing the domestic stock market to stabilize exchange rate volatilities and complete foreign exchange transaction systems.