A Study of Stock Indices Co-Movement-The Case of U.S., Japan, Hong Kong and Taiwan

美、日、港、臺四地股價指數聯動關係之探討

楊踐為(Jack J. W. Yang)

《Asia Pacific Management Review》 4卷2期 (1999/06) Pp. 97-107

https://doi.org/10.6126/APMR.1999.4.2.01

摘要

隨著各國金融市場的日漸開放，國與國間之經濟依存度提高，亦造成彼此的股市整合度（Integration）之提升，本研究即係針對此一課題加以探討，而以美國、日本、香港奧台灣的股價指數週報酬率為研究標的。首先透過單根檢定，發現資料呈不恆定（Non-stationary）狀態，必須將之差分，經過一次差分後，再透過共整合模式（Co-integration）與Granger ECM（Error Correction Method）因果（Causality）關係驗證，所得結果如下：美國之股價指數對日本、香港與台灣方面，存有單向因果關係，即是美國股市會對日本、香港與台灣之股市存有領先效果，而該三地之股價指數卻對美國股市無影響力。就日本而言，其只對台灣、香港具有單向因果關係，但對美國則無任何領先作用，而台灣對其他三地股價指數皆無任何影響力，香港也對美、日、台三地股價指數無任何領先效果。

關鍵字

整合度 ； 因果關係 ； 共整合模式

並列摘要

The open-door policy adopted by most nations in their financial markets makes the economic dependency among them even more severe. Therefore, the degree of stock market integration for concerned countries has become an important issue. Examining the co-movement of four stock indices (U.S., Japan, Hong Kong, and Taiwan), this study explores the causality relationship among them. With the application of co-integration and Granger ECM (Error Correction Method) after differencing the non-stationary data, the final results indicate that the Dow Jones (US) leads the other three indices and the leading situation is one-way. The Nikkei (Japan) leads both the Hang Seng (Hong Kong) and Taiwan. Meanwhile, Hong Kong and Taiwan play the role of followers.

並列關鍵字

Integration ； Causality ； Co-integration

參考文獻

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