匯率變動對股價指數之非線性研究─台灣、中國及新加坡做比較

Nonlinear influences of Exchange Rate on Stock Market Index-Comparison of Taiwan, China and Singapore

張紘嘉(Hung-Chia Chang)

指導教授 ： 聶建中

共同指導教授 ： 謝志柔(Chih-Jou Hsieh)

淡江大學/商管學院/財務金融學系碩士班/碩士(2017年)

https://doi.org/10.6846/TKU.2017.00641

摘要

本研究以2014年1月至2016年12月之台灣、中國及新加坡資料探討，取其月資料，並以縱橫資料（Panel Data）的形式，用Gonzalez, Terasvirta and van Dijk (2004, 2005)所發的縱橫平滑移轉迴歸模型，以匯率波動率為模型中的門檻變數，觀察台灣、中國及新加坡各國匯率的波動對該國股價指數之報酬是否存在平滑移轉效果，另外加入出口貿易額及消費者物價指數做自變數，探討其匯率變動對股價指數所造成的影響。
研究結果證實，在研究期間內，美元兌新台幣與台灣加權指沒有顯著關係，然而台灣出口貿易額與加權指在門檻值左右為顯著正相關，表示在台灣央行採用穩定匯率，而非貶值政策提升出口貿易。中國在匯率在高於門檻值後美元兌人民幣的變動對滬深300指數呈現反向關係，表示在人民幣貶值時，股價指數呈現下降的現象，與一般認為匯率貶值對股價指數呈現正向關係的理論相反。新加坡匯率在高於門檻值時匯率對股價指數以及出口貿易額對股價指數的相關性為顯著正相關，支持匯率貶值助於出口提升。

關鍵字

匯率 ； 股價指數 ； 縱橫平滑移轉模型

並列摘要

Based on the data from Taiwan, China and Singapore in January 2014 to December 2016, the study was conducted using Gonzalez, Terasvirta and van Dijk (2004, 2005) in the form of Panel Data. And the exchange rate fluctuation rate is used as the threshold variable in the model to observe whether the exchange rate fluctuation of Taiwan, China and Singapore countries has a smooth transfer effect of the country's stock price index, and add the export trade And the consumer price index to be the independent variable, to explore its exchange rate changes on the impact of the stock index.
    The results confirm that there was no significant correlation between the exchange rate and the TWI during the study period. However, Taiwan's export trade volume and weighted index were significantly positively correlated with the threshold value, indicating that the Central bank adopted a stable exchange rate rather than a depreciation policy enhance export. China's exchange rate above the threshold the CSI 300 showed a negative relationship, said the devaluation of the exchange rate, the stock index showed a decline in the phenomenon, and generally believe that the exchange rate depreciation of the stock price index is a positive relationship is opposite. Singapore exchange rate above the threshold when the exchange rate on the stock price index and the export trade volume on the correlation between the stock price index is significantly positive correlation to support the exchange rate depreciation to increase exports.

並列關鍵字

Exchange Rate, ； Stock Price Index ； Panel Smooth Transition Model

參考文獻

1. 方文碩, and 田志遠. (2001). 匯率貶值對股票市場的衝擊-雙變量 GARCH-M 模型. 台灣金融財務季刊, 2(3), 99-117.

2. 林基煌, and 徐政義. (2004). 東亞地區新興市場匯率與股價指數之關係-金融風暴前後的實證分析. 中華管理學報, 5(1), 23-39.

4. 葉志權, 楊永列, and 張倉耀. (2012). 匯率與股價的動態共移效果分析: 亞洲 8 國實證探討. 中原企管評論, 10(2), 23-49.

3. 張倉耀, 林家樑, and 廖怡婷. (2013). 探討台灣上市產業類股指數與匯率貶值相關性不對稱效果. 文大商管學報, 18(2), 107-126.

3. Hsu, T. K. (2015). “Exploring Relationship Between the Stock Price of Taiwan and the Exchange Rate: An Autoregressive Distributed Lag Model with a Quantile Regression.” International Journal of Economics and Finance, 8(1), 72.