分期投資報酬率下
美股與台股之長短期互動關係研究

本文經實證，我們發現在上漲期之短期，美國道瓊工業指數對台灣股市指數有顯著的影響，就門檻共整合檢定而言，台灣股價指數報酬與美國道瓊工業指數間有不對稱門檻共整合關係。門檻誤差修正模型顯示美國道瓊工業指數變動率與台灣股價指數報酬除了受本身前期的影響外，短期言，兩者之間亦互有領先落後關係；在長期關係方面，考慮門檻誤差修正之Granger 因果關係，兩者均衡誤差在門檻值以上及以下時，具有雙向回饋效果，比較線性關係下，也同樣存在領先及落後關係。在門檻誤差修正模型方面，門檻之上與之下，誤差修正項係數都為負值，表示會向長期均衡收斂，且在門檻之上與之下，其回復均衡狀態的調整速度在門檻誤差修正模型方面並不相同。不論非對稱及對稱之誤差修正模型皆顯示，在台灣股價與美國道瓊工業指數的長期均衡調整過程，當期台灣股價指數的變動可由前期的誤差修正項進行顯著調整。所以，門檻誤差修正模型在長期中，我們可得到美國道瓊工業指數對台灣股市指數有領先關係。且下跌時期之影響程度大於上漲時的影響程度，而盤整期之相關性則較小，此與大國經濟變動對小型經濟體之股市指數領先變動的主旨大致符合。

關鍵字

股價指數；門檻自我迴歸；共整合模型

並列摘要

This paper find in a short time in increase period, the industrial index of U.S.A.'s Dow Jones has apparent influence on index of stock market of Taiwan, in respect to combining and assaying altogether in the threshold, there are asymmetric thresholds that combine the relation altogether among the index remuneration of stock price of Taiwan and industrial index of U.S.A.'s Dow Jones.Threshold error revise model show industrial index change, Dow Jones of U.S.A., is it receive itself previous influence with except Taiwan stock price index remuneration to lead, short-term speech, also lead backward relations each other between the two. In long-term relation, considering Granger causality that the error of the threshold revises, the balanced error of the two is in above and following threshold value, having two-way result of feedbacking, compare it under the line sexual relations, existing and leading too and backward relation. Revise the model respect in the error of the threshold, on and under the threshold, error revise items of coefficient negative value, it shows to be can to disappear proportionally for a long time, and on and under the threshold, its adjustment of replying the balanced state is not the same in speed. No matter asymmetry and symmetrical error revise models to all show, adjusting the course proportionally for a long time in the stock price and industrial index of Dow Jones of U.S.A. of Taiwan, can revise as issues of Taiwan change, stock price of index from previous error item carry on apparent to change. Great influence degree while going up of influence degree of period that and drop, the dependence of checking and regulating one is relatively small, this roughly accords with purport of the leading change of stock market index to the small-scale economy of big country's economic change.

並列關鍵字

Stock price ； Threshold Autoregression ； Cointegration

參考文獻

10、陳君達（民89），價格變動與國際股市波動相關性之研究，淡江

12.黃莉芷(民94)，以門檻誤差修正模型分析台灣股價指數及外資買賣超之長短期互動關係，私立淡江大學財務金融研究所。

5.吳美真(民91)，美國與台灣生物技術產業股價連動性暨泡沫性研究，國立成功大學企業管理研究所。

1. Bailey, W. and R. M. Stulz (1990), “Benefits of International Diversification: The Case of Pacific Basin Stock Markets,” Journal of Portfolio Manangement, Vol.16: 57-61.

2. Chan, K. C., B. E. Gup and M.S. Pan (1992), “An Empirical Analysis of Stock Prices in Major Asian Market and the United States,” Financial Review, May: 289-307.

國際替代計量

分期投資報酬率下美股與台股之長短期互動關係研究

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