匯率與股價指數的互動與連結

The Comovement of Equity Indices and Exchange Rate and Series

林惠雯(Hui-Wen Lin)

指導教授 ： 古思明 ； 辛敬文

元智大學/工程學院/工業工程與管理學系/碩士(1998年)

摘要

國際金融市場受到全球貿易自由化與資訊成本降低的影響，使得各國經濟體系由過去的封閉型，逐漸轉變成開放型。此外，國際投資的管道增加，次數也益加頻繁，使得市場間互動性及連結性日益密切。由一九九七年七月亞洲金融風暴的發生可以看出，匯率危機與股市危機間之互動關係，本文嘗試以部份整合模式，分析台灣、日本及美國的匯率變動與股價指數之間，存在的整合程度與互動情形。以下為本研究結論的簡要介紹：
1. 首先，本文將台灣、日本、新加坡及美國的股匯市資料做單根檢定，單根檢定採行ADF檢定法判斷數列的穩定性。四個國家中台灣與新加坡屬於不穩定市場，而日本及美國為穩定市場。
2. 為得知市場間的互動關係是否為穩定，本研究採行共整合殘差之ADF檢定法，觀察四國股匯市交互的動態關係。其結論為，1989到1998年新加坡股市及匯市間具有共整合關係，1989到1993年底日本股市對美國匯率存在共整合，而1994到1998年的台灣股匯市間具有共整合情形。
3. 本文嘗試以部份共整合法分析，不存在共整合的市場組合間是否確實沒有關連，亦或是互動情形較微弱。觀察四國股匯市組合，除了1989年到1993年底間台灣匯率對日本股市不具部份共整合外，本研究的市場組合大多數具有部份共整合的現象。

關鍵字

單根檢定 ； 共整合 ； 部份共整合 ； 長期記憶

並列摘要

The internal market for finance, influenced by global trends toward trade liberalization and the shrinking cost of information acquisition, has gradually moved most economic systems away from being highly restricted or closed toward being interactive and open. Furthermore, the multiplication in channels for international investment has brought with it an increase in complexity. Several illustrative examples of this phenomenon are the establishment of multinational enterprises, issuance of international L/Cs, and the issuance of international investment funds. Such activities have brought a high degree of mutual interdependence and influence between national economies, until recently, had little or no economic effect on one another. The run of the Asia Financial Crisis, which began in July 1997, and its impact upon each nation’s currency exchange market provides subtle insight into the impact that exchange rates now have on stock markets. The reverse is also true, with stock market performance influencing currency exchange rates. Given these relatively new interrelationships, this research uses fractional cointegration methodology to analyze the level of integration and mutuality between currency exchange fluctuations and stock market indices in Taiwan, Japan, and the United States.

並列關鍵字

ADF test ； Cointegration ； Fractional cointegration ； GPH test ； Long memory

參考文獻

Andersen, T. G., and T. Bollerslev, “Heterogeneous information

LII, No.3, July, 1997.

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Journal of Applied Econometrics, Vol. 11, 23-40, 1990.

Baillie, R. T., and T. Bollerslev, “The long memory of forward