本文利用誤差修正模型,OLS模型,單根檢定,以及簡單相關係數分析去探討美國的道瓊工業指數與那斯達克綜合指數、中國大陸上海A股、香港恆生指數以及南韓綜合指數,探討台灣電子股價指數與這些股價指數之間的關係。本研究蒐集各主要貿易國近十年來的股價指數資料,從1998年1月2日至2007年12月31日。 研究結果歸納如下: (1)本文指出那斯達克指數和道瓊工業指數對台灣電子類股股價指數存在領先關係。 (2) 香港恆生指數對台灣電子類股股價指數存在顯著正向關係,然而香港恆生指數電子股相對較少,所以香港恆升指數在投資組合中不失為一分散風險的標地之一。 (3)兩岸政治敏感問題,台灣與中國大陸的資金往來確實受到相當大的阻礙,這原因讓我們實證得出,有顯著影響但佔的比例相當小。 (4)短短幾年,韓國的高科技產業在全世界佔了一席重要位置,台灣電子類股股價指數與韓國綜合股價指數的連動最小,亦即韓國綜合指數為一分散分險的投資標地。
The purpose of this thesis is to examine the relationship between the Taiwan Electronics Stock Index、American NASDAQ Stock Index、American Dow Jones Industrial Stock Index、China Shanghai A Stock Index、Hong Kong Hang Seng Index、South Korea-Stock Index six kind stock indices .This thesis employs ECM、Cointegration Test、Unit root、Simple Correlation Coefficient Analysis、and OLS Model 。The study collects main trade country stock index and the period is from Jan.1998 to Dec.2007 ten years. The conclusions are summarized as following: (1)NASDAQ Stock Index and Dow Jones Industrial Stock Index have the leadership of Taiwan Electronics Stock Index. (2)There is positive relationship between Hang Seng Index and Taiwan Electronics Stock Index. There are few Electronics Stock in Hang Seng Index, so the Hang Seng Index can be a target of diversification. (3)China and Taiwan exists political issue which causes disturbance of fund transactions. This reason let us get the outcome of less interactive between Taiwan Electronics Stock Index and Shanghai A Stock Index. (4)Korea’s High-tech industry takes one important position in few years. However, there is small correlation between Taiwan Electronics Stock Index and South Korea-Stock Index, so Korea stock market can also be a target of diversification.