電子股價與台、日、韓匯率關聯性之實證研究

An Empirical Study on the Relationship between Stock Returns and Exchange Rates

楊維詮(WEI-CHIUAN YANG)

指導教授 ： 賴靖宜

國立中正大學/管理學院/財務金融學系/碩士(2013年)

摘要

本研究探討台灣電子股價指數與日、韓兩國匯率的關聯性。所採樣本為2005年1月7日至2012年12月28日的週資料。實證分析應用VAR 模型、Granger因果關係檢定、衝擊反應函數分析及預測誤差變異數分解等研究方法。實證結果顯示韓元報酬率與台灣電子股價指數報酬率，以及韓元報酬率與日元報酬率間，在Granger因果關係檢定中具有雙向回饋關係。其次，衝擊反應結果顯示，台灣電子類股股價指數報酬對韓元匯率報酬的衝擊呈現正向反應，對日元匯率報酬的衝擊則呈負向反應，且收斂的時間較前者為短。最後，誤差變異數分解結果台灣電子類股股價指數報酬變異中，韓元匯率報酬可解釋的比例約佔15%，日元匯率報酬的則有7%。

關鍵字

Granger因果關係檢定 ； 電子股價報酬率 ； 匯率 ； 衝擊反應分析

並列摘要

This article investigates the relationship between the stock returns of electronics sector in Taiwan and the returns of exchange rate of Japanese Yen/Taiwanese dollar (TWD) and Korean Won/TWD. Weekly data from January 7, 2005 to December 28, 2012 is adopted for empirical analysis through the Vector autoregression model, the Granger causality tests, the Impulse response and Forecast error variance decomposition methods. The results show that there exists a bi-directional feedback relation between the returns of Yen and electronic stock returns, and also between the returns of Yen and Won. The impulse response analysis finds that the electronic stock returns positively respond to the shock of Won returns, but negatively to the shock of Yen returns. The variance decomposition analysis suggests that the return of Won has more explanatory power than that of Yen on the variation of electronic stock returns in Taiwan.

並列關鍵字

Variance decomposition methods ； Impulse response analysis ； Granger causality test ； electronics stock returns ； Exchange rate

參考文獻

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