東亞國家股匯市關係之研究

An Examination on Relationships between Stock Prices and Exchange Rates in East Asian Countries

詹岱陵(Dai-Lin Chan)

指導教授 ： 何加政

國立中正大學/管理學院/財務金融學系/碩士(2014年)

摘要

本研究主要目的係為探討中國、日本、新加坡、南韓及台灣等五個東亞國家於2008-2009年金融風暴前、中、後期間之股、匯市關係。
本研究方法係使用單根檢定、共整合檢定、因果關係檢定、衝擊反應函數及變異數拆解等方法。
因果關係檢定結果，在5%顯著水準下，僅中國於金融風暴前、中、後期存在匯率領先股價之情形。相反地，關於股價領先匯率之情形，分別存在於日本、南韓及台灣之不同時期中。
衝擊反應結果顯示，大部分國家於不同時期之情況下，呈現出下列結果，即匯率的波動對股價的影響很小，相反地，股價的波動對匯率之影響卻比較大。尤其在金融風暴期間之階段，五個國家同時具有相同之特性，即其股價的波動對匯率的影響，皆為負向之關係。
最後，變異數拆解分析結果顯示，大部分國家於不同時期之情況下，呈現出下列結果，即匯率對股價波動的解釋比率很低，相反地，股價對匯率波動解釋的比率卻比較高。另比較各國金融風暴前、中、後期之資料，發現五個國家同時具有下列相同之特性，即相對於金融風暴前、後期之資料，五個國家於金融風暴時期時之資料，其股價對匯率解釋的比率係屬最高。

關鍵字

衝擊反應函數 ； 誤差修正模型 ； Granger 因果關係檢定 ； 共整合檢定 ； 匯率 ； 股價 ； 變異數拆解

並列摘要

This paper attempts to examine relationships between exchange rates and stock prices in five Asian Countries, namely China, Japan, Singapore, South Korea and Taiwan for the period centering around the global financial crisis of 2008-2009. Empirical methods used in the study include the ADF test, cointegration test, Granger causality test, impulse response function and variance decomposition.
The result based on Granger causality test indicates that exchange rates lead stock prices exclusively in China for the pre-, in-, and post-crisis periods at the 5% significance level. In contrast, the phenomenon that stock prices lead exchange rates is more prevalent. It can be found in Japan, South Korea and Taiwan for different time periods.
The impulse response analysis reveals that shocks in exchange rates have a trivia impact on stock prices but shocks in stock prices tend to have a profound impact on exchange rates. Especially, we find that shocks in stock prices have a negative impact on exchange rates during the in-crisis period for all five countries.
Finally, the variance decomposition analysis shows that exchange rates explain a very small percentage of stock prices but stock prices tend to explain a relatively large percentage of exchange rates. In particular, stock prices explain the largest percentage of exchange rates during the in-crisis period for all the five countries.

並列關鍵字

Impulse Response Function ； Vector Error Correction Models ； Granger Causality Tests ； Cointegration Tests ； Exchange Rates ； Stock Prices ； Variance Decomposition

參考文獻

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