台灣股市與國際股市間連動性研究

本研究旨在探討國際股市間與台灣股市的連動性，選取美國紐約道瓊工業平均數、美國NASDAQ Composite指數、美國紐約史坦普爾500股價指數、英國倫敦金融時報一百種股價指數、德國DAX指數、法國巴黎CAC 40指數、日本東京日經225指數、韓國綜合股價指數、新加坡富時海峽時報指數、越南胡志明易證券指數、上海綜合股價指數、深證成指500、中國滬深300指數、台灣加權股價指數、台灣OTC股價指數、台灣電子類股指數、台灣金融保險類股指數等十七個股市的周報酬率，資料期間為2009年1月1日至2018年12月31日之周資料。利用ADF單根檢定測試資料為定態時間序列。再進行Granger因果關係檢定探討在研究期間國際股市間倆倆的因果關係。接著對定態時間序列資料建構向量自我迴歸模型(VAR)，以作衝擊反應分析及預測誤差變異數分解反應分析。經實證分析可知，各國股價指數報酬間只有單向因果關係，並無回饋關係，且台灣之股價指數報酬會受美國股市、歐洲股市及越南股市影響。衝擊反應分析顯示，國際股價指數對台股的衝擊反為短期效果，表示未來發生非預期事件時，各國對於台灣股市的衝擊反應在6至7周內會反應完並回歸正常。由VAR預測誤差分解值顯示，台灣的四個主要股市的預測誤差來自本身自發性干擾比例都相當高，而除了受到自己的影響外，德國、韓國、新加坡及越南股市對台灣股市都有較高的解釋能力。

關鍵字

股市；連動性；單根檢定； Granger因果關係檢定；向量自我迴歸模型；衝擊反應；預測誤差變異數分解

並列摘要

The purpose of this research is to study the relationship between Taiwan stock market and International stock markets. and to select the weekly return rates of 17 stock markets, such as the Dow Jones Industrial Average in New York, NASDAQ Composite Index, New York S&P 500 Stock Index, Financial Times 100 Index, Germany DAX Index, PARIS CAC 40 Index, Japan's Nikkei 225 Index, Korea Composite Index, Singapore FTSE Straits Times Index, Vietnam Ho Chi Minh Ei Securities Index, Shanghai Composite Stock Index, Shenzhen Composite Index 500, China CSI 300 Index, Taiwan Weighted Share Price Index, Taiwan OTC Share Price Index, Taiwan Electronic SE Index, Taiwan Financial Insurance Index. The data period is from January 1, 2009 to December 31, 2018. The test data is used to determine the test data of ADF as a fixed time series. The Granger causality test then explores the causality between the international stock markets during the study period. Then the vector self-regression model (VAR) is constructed for the fixed-state time series data, so as to analyze the shock reaction and the decomposition reaction of the predicted error variation. Empirical analysis shows that there is only one-way causal ity between the exchange rate index compensation of each country, there is no feedback relationship, and taiwan's share price index compensation will be affected by the U.S. stock market, European stock market and Vietnam stock market. The shock reaction analysis shows that the impact of the international stock index on Taiwan stocks is a short-term effect, indicating that in the event of unexpected events in the future, the impact response of countries to Taiwan's stock market will be completed and return to normal within 6 to 7 weeks. The breakdown of errors by VAR shows that the forecast errors of Taiwan's four major stock markets are all highly stoic, and that, in addition to their own influences, the German, Korean, Singapore and Vietnamese stock markets have a high degree of interpretation of Taiwan's stock markets.