美股與台股及電子、金融股連動性之研究

本文研究美國與台灣各股價指數連動性之研究，選取美國紐約證交所綜合股價指數、美國NASDAQ 綜合股價指數、台灣加權股價指數、台股電子類股價指數、台股金融保險類股價指數之日資料，探討五個股價指數報酬間的相互影響。資料期間是從 2017 年 01 月 03 日到 2022 年 03 月 18 日，以向量自我迴歸模型及向量誤差修正模型，分析五個股價指數報酬之相互關連性，並以因果檢定分析五個股價指數報酬的領先與落後因果關係。其實證結果顯示：在1%顯著水準下，美國紐約證交所綜合股價指數報酬會影響美國NASDAQ 綜合股價指數報酬及台灣加權股價指數報酬、台股金融保險類股價指數報酬，為單向因果關係。在10%顯著水準下，台灣加權股價指數報酬會影響台股電子類股價指數報酬，為單向因果關係。在1%顯著水準下，美國NASDAQ 綜合股價指數報酬會影響台灣加權股價指數報酬及台股電子類股價指數報酬，為單向因果關係。台股金融保險類股價指數報酬與美國NASDAQ 綜合股價指數報酬、台灣加權股價指數報酬、台股電子類股價指數報酬皆互不影響，不存在相互因果關係。

關鍵字

向量自我迴歸模型；向量誤差修正模型；因果關係檢定

並列摘要

This paper investigates the correlation between the US and Taiwan stock indices by selecting the daily data of NYSE Composite Index, NASDAQ Composite Index, Taiwan Weighted Index, Taiwan Electronics Index, and Taiwan Financial and Insurance Index. The data period is from Jan. 03, 2017 to Mar. 18, 2022. The vector self-reversion model and the vector error correction model are used to analyze the correlation between the returns of the five stock indices, and the causality test is used to analyze the leading and lagging causality of the returns of the five stock indices. The results show that the NYSE Composite Index returns affect the NASDAQ Composite Index returns, Taiwan Weighted Index returns, and Taiwan Financial and Insurance Index returns at the 1% level of significance, with unidirectional causality. At the 10% significance level, the Taiwan Weighted Index returns affect the Taiwan Electronics Index returns, which is a unidirectional causality. At the 1% level of significance, the NASDAQ Composite Index return affects the Taiwan Weighted Index return and the Taiwan Electronics Index return, which is unidirectional causality. There is no mutual causality between the NASDAQ Composite Index, Taiwan Weighted Index and Taiwan Electronics Index.