考慮美國量化寬鬆貨幣政策下五國股市之關聯性研究

本研究選取美國、台灣、香港、新加坡和韓國之股價指數為研究對象。研究期間為2005年1月1日至2014年10月31日之日報酬資料，並依美國量化寬鬆政策宣布日切分為四個區間進行探討。本研究採用單根檢定、共整合關係檢定、向量自我迴歸模型及Granger因果關係檢定為研究方法。實證結果發現：1、美國量化寬鬆政策的實施，對美國、台灣、香港、新加坡和韓國這五國的股市平均報酬率多為正向的影響。2、台灣、香港、新加坡和韓國各國股市在本研究四個階段時期，於不同時期雖有出現單向因果或雙向回饋關係，但大部分的情形為獨立關係。3、美國不論在實施量化寬鬆政策前與實施三階段的量化寬鬆政策期間，對台灣、香港、新加坡、韓國各國皆保有單向領先關係，顯示美國對於這四國的股市有領導地位。此結果支持美國股市在全球資本市場中持續佔有一席之地，表示美股撼動全球的實力仍存在。

關鍵字

量化寬鬆貨幣政策； ADF單根檢定；向量自我迴歸； Granger因果關係

並列摘要

This study selected stock index of the United States, Taiwan, Hong Kong, Singapore and South Korea's for the study. The remuneration data was studied since January 1, 2005 to October 31st, 2014, and the researcher discussed four intervals according to the announced date of Quantitative easing policy of the US. In this study, the researcher took several methods, such as a Unit Root Test, Cointegration Test, Vector auto regression Model and Granger causality Test Model. Empirical results show that: 1. the implementation of the US quantitative easing policy mostly showed a positive impact to the average rate of return on the stock markets of the five countries, such as the United States, Taiwan, Hong Kong, Singapore and South Korea. 2. During the four stages of the study period, stock markets of Taiwan, Hong Kong, Singapore and South Korea showed unidirectional bidirectional causality relationship at different period of time though, most of the situation of they were independent to each other. 3. Whether it was before or during the implementation of the three stages of the US quantitative easing policy, the United States showed a unidirectional leading role to Taiwan, Hong Kong, Singapore and South Korea. This result not only supported the US stock market maintained an important role in the global capital markets, but also showed the strong influence of the US stock market to the world continuously.