台灣與新南向國家股市關聯性之研究

本文研究台灣、印度、越南及泰國四個國家各國股價指數之關聯，選取台灣發行量加權股價指數、印度孟買mumbai sensex 30股價指數、越南胡志明交易所證券指數、泰國曼谷SET股價指數之週資料，探討四國股市指數報酬間的相互影響。資料期間是從 2007 年12 月 21 日到 2017 年 12 月 15 日，以向量自我迴歸模型及向量誤差修正模型，分析四國間股市報酬之相互關連性，並以因果檢定分析四國間股市報酬的領先與落後因果關係。其實證結果顯示：四國股市報酬因果關係為台灣股市報酬跟印度股市報酬會互相影響，為雙向因果關係；印度股市報酬對泰國股市報酬有單向因果關係；越南股市報酬對印度股市報酬為單向因果關係；台灣與泰國及台灣與越南的股市報酬皆互不影響，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；新南向國家

並列摘要

This paper examines the relationship between the stock price indexes of four countries in Taiwan, India, Vietnam, and Thailand, and selects weekly data for the Taiwan Weighted Stock Price Index, the India Mumbai sensex 30 stock price index, the Vietnam Ho chi minh stock index and the Bangkok SET stock price index, Thailand. Explore the mutual influence of the index returns of the stock markets of the four countries. The data period is from December 21, 2007 to December 15, 2017, vector auto-regression model and vector error correction model, the analysis of the four countries between the stock market remuneration and the granger causality test analysis of four countries between the stock market returns and the dual variables of the leading and backward causal relationship. The empirical results show that the causal relationship between the stock prices of the four countries and the Indian stock market remuneration will affect each other, which is a two-way causal relationship; India's stock market remuneration has a one-way causal relationship with Thai stock market remuneration; Vietnam stock market remuneration has a single remuneration for India's stock market. Causality; the stock market remuneration between Taiwan and Thailand, Taiwan and Vietnam does not affect each other and there is no mutual causality.