本文以台灣、美國股市為研究對象,以台灣加權指數、美國那斯達克綜合指數、美國標普500 指數為研究標的,樣本期間為三個階段,第一階段全時期自2017年3月1日至2022年2月25日止,第二階段為新冠肺炎疫情前自2017年3月1日至2020年1月31日,第三階段為新冠肺炎時期自2020年2月3日至2022年2月25日止。使用單根檢定、VAR模型、共整合檢定及Granger因果關係檢定等方法,探討Covid 19疫情是否影響台股與美股股價連動性。 在因果關係檢定中發現,在資料區間全時期,實證結果顯示美股的標準普爾500及那斯達克指數股價報酬皆可以影響台灣加權股價指數報酬。再進一步將樣本區間分為是否存在Covid 19疫情,實證發現疫情前區間,只有標準普爾500股價指數報酬可以影響台灣加權股價指數報酬;疫情區間,只有那斯達克股價指數報酬可以影響台灣加權股價指數報酬,結果顯示有無疫情是會影響美股預測台股的結果。反過來檢驗台股報酬是否會影響美股報酬,實證結果顯示,不管是全時期區間、疫情前區間、或是疫情區間,皆沒有證據顯示台股報酬可以預測美股的標準普爾500及那斯達克指數股價報酬。
This research takes Taiwan and U.S. stock markets as the research objects, and takes the Taiwan Weighted Index, the U.S. Nasdaq Composite Index, and the U.S. S&P 500 Index as the research objects. The sample period is divided into three stages. The first stage starts from March 2017. 1 to February 25, 2022, the second stage is from March 1, 2017 to January 31, 2020 before the new crown pneumonia epidemic, and the third stage is the new crown pneumonia period from February 3, 2020 to 2022 until February 25, 2019. Using methods such as unit root test, VAR model, co-integration test, and Granger causality test, to explore whether the Covid 19 epidemic affects the Granger causality between Taiwan and US stock markets. In the Granger causality test, the empirical results show that both the S&P 500 and Nasdaq stock price returns of US stocks can affect the Taiwan-weighted stock price index returns in the whole period of the data interval. The sample interval is further divided into whether there is a Covid 19 epidemic. It is empirically found that in the pre-epidemic interval, only the return of the S&P 500 stock index can affect the return of the Taiwan-weighted stock price index; in the epidemic period, only the return of the Nasdaq stock price index can affect the Taiwan-weighted stock price. Index return, the results show that whether the epidemic will affect the results of US stocks forecasting Taiwan stocks. In turn, it is tested whether the returns of Taiwan stocks will affect the returns of U.S. stocks. The empirical results show that there is no evidence that the returns of Taiwan stocks can predict the S&P 500 and Nasdaq of the U.S. stock market, whether it is the full-period interval, the pre-epidemic interval, or the epidemic interval. Index share price returns.