本研究選取新加坡、中國、印尼、南韓、台灣、泰國為樣本國家,以股價報酬與實質匯率為研究變數,探討可能會影響股市和匯市波動關聯性的因子。本研究參照Moore and Wang (2014) 文章方法,先使用GARCH-DCC模型,估計實質匯率與股價之間的動態條件相關,而後以動態條件相關係數為被解釋變數,貿易帳、兩國利差和M2為解釋變數,做回歸分析。研究結果顯示,新加坡、印尼、南韓、台灣和泰國股價和匯率之間的條件相關係數,呈現為負相關,與模型預測是一致的;而線性迴歸模型結果顯示前期動態相關係數非常顯著,說明這些國家動態相關具有強烈的持續性;而泰國利率差異性為顯著,反應出泰國高度的資本移動。
This paper explores the sources of the dynamic relationship between real exchange rates and stock return differentials in relation to the US market for the market of Taiwan, China, South Korea, Thailand, Singapore and Indonesia. We based Moore and Wang (2014), first, derive the dynamic conditional correlation (DCC) of the real exchange rates and stock prices, and then DCC is regressed on the trade balance, the interest rate differentials and M2. We found that a negative dynamic relationship between the relative stock prices and real exchange rates for Taiwan, South Korea, Thailand, Singapore and Indonesia, being consistent with the model prediction. A linear regression model reveals that the lagged dependent variable has been shown to be statistically highly significant in all cases, indicating strong persistence in the dynamic correlation for the Asian countries, whereas the interest rate differential is the driving force for Thailand. The latter seems to reflect the high capital mobility for Thailand.