台灣股市八大類股間之長期均衡趨勢分析

The Analysis of Long Run Equilibrium in Taiwan's Stock Market: Using Threshold Cointegration

王淳玄(Chun-Hsuan Wang) ； 林俊宏(Chun-Hung A. Lin) ； 謝俊權(Chun-Chuan Shieh)

《華岡經濟論叢》 3卷2期 (2004/06) Pp. 121-143

https://doi.org/10.6365/HKER.200406.0121

摘要

根據以往的研究，台灣股票市場較符合弱式效率市場假說。然而台灣股市八大類股間的關係是否會因外在因素之影響而形成門檻共整合現象。因此本文則加入門檻之概念，利用門檻共整合(TCI)和門檻誤差修正模型(TECM)對不同區間探討其長期均衡趨勢和短期影響效果。從研究結果發現，加入門檻後短期影響效果不會改變，但讓長期影響效果在某些區間內更為顯著。

關鍵字

門檻共整合 ； 門檻誤差修正模型 ； 長期均衡關係

並列摘要

In this study, we will employ the threshold cointegraion and threshold error correction model to examine the co-movement and the long-run relationship among eight major industrial group stock indexes in Taiwan stock market. In previous studies, vector autoregression model and Granger Causality are the most used models and tests for evaluating the long-run equilibrium tendency among those major industrial groups. They found there exists the weak form market efficiency in Taiwan stock market. However, in real world the relationship cannot be appropriately expressed by the single-status linear models. In this study, we add the concept of threshold to the empirical model. It appears from the evidence the that the short-term co-movement will not be changed for the model with thresholds, but long-term equilibrium tendency may become obvious during some ranges.

並列關鍵字

Threshold Cointegration ； Threshold Error Correction Model ； Taiwan Stock Market

參考文獻

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