亞洲股市間的關係－動態過程的檢定

The Relationships among Asian Stock Markets-The Test of Dynamic Process

王毓敏(Yu-Min Wang) ； 廖四郎(Szu-Lang Liao) ； 徐守德(So-De Shyu)

《Asia Pacific Management Review》 5卷1期 (2000/03) Pp. 15-27

https://doi.org/10.6126/APMR.2000.5.1.02

摘要

本文的主要目的在於以動態過程討論國際股市間的關係，及決定報酬與波動性的因素，並以亞洲股市的資料來檢定數個假說。本文的實證假說立基於國際股市間會相互影響，以ltô過程和隨機微積分導出，強調股市闊的動態關係，與以往以靜態為主的模型有很大的差異。綜合本文的研究結果，可以歸納為下列幾點結論： （1）經由共整合檢定，發現美國和亞洲股市具有共整合的關係。（2）由誤差修正模型的估計結果，發現股市間具有不同的長短期關係。（3）四個決定股市報酬的因素中，交互效果的影響力最大，波動性效果次之，接著是報酬效果，影響力最小的是動態因素。（4）股市間波動性會相互影響，但其影響的方向，則不一致，且影響力也不同。

關鍵字

ltô過程 ； ltô's lemma ； 共整合檢定 ； 誤差修正模型

並列摘要

The purpose of this paper is to test the relationships and the factors determining the returns among Asian stock markets through the dynamic process. We use ltô processes and stochastic calculus to derive the empirical hypotheses based on the assumption of stock markets affect each other. The model emphasizes the dynamic relationships among stock markets that is different from the static model in the previous literature. We find the following results: (1)American and Asian stock markets are cointegrated from the cointegration test. (2)There exists long-run and short-run relationships among stock markets from error correction model. (3)There are four factors(interaction effect, volatility effect, return effect, dynamic factor) to determine the return of stock markets. (4)The volatility of stock markets affect each other.

並列關鍵字

Itô process ； Itô 's lemma ； Cointegration Test ； Error Correction Model

參考文獻

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