美、滬、台三地股價指數連動性及共整合之研究─以中、台ECFA實施前後期為例

A study of stock prices relationship among Taiwan, Mainland China and United States

簡珮珊(Pei-Shan Chien)

指導教授 ： 林逾先

國立臺北科技大學/管理學院/經營管理系碩士班/碩士(2013年)

摘要

本研究冀望藉由美、台、中三地之股價指數，去探討其之間股價的連動關係，瞭解ECFA簽訂是否有助於提升未來經貿的發展性。研究期間區分為兩階段，透過單根檢定進行各類股價指數之穩定性測試，另藉由CUSUM檢定確認期間之結構性改變，再分別進行共整合檢定，並建構VAR模型去進行Granger因果關係檢定、衝擊反應函數與預測誤差變異數分解等分析。
　　實證結果顯示，在全樣本期間，台灣和上海B股存在共整合關係，美國對於台灣、上海A與B股有單向領先關係，上海A股對於台灣與上海B股也有單向領先的現象。而在ECFA實施前期間，美國與台灣、美國與上海B股、台灣與上海B股分別存在長期均衡共移關係，美國領先台海兩地三類股價的單向因果關係。另外，ECFA實施後期間，無共整合關係，因果關係實證與全樣本區間結果相同。
　　總結發現在ECFA實施後，美國的影響力仍居為全球之冠，台灣與中國股市開始出現互相連動的關係，顯示ECFA的簽屬對於兩岸經貿合作有顯著的影響力。實證結果可供未來類似協議簽訂時，對其標的國家股票市場或金融市場做預測，並可供投資時作為參考之依據。

關鍵字

兩岸經濟合作架構協議 ； 結構性改變 ； 共整合 ； Granger因果關係檢定

並列摘要

This paper investigates the dynamic stock index returns relationship among U.S., Taiwan and Mainland China, hoping to understand the interdependence of these three market economies and to see if the signing of ECFA will enhance the future development of economy and trade. The research timeframe is divided into two sub periods to test the stability of different kinds of stock index through the unit root test. Besides, this paper realizes the structural change through the CUSUM test, conducting co-integration test respectively, then constructing VAR model to carry out Granger causality test, impulse response function and forecast error variance decomposition for each sub period.
　　The empirical results show as the following. In the full sample period, Taiwan and the Shanghai B-share have a relationship of co-integration. The United States leads the performance of Taiwan, Shanghai Stock Exchange's A and B share index unidirectionally, and Shanghai Stock Exchange's A leads the performance of Shanghai Stock Exchange's B share index unidirectionally. Before the implementation of ECFA, the United States and Taiwan (or the Shanghai B-share) have a relationship of co-integration, and Taiwan and Shanghai B-share have the same result. The United States unidirectionally leads the performance of Taiwan, Shanghai Stock Exchange's A and B share index. After the implementation of ECFA, the empirical results do not show a co-integrated relationship. The causality test is the same as the full sample period.
　　To sum up, after the implementation of ECFA, the United States continued to have the strongest influence in the world. The stock market of Taiwan and Mainland China starts to have a dynamic relationship with each other, which shows that the signing of ECFA has an enormous influence on the cross-strait economic and trade cooperation. This research result can be as a forecast for the object national stock market or the financial market when similar agreement is signed, and it can also be as a reference for investors to invest in the future.

並列關鍵字

ECFA ； Structural changes ； Co-integration ； Granger Causality Test

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