外匯市場及股票市場的因果關係檢定：日本、南韓及新加坡的實證研究

Testing the causality between foreign exchange rates and stock prices: Evidence from Japan, South Korea and Singapore

林政輝(Cheng-Hui Lin)

指導教授 ： 陳仕偉

中原大學/商學院/國際經營與貿易研究所/碩士(2013年)

https://doi.org/10.6840/cycu201300235

摘要

摘要
本文旨在探討股票市場及外匯市場是否存在不對稱性因果關係，我們針對三個亞洲國家(日本、南韓及新加坡)進行實證研究。探討其股票市場及外匯市場是否存在不對稱性因果關係，以便我們探究到底何種理論模型最適合解釋該國股匯市訊息傳遞的行為。實證結果顯示，日本的外匯市場對股票市場存在單向不對稱因果關係，隱含流量導向模型能夠解釋這個國家的股匯市訊息傳遞的行為。南韓及新加坡這兩個國家的股匯市存在反饋效果，因此流量導向模型及投資組合平衡模型能夠解釋這兩個國家的股匯市訊息傳遞的行為。

關鍵字

股票市場 ； 不對稱性因果關係 ； 外匯市場

並列摘要

Abstract
This study examines the presence of the causal relationship between foreign exchange and stock markets for three Asian countries-Japan, South Korea and Singapore, respectively. The econometric methodology used in this paper allows us to determine the symmetric and asymmetric Granger causality between the foreign exchange rates and stock prices and it helps us to distinguish the diversity between competing theories with respect to information dissemination between the two financial markets. From the main results obtained, it is found that there is uni-directional symmetric and asymmetric Granger causality running from the foreign exchange rates to stock prices for Japan indicating that the ‘Flow-oriented’ model is applicable to this country. However, the foreign exchange market and stock market of South Korea and Singapore are subject to the overall influences of the ‘Flow-oriented’ and the portfolio balance models simultaneously, because there is a feedback relation between the foreign exchange rates and stock prices in these two countries.

並列關鍵字

Foreign exchange rate ； Asymmetric causality ； Stock price

參考文獻

Abdalla, I. S. A. and Murinde, V. (1997), Exchange rate and stock price interaction is emerging financial markets: evidence on India, Korea, Pakistan, and Phillips, Applied Financial Economics, 7, 25–35.

Abhyankar, A. (1998), Linear and non-linear Granger causality: evidence from the U.K. Stock Index Futures Market, Journal of Futures Markets, 18, 519–540.

Ahmad, Z. B.,Masihb, A.M.M. and Azalia,M. (2002), The stock market and the Ringgit exchange rate: a note, Japan and the World Economy, 14, 471–486.

Ajayi, R. A., Friedman, J. and Mehdian, S. M. (1998), On the relationship between stock returns and exchange rate: tests of Granger causality, Global Finance Journal, 9(2), 241–251.

Ajayi, R. A. and Mougoue, M. (1996), On the dynamic relation between stock prices and exchange rates, The Journal of Financial Research, 19(2), 193–207.