全球化與兩岸股市:部門觀點

Globalization and Cross-strait Stock markets: A sectoral perspective

張逸軒(Yi-Xuan Chang)

指導教授 ： 姜樹翰

中原大學/商學院/財務金融研究所/碩士(2017年)

https://doi.org/10.6840/cycu201700341

摘要

隨著全球化的迅速發展，全球經濟對海峽兩岸各個產業的影響與日俱增，本研究期望藉由探討中國與台灣股票市場，得知兩岸各產業的全球化程度。並比較不同產業之全球化程度。
本研究首先將中國與台灣市場視為全球經濟中的一個地區，再應用區域經濟學重要理論之一:移轉份額分析法 (shift-share analysis) 作為研究工具，希望能夠得到嶄新的結果與發現。其次，將股價變動的來源分為四部分，分別為全球效果、產業效果、國家效果與全球競爭效果。最後，依據移轉份額分析理論，設計出各產業股價報酬率的結構性向量自我迴歸(structural vector autoregression)，再使用變異數分解分別評估各效果對個別產業的影響程度與解釋能力。使用1995-2016年MSCI 相關指數的月資料，結果發現台灣科技產業的全球效果解釋能力明顯高於中國科技產業，而其他產業卻都是中國全球效果解釋能力較高。這與台灣股市以科技產業為主導地位的現況相吻合。

關鍵字

全球化 ； 產業部門 ； 移轉份額分析法 ； 結構性向量自我迴歸

並列摘要

With the rapid development of globalization, the global economy has an increasing influence on various industries and nations. The purpose of this paper is to explore further into the relative degree of globalization of different industries in cross-strait stock markets during 1995-2016 monthly.
First of all, China and Taiwan markets are both regarded as an area in the global economy, and then we apply one of the important theories from regional economics, namely, shift-share (SS) analysis as my research tool and it is expected that this new approach can throw new insights on stock returns. Second, according to SS analysis, the stock return can be divided into four parts, namely, the global effect (GE), the sectoral effect (SE), the national effect (NE) and the global competition effect (GCE). Finally, based on this decomposition, the structural vector autoregression (SVAR) is used to estimate stock returns at the industrial level, and then the variance decomposition is implemented to evaluate relative importance of each effect, especially GE on stock returns.
The results show that information technology (IT) industry in Taiwan is possessed of the highest explanatory power of GE, which is significantly higher than the China’s IT industry, while there are higher GEs of other industries in China than Taiwan.

並列關鍵字

Sector ； Shift-share analysis ； Structural vector auto regression (SVAR)

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