2007-2009全球金融危機期間匯率與股價之動態關聯性:已開發國家與新興國家為例

Dynamic Linkages between Exchange Rates and Stock Prices During and After the 2007-2009 Global Financial Crisis: Evidence from Developed and Emerging Market

阮文合(Nguyen Van Hop)

指導教授 ： 鄧誠中

共同指導教授 ： 紀麗秋(Chi-Li Chiu)

國立虎尾科技大學/管理學院/經營管理研究所/碩士(2014年)

https://doi.org/10.6827/NFU.2014.00052

摘要

本文利用共整合與多變量Granger因果檢定，探討匯率與股價間的長短期的動態關係，研究對象包含日本、英國、香港、中國、印度及巴西等六國重要的金融市場，而研究期間是從2007年11月5日到2013年5月15日。透過長期共整合檢定，可以觀察到對於新興國家來說，匯率與股價呈現負相關之關係，但就已開發國家中，除了英國以外之其他國家卻呈現正向關係。除此之外，日本與印度存在著股價報酬影響匯率變動的單向Granger因果關係，但英國與巴西則是有雙向的因果關係。再者，研究結果指出在2007-2009全球金融危機期間，匯率與股價的相依程度日漸增加。本文結果可提供給本國或國外的投資者在投資組合中做為避險之參考。

關鍵字

股價指數 ； 匯率 ； 全球金融危機 ； 多變量Granger因果檢定

並列摘要

This study examines the long-run and short-run dynamics between exchange rates and stock prices by using cointegration methodology and multivariate Granger causality tests. We apply the analysis to six major financial markets, including: Japan, United Kingdom, Hong Kong, China, India and Brazil over the period 03 December 2007 to 15 May 2013. Long run cointegrating models are estimated producing evidence that the exchange rate is negatively related to the domestic stock index for emerging countries but positively for developed countries for entire sample and during the crisis, except United Kingdom. Besides, the unidirectional Granger causality is found running from stock returns to exchange rate changes in Japan and India, while there is evidence of bidirectional causality in United Kingdom and Brazil. Furthermore, the result also indicates that the dependence between the two variables has increased during the 2007-2009 global financial crisis. These findings are particularly important to local as well as foreign investors for diversifying and hedging their portfolio.

並列關鍵字

Stock market index ； exchange rate ； global financial crisis, multivariate Granger causality tests

參考文獻

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