東亞地區新興市場匯率與股價指數之關係－金融風暴前後的實證分析

The Relationship between Foreign Exchange Rate and Stock Price Index of Emerging Markets in East Asia-An Empirical Analysis around 1997's Financial Crisis

林基煌(Chihuang H. Lin) ； 徐政義(Cheng-Yi Shiu)

《中華管理學報》 5卷1期 (2004/03) Pp. 23-39

https://doi.org/10.30053/CHJM.200403.0002

摘要

本文以東亞的五個新興國家為樣本，包括臺灣、南韓、菲律賓、新加坡與泰國，來探討新興國家股市與匯率之間的關係。首先，檢視股價指數與匯率之間是否具有長期共整合(Cointegration)的關係，結果發現在研究期間內，除了泰國與菲律賓的股價指數與匯率具有長期共整合關係外，其他的三個國家都不顯著。我們進一步以向量自我迴歸(Vector Autoregression, VAR)模型，並將研究期間區分成三個子期間：金融風暴前、金融風暴期間、金融風暴後來探討股市與匯率之間的短期相互影響關係，研究結果顯示，在五個新興市場中，股市與匯率之間會相互地影響，尤其以金融風暴期間最為明顯，而金融風暴後之影響效果亦較風暴前明顯。

關鍵字

匯率 ； 股價指數 ； 長期共整合 ； 向量自我迴歸 ； 金融風暴

並列摘要

This paper investigates the relationship between foreign exchange rate and stock price index of emerging markets, which include Taiwan, South Korea, The Philippines, Singapore, and Thailand, in East Asia around the 1997's financial crisis period. First, we investigate the long-term co-integration relationship between foreign exchange rate and stock price index. The findings indicate that such relationship exists only in Thailand and The Philippines. Furthermore, we divide our study period into three sub-periods, which are before-the-crisis, during-the-crisis, and after-the-crisis, and utilize the Vector Auto-regression model to investigate the short-term inter-dependency between exchange rate and stock index. The results show that the inter-dependency is significant in the five countries, especially in during-the-crisis sub-period. Also, the after-the-crisis sub-period shows more significant inter-dependency than the before-the-crisis sub-period.

並列關鍵字

Foreign Exchange Rate ； Stock Price Index ； Long-Term Co-integration ； Vector Auto-regression ； Financial Crisis