新興五國與台灣股價指數連動關係之研究

Discussing the Linkage between the Stock Prices Index of Emerging Market and Taiwan

何文榮(Wen-Rong Ho) ； 陳秀芳(Hsiu-Fang Chen) ； 劉冠忠(Guan-Jung Liou)

《全球管理與經濟》 2卷1期 (2006/06) Pp. 107-136

https://doi.org/10.6565/JGME.2006.2(1).6

摘要

本文運用共整合、向量自我迴歸模型、Granger因果關係檢定及衝擊反應函數和預測誤差變異數分解等方法，針對台灣、南韓、印尼、菲律賓、泰國及墨西哥之間股價指數的關聯性進行探討，實證結果發現，第一，台灣與新興五國股市之間，不具有長期共整合的趨勢，表示各國股市之間並沒有長期穩定的關保存在。第二，由Granger因果關係檢定分析得知，在領先落後關條上，泰國、菲律賓及墨西哥股市分別領先於台灣股市。而在各國當中只有泰國股市與菲律賓股市之間有雙向回饋關係存在。然而，在六國當中以墨西哥股市的影響力最大，分別領先台灣、泰國、南韓及印尼股市。而泰國股市及菲律賓股市皆分別領先台灣股市及南韓股市。而印尼股市則是領先南韓股市。台灣股市及南韓股市分別對其它五國皆無領先的影響力。第三，在衝擊反應函數和誤差變異數分解方面，各國股價指數的變動對於自身都會產生較大的衝擊效果，並對當期的影響為最大，然後逐漸收斂，而對於它國的影響皆有正向及負向的影響效果，並且各衝擊皆會在三或四期內反應完畢。而預測變異數分解中則顯示，變數對自身之解釋能力最大，而自我解釋能力最高者依序為墨西哥股市、泰國股市、菲律賓股市、印尼股市、台灣股市，最後為南韓股市。

關鍵字

金磚四國 ； 新金磚十一國 ； 共整合 ； 衝擊反應函數 ； 預測誤差變異數分解

並列摘要

This paper using Cointegration, VAR, Granger Causality test, Impulse Response Analysis, Variance Decomposition techniques to investigate the lead-lag relationship linkage between the stock price index of Taiwan, South Korea, Indonesia, Philippines, Thailand and Mexico, we get the results as following: First, Taiwan stock market and Emerging Market between no evident cointegration. Second, the Granger Causality test reveals that Thailand, Philippines, and Mexico stock markets lead Taiwan stock market. Only between Thailand and Philippines stock markets have feedback relationship. Mexico stock market is the most influential among six markets, it leads of Taiwan, Thailand, South Korea and Indonesia stock markets. Both Thailand and Philippines stock markets lead Taiwan and South Korea stock markets. Indonesia stock market leads South Korea. Both Taiwan stock market and South Korea stock market have not influence in leading the rest of other five markets. Third, as for the analysis of impulse response reveals that very market has impulse at the first period, and impulse decrease gradually. No matter effects are positive and negative the impulse response last for three or four periods at each market. Finally, analysis of variance decomposition shows that each variable has mainly interpretative ability for itself. And the interpretative ability of Mexico market among six markets is highest, followed by Thailand, Philippines, Indonesia, Taiwan, and South Korea stock market.

並列關鍵字

BRICs ； Next Eleven ； Cointegration ； VAR ； Impulse Response ； Variance Decomposition