日本或中國股市領先亞洲股市

Information Leadership of Japan and China within the Asian Stock Markets

團得明(Duc Minh Doan)

指導教授 ： 方世詮

朝陽科技大學/管理學院/財務金融系/碩士(2014年)

摘要

本文研究亞洲地區股市訊息傳遞效果，在兩個區域股市中心與一群亞洲新興股市之間。亞洲新興股市包含越南、韓國、馬來西亞、菲律賓、台灣與泰國。亞洲區域股市中心則是指日本股市與中國股市。日本股市市值位居全球股市前三大，是亞洲股市傳統的訊息領先者。中國股市則是2007-08崛起之區域新霸權。
基於2007–2012之日資料 ，本研究意欲回答” 日本或中國股市，誰是亞洲股市的訊息領導者?” 實證結果顯示日本股市與亞洲股市之間，存在著統計上顯著的關係；而且日本股市也與越南股市、台灣股市與泰國股市間存在著統計上顯著的因果關係。因此，本文結論日本股市為亞洲股市之訊息領導者。然而，日本股市與中國股市均領先越南股市。

關鍵字

日本股市 ； 亞洲股市 ； 訊息領導 ； 中國股市

並列摘要

This paper explores the information linkages between two regional major stock markets and a large set of Asian emerging stock market, including Vietnam, Korea, Malaysia, Philippines, Taiwan, and Thailand. The regional major stock markets are Japan and China. Japan stock market is among the three biggest equity markets in the world and the traditional information leader in Asian stock market. As the China, it is the emerging regional power after the financial crisis of 2007– 08.
Based on daily data of period 2007–2012, this study want to answer the question "Who is the information leader of Asian Stock market, Japan or China?" Our empirical results show a statistically significant relation between Japan and Asian stock market. We also find a causal leading relation between Japan and Vietnam, Taiwan, and Thailand. Our findings are robust with respect to regression test and Granger causality test. We conclude that Japan, not China, is informational leader in the Asian stock. However, both Japan and China lead Vietnam stock markets.

並列關鍵字

Japan Stock Market ； Asian Stock Market ； Information Leadership ； China Stock Market

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