國際股市對於台灣加權指數之非線性研究

The Nonlinear Investigation of International Stock Markets On TAIEX

陳建志(Chien-Chih Chen)

指導教授 ： 聶建中

共同指導教授 ： 謝志柔

淡江大學/商管學院/財務金融學系碩士班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.01009

摘要

本文主要研究目的是針對台灣重要貿易夥伴日本、香港、中國和美國，討論這些國家的股市對於台灣股票市場的影響。資料期間為2008年1月1日到2014年12月31日並採用日資料，使用Granger and Teräsvirta（1993）和 Teräsvirta（1994）提出的平滑移轉自我迴歸模型，探討其對台灣加權指數所造成的影響。以日經225指數、香港恆生指數、中國上海A股指數和美國道瓊指數的報酬率，探討在不同國際油價下，國際股票指數報酬率對於台灣加權指數報酬率的影響。
平滑移轉線性檢定結果為指數型平滑移轉模型(ESTR)，落後階為第五階。平滑移轉參數估計與檢定出石油價格門檻值為每桶94.97643美元。當石油價格在門檻值附近時，除了日經225指數對於台股有反向影響之外，香港恆生指數、中國上海A股指數以及美國道瓊指數皆對於台股有正向影響。在高於以及低於石油門檻值每桶94.97643美元情況下，結果顯示各個股市對於台股皆沒有明顯影響。
表單編號：ATRX-Q03-001-FM030-02

關鍵字

平滑移轉回歸模型 ； 台灣加權指數 ； 國際油價

並列摘要

The purpose of this study is to investigate the effect of TAIEX return rate influenced by foreign stock index such as NKY, HSI, SHI and DJI. Our data start from Jan. 1 2008 to Dec 31 2014, and we use daily data. We employ the smooth transition regression model which introduced by Gonzalez, Teräsvirta and van Dijk (2004, 2005), and discuss the effect on TAIEX. We use the foreign stock index return rate stated before, and research how these stock return rates influence TAIEX return rate at different price.
The empirical result of linear test is the exponential smooth transition auto regression (ETAR). The lag stage is the fifth stage. The threshold value of the oil price by the smooth transition test is 94.97643 US dollars per barrel. When the oil price is near the threshold value, NKY has a negative influence on TAIEX, HIS、SHI and DJI have a positive influence on TAIEX. However, if the oil price is far higher or lower than the threshold value, the outcome is every stock index do not have obvious influence on TAIEX.

並列關鍵字

Smooth Transition Regression ； TAIEX ； Oil Price

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