美日量化寬鬆貨幣政策前後匯率與股價之關聯性研究-以韓國為例

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美日量化寬鬆貨幣政策前後匯率與股價之關聯性研究-以韓國為例

A Study on relationship between exchange rate and Stock prices prior to and post U.S. and Japan Quantitative Easing Monetary Policy - evidence from Korea

趙秀衍 , Masters　　Advisor：唐代彪　　

繁體中文

量化寬鬆貨幣政策；匯率；股價；共整合；向量自我回歸模型；誤差修正模型； Granger因果關係檢定；衝擊反應函數； Key words: Quantitative Easing Policy ； Exchange rate ； Stock Price ； Co integration Test ； VAR ； VECM ； Granger Causality Test ； Impulse Response

Abstract │ Reference (64) │ Times Cited (1) │ Altmetrics

Abstract 〈TOP〉

Parallel Abstract 〈TOP〉

This study mainly investigates how the U.S. and Japan Quantitative Easing Policy affect the relationships between Korea stock prices and exchange rates. In this research, use the series of econometric analysis methods (Unit Root Test, Co integration Test, VAR, VECM, Granger Causality Test and Impulse Response) to estimate whether the relationships between Korea stock prices (KRX100, KRX IT, KOSPI, KOSPI 200, KOSDAQ, KOSDAQ Star and KOSDAQ IT) and exchange rates(KRW/USD and KRW/JPY) had changed after U.S. and Japan Quantitative Easing Policy.

This Paper divided into four parts: Prior to U.S QE1, post U.S QE1, Prior to and Post Japan’s Abenomics.

Consequently, this study shows that: 1) Before the U.S. QE1, there are bilateral relationships between KRW/USD and KRX100, KRX IT, KOSPI, KOSPI 200. But KRW/USD and KOSDAQ, KOSDAQ Star and KOSDAQ IT have uni- directional causality running from exchange rate to stock prices. 2) After the U.S QE1, KRW/USD and KOSDAQ,   and KOSDAQ Star and KOSDAQ IT have uni- directional causality running from exchange rate to stock prices. But relationships between KRW/USD and KRX100, KRX IT, KOSPI, KOSPI 200 are independent.3) Before the Japan Abenomics, there is uni- directional causality running from stock prices to exchange rate. 4) After the Japan Abenomics, relationships between KRW/USD and KRX100, KOSPI, KOSPI 200 have changed to independent.
 This paper concludes that in Korea, the correlation between stock and foreign exchange markets becomes lower after the U.S. and Japan Quantitative Easing Policy.

Reference ( 64 ) 〈TOP〉

Abdalla, I. S. and V. Murinde (1997). "Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines." Applied financial economics 7(1): 25-35.
連結：
Alagidede, P., T. Panagiotidis and X. Zhang (2011). "Causal relationship between stock prices and exchange rates." The Journal of International Trade & Economic Development 20(1): 67-86.
連結：
Andreou, E., M. Matsi and A. Savvides (2013). Stock and Foreign Exchange Market Linkages in Emerging Economies, University of Cyprus Department of Economics.
連結：
Chen, S.-W. and T.-C. Chen (2011). "The Causal Relationship between Stock Prices and Exchange Rates: Evidence from the G-7." Journal of Economics and Management 7(1): 101-133.
連結：
Dickey, D. A. and W. A. Fuller (1981). "Likelihood ratio statistics for autoregressive time series with a unit root." Econometrica: Journal of the Econometric Society: 1057-1072.
連結：

Times Cited (1) 〈TOP〉

李幸真(2017)。英國脫歐事件對東亞國家匯率之衝擊影響。淡江大學財務金融學系碩士在職專班學位論文。2017。1-65。

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