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| 研究生： |
王裕婷 Wang, Yu-Ting |
|---|---|
| 論文名稱： |
匯率與股價之間的關係—以金融中心國家為例 The relationship between stock prices and exchange rates - Evidence from financial center countries |
| 指導教授： |
林靜儀
Lin, Ching-Yi |
| 口試委員: |
李宜
Lee, Yi 祁玉蘭 Chyi, Yih-Luan |
| 學位類別： |
碩士 Master |
| 系所名稱： |
科技管理學院 - 經濟學系 Department of Economics |
| 論文出版年： | 2018 |
| 畢業學年度： | 106 |
| 語文別： | 中文 |
| 論文頁數： | 60 |
| 中文關鍵詞： | 股價 、匯率 、單根檢定 、共整合 、因果關係 、向量自我迴歸模型 、衝擊反應分析 |
| 外文關鍵詞： | stock price, exchange rate, unit root, cointegration, causality, VAR, impulse responses |
| 相關次數： | 點閱：3 下載：0 |
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本研究旨在探討各個金融中心國家中匯市與股市之間的關係。研究期間自1970年1月至2017年10月，資料型態為月資料。使用的變數包括各國的工業生產函數、消費者物價指數、基準利率、有效匯率指數以及股票價格指數等，資料來源取自於Data Stream資料庫。研究方法主要利用單根檢定、最適落後期數選取、共整合檢定、向量自我迴歸模型(VAR)、Granger因果關係以及衝擊反應函數等方法去探討六個金融中心國家中匯市與股市之間的關係。
實證結果顯示，各國的原始變數資料為非定態，對變數做一階差分後則均為定態。Johansen共整合檢定則說明兩市具有共整合關係，即兩市存在長期均衡關係。接著在Granger因果關係檢定中，股價會Granger影響匯率的國家有美國、英國及新加坡，而匯率會Granger影響股價的國家有日本、新加坡。其中，新加坡是唯一存在雙向因果關係的國家，中國及香港則是股價與匯率互不影響，因此不存在因果關係。而後採用向量自我迴歸(VAR)模型與衝擊反應方法做分析，我們可以發現當股價受到外生衝擊時，會對匯率產生顯著影響的國家有美國、英國、中國及新加坡。而當匯率受到外生衝擊時，會對股價產生顯著影響的國家有英國、日本、香港及新加坡，而其中，英國與新加坡為匯率和股價兩市會產生雙向影響的國家。
This paper empirically analyzes the relationships between effective exchange rates and stock prices in main financial centers, including United States, United Kingdom, Japan, Singapore, China and Hong Kong. The paper uses monthly data from January 1970 to October 2017. The macroeconomic variables in the VAR model are industrial production index, consumer price index, benchmark interest rate, effective exchange rate and stock price index from Data Stream database.
The impulse response functions indicate that stock price has a significant impact on effective exchange rate for the markets in United States, United Kingdom, China, and Singapore. In addition, we find that for the cases of United Kingdom, Japan, Hong Kong, and Singapore, the exchange rate has a significant impact on the stock price. Among these countries, United Kingdom and Singapore have two-way effects between effective exchange rate and stock price index.
參考文獻
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