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題名 台灣股市報酬與經濟活動之頻域因果關係 作者 王羿婷
Wang, Yi-Ting貢獻者 徐士勛
Hsu, Shih-Hsun
王羿婷
Wang, Yi-Ting關鍵詞 股市報酬
頻域因果關係
Granger因果關係檢定日期 2020 上傳時間 3-Aug-2020 18:11:55 (UTC+8) 摘要 本文藉由時域架構下的 Granger 因果關係檢定及 Breitung & Candelon提出之頻域架構下的因果關係檢定，來探討台灣股市報酬與經濟活動間的因果關係，並進一步了解該因果關係是否因為存在於不同頻率下而有所改變，亦即該因果關係是否存在於不同週期之下。當我們在時域架構上來觀察台灣股市與經濟活動間的因果關係，可以發現當尚未加入控制變數時，兩變數間存在股市價格影響經濟活動之單向因果關係;一旦加入控制變數後，則兩個影響方向皆不存在因果關係。本研究額外進行頻域因果關係檢定後，能更進一步說明，該因果關係在 不同頻率間是否存在。唯有無條件模型下該單向因果關係存在於短期及中長期之下;然而，在有條件模型中該單向因果關係皆僅存在於中期及中長期之下，亦即台灣股市報酬到經濟活動之單向因果關係主要存在於低頻時，其餘頻率之間沒有任何明顯的因果關係。 參考文獻 [1] 姜文怡 (2000)，「股票報酬預測產出之不對稱性效果」，碩士論文， 淡江大學，財務金融研究所。[2] 董澍琦，楊聲勇與藍淑鳳 (2005)，「股票報酬與經濟成長–亞太新興 國家之實證研究」，東海管理評論，7，285–304。[3] Breitung, J. and B. Candelon (2006), “Testing for short- and long- run causality: a frequency-domain approach,”Journal of Economet- rics, 132, 363–378.[4] 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, 49,1057–1072.[5] Dufour,J.M.andE.Renault(1998),“ShortRunandLongRunCausal- ity in Time Series:Theory,”Econometrica, 66, 1099–1125.[6] Fama, E. F.(1990), “Stock returns, expected returns, and real activ- ity,”The Journal of Finance, 45, 1089-1108.[7] Geweke, J. (1982), “Measurement of linear dependence and feedback between multiple time series,” Journal of the American Statistical As- sociation, 77, 304–313.[8] Granger, C.W.J. (1969), “Investigating causal relations by economet- ric models and cross-spectral methods,”Econometrica: journal of the Econometric Society, 37, 424–438.[9] Hosoya, Y. (1991), “The decomposition and measurement of the in- terdependence between second-order stationary process,”Probability Theory and Related Fields, 88, 429–444.[10] Hou, H. and S.Y. Cheng (2010), “The roles of stock market in the finance-growth nexus: time series cointegration and causality evi- dence from Taiwan,”Applied Financial Economics, 20, 975-981.[11] Huang, B.N. and C.W. Yang (2004), “Industrial Output and Stock Price Revisited: An Application of the Multivariate Indirect Causal- ity Model,”The Manchester School, 72, 347-362.[12] Ibrahim, H.M. (1999), “Macroeconomic variables and stock prices in Malaysia: an empirical analysis,”Asian Economic Journal, 13, 219– 231.[13] Kaplan, M. (2008), “The impact of stock market on real economic ac- tivity: evidence from Turkey,”Journal of Applied Sciences, 8, 374– 378.[14] Pearce, D.K. (1983), “Stock prices and the economy,” Federal reserve bank of Kansas city economic review, 68, 7–22.[15] Singh, D. (2010), “Causal relationship between macro-economic vari- ables and stock market: A case study for India,”Pakistan Journal of Social Sciences, 30, 263–274.[16] Thach, N.N., L.H. Anh and H.T.N. Phuong (2019), “Frequency Do- main Causality Analysis of Stock Market and Economic Activites in Vietnam,” In: Kreinovich V., Sriboonchitta S. (eds) Structural Changes and their Econometric Modeling. TES 2019. Studies in Com- putational Intelligence, 808. Springer, Cham[17] Tiwari, A. K., M. I. Mutascu, C. T. Albulescu and P. Kyophilavong (2015), “Frequency domain causality analysis of stock market and eco- nomic activity in India,”International Review of Economics and Fi- nance, 39, 224 - 238. 描述 碩士
國立政治大學
經濟學系
107258022資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107258022 資料類型 thesis dc.contributor.advisor 徐士勛 zh_TW dc.contributor.advisor Hsu, Shih-Hsun en_US dc.contributor.author (Authors) 王羿婷 zh_TW dc.contributor.author (Authors) Wang, Yi-Ting en_US dc.creator (作者) 王羿婷 zh_TW dc.creator (作者) Wang, Yi-Ting en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 18:11:55 (UTC+8) - dc.date.available 3-Aug-2020 18:11:55 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 18:11:55 (UTC+8) - dc.identifier (Other Identifiers) G0107258022 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/131181 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 107258022 zh_TW dc.description.abstract (摘要) 本文藉由時域架構下的 Granger 因果關係檢定及 Breitung & Candelon提出之頻域架構下的因果關係檢定，來探討台灣股市報酬與經濟活動間的因果關係，並進一步了解該因果關係是否因為存在於不同頻率下而有所改變，亦即該因果關係是否存在於不同週期之下。當我們在時域架構上來觀察台灣股市與經濟活動間的因果關係，可以發現當尚未加入控制變數時，兩變數間存在股市價格影響經濟活動之單向因果關係;一旦加入控制變數後，則兩個影響方向皆不存在因果關係。本研究額外進行頻域因果關係檢定後，能更進一步說明，該因果關係在 不同頻率間是否存在。唯有無條件模型下該單向因果關係存在於短期及中長期之下;然而，在有條件模型中該單向因果關係皆僅存在於中期及中長期之下，亦即台灣股市報酬到經濟活動之單向因果關係主要存在於低頻時，其餘頻率之間沒有任何明顯的因果關係。 zh_TW dc.description.tableofcontents 1 前言 11.1 研究動機與目的 ........................11.2 研究架構............................ 22 文獻回顧 33 研究方法 73.1 單根檢定............................ 83.2 Grangercausality....................... 93.3 頻域因果關係檢定....................... 104 資料 144.1 資料來源............................ 144.2 資料說明............................ 155 模型結果 215.1 時域因果關係模型研究結果.................. 215.2 頻域因果關係模型研究結果.................. 235.2.1 雙變量無條件模型 .................. 235.2.2 雙變量有條件模型 .................. 255.3 不同架構下之因果關係模型結果 ............... 295.4 更新資料至 2020 年 2 月與原資料期間之頻域因果關係模型結果比較........................... 316 結論與建議 34附錄 36參考文獻 37圖目錄1 原始資料之時間趨勢圖 .................... 162 一階差分後之時間趨勢圖................... 203 應變數為 IIP 且自變數為 SP 之雙變量無條件模型的 F 檢定結果 ............................. 244 應變數為 SP 且自變數為 IIP 之雙變量無條件模型的 F 檢定結果 ............................. 245 應變數為 IIP 且自變數為 SP 並考慮當期控制變數之有條件模型的F檢定結果 ..................... 266 應變數為 SP 且自變數為 IIP 並考慮當期控制變數之有條件模型的F檢定結果 ..................... 267 應變數為 IIP 且自變數為 SP 並考慮落後一期控制變數之 有條件模型的F檢定結果................... 288 應變數為 SP 且自變數為 IIP 並考慮落後一期控制變數之 有條件模型的F檢定結果.................. . 28表目錄1 敘述統計量.......................... . 172 原始資料之無截距項無時間趨勢項 ADF 檢定結果 . . . . . 183 一階差分後資料之無截距項無時間趨勢項 ADF 檢定結果 . 194 Unconditional VAR Granger causality 之檢定結果 . . . . . 225 Conditional VAR Granger causality 之檢定結果 . . . . . . 226 時域及頻域因果關係檢定結果之整理 ............ 327 更新資料與原資料期間之頻域因果關係模型結果比較 . . . 33 zh_TW dc.format.extent 929686 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107258022 en_US dc.subject (關鍵詞) 股市報酬 zh_TW dc.subject (關鍵詞) 頻域因果關係 zh_TW dc.subject (關鍵詞) Granger因果關係檢定 zh_TW dc.title (題名) 台灣股市報酬與經濟活動之頻域因果關係 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [1] 姜文怡 (2000)，「股票報酬預測產出之不對稱性效果」，碩士論文， 淡江大學，財務金融研究所。[2] 董澍琦，楊聲勇與藍淑鳳 (2005)，「股票報酬與經濟成長–亞太新興 國家之實證研究」，東海管理評論，7，285–304。[3] Breitung, J. and B. Candelon (2006), “Testing for short- and long- run causality: a frequency-domain approach,”Journal of Economet- rics, 132, 363–378.[4] 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, 49,1057–1072.[5] Dufour,J.M.andE.Renault(1998),“ShortRunandLongRunCausal- ity in Time Series:Theory,”Econometrica, 66, 1099–1125.[6] Fama, E. F.(1990), “Stock returns, expected returns, and real activ- ity,”The Journal of Finance, 45, 1089-1108.[7] Geweke, J. (1982), “Measurement of linear dependence and feedback between multiple time series,” Journal of the American Statistical As- sociation, 77, 304–313.[8] Granger, C.W.J. (1969), “Investigating causal relations by economet- ric models and cross-spectral methods,”Econometrica: journal of the Econometric Society, 37, 424–438.[9] Hosoya, Y. (1991), “The decomposition and measurement of the in- terdependence between second-order stationary process,”Probability Theory and Related Fields, 88, 429–444.[10] Hou, H. and S.Y. Cheng (2010), “The roles of stock market in the finance-growth nexus: time series cointegration and causality evi- dence from Taiwan,”Applied Financial Economics, 20, 975-981.[11] Huang, B.N. and C.W. Yang (2004), “Industrial Output and Stock Price Revisited: An Application of the Multivariate Indirect Causal- ity Model,”The Manchester School, 72, 347-362.[12] Ibrahim, H.M. (1999), “Macroeconomic variables and stock prices in Malaysia: an empirical analysis,”Asian Economic Journal, 13, 219– 231.[13] Kaplan, M. (2008), “The impact of stock market on real economic ac- tivity: evidence from Turkey,”Journal of Applied Sciences, 8, 374– 378.[14] Pearce, D.K. (1983), “Stock prices and the economy,” Federal reserve bank of Kansas city economic review, 68, 7–22.[15] Singh, D. (2010), “Causal relationship between macro-economic vari- ables and stock market: A case study for India,”Pakistan Journal of Social Sciences, 30, 263–274.[16] Thach, N.N., L.H. Anh and H.T.N. Phuong (2019), “Frequency Do- main Causality Analysis of Stock Market and Economic Activites in Vietnam,” In: Kreinovich V., Sriboonchitta S. (eds) Structural Changes and their Econometric Modeling. TES 2019. Studies in Com- putational Intelligence, 808. Springer, Cham[17] Tiwari, A. K., M. I. Mutascu, C. T. Albulescu and P. Kyophilavong (2015), “Frequency domain causality analysis of stock market and eco- nomic activity in India,”International Review of Economics and Fi- nance, 39, 224 - 238. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000664 en_US
