dc.contributor.advisor | 林建秀 | zh_TW |
dc.contributor.advisor | Lin, Chien-Hsiu | en_US |
dc.contributor.author (Authors) | 孫恩卿 | zh_TW |
dc.contributor.author (Authors) | Son, Eun-Kyung | en_US |
dc.creator (作者) | 孫恩卿 | zh_TW |
dc.creator (作者) | Son, Eun-Kyung | en_US |
dc.date (日期) | 2022 | en_US |
dc.date.accessioned | 1-Aug-2022 17:30:59 (UTC+8) | - |
dc.date.available | 1-Aug-2022 17:30:59 (UTC+8) | - |
dc.date.issued (上傳時間) | 1-Aug-2022 17:30:59 (UTC+8) | - |
dc.identifier (Other Identifiers) | G0109352037 | en_US |
dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/141071 | - |
dc.description (描述) | 碩士 | zh_TW |
dc.description (描述) | 國立政治大學 | zh_TW |
dc.description (描述) | 金融學系 | zh_TW |
dc.description (描述) | 109352037 | zh_TW |
dc.description.abstract (摘要) | 近期受到COVID19之影響,全球經濟衰退的情況下,2021年台灣經濟成長超出預期,貿易總額、進出口總額及出超都創新高。由於全球疫苗接種率增加,出口限制逐漸放寬,韓國經濟在慢慢地恢復。2021年韓國為台灣的第6大出口市場及第4大進口市場,台灣為韓國的第6大進出口市場。本文探討兩國匯率與兩國股市 (含半導體產業) 的關係。本文用2010 年 12 月 30 日至 2021 年 12 月 30 日的共計 2596 筆日資料,以Eviews進行單根檢定、向量自我回歸模型 (VAR) 、Granger因果關係檢定。實證結果顯示,韓元兌台幣匯率報酬與兩國綜合股價指數報酬為正向關係,韓國綜合股價指數報酬與台灣加權指數報酬為正向關係,韓元兌台幣匯率報酬與兩國半導體類指數報酬為正向關係,韓國半導體類指數報酬與台灣半導體類指數報酬為正向關係。本文得出兩國匯率與兩國股價市場 (含半導體產業) 的關係,可以幫助投資者預測兩國匯率及兩國股市,輔助開發兩國股市之投資組合,降低投資風險。 | zh_TW |
dc.description.abstract (摘要) | Recently the global economic recession affected by COVID19, Taiwan`s economic growth rate in 2021 exceeded expectations. Korea’s economy is also slowly recovering as vaccination rates around the world increased and export restrictions are eased. In 2021, Korea is Taiwan`s sixth largest export market and fourth largest import market, and Taiwan is Korea`s sixth largest import and export market. This paper study the relationship between the exchange rates and the stock markets of the two countries. This paper using a total of 2596 daily data from December 30, 2010 to December 30, 2021, perform unit root test, VAR test, and Granger causality test with Eviews. The empirical results of this paper, show that there is a positive relationship between the exchange rate return of KRW to TWD exchange rate and the return of stock price index of two countries, and the return of the exchange rate and the return of the semiconductor index of two countries are also positively related. This paper obtains the relationship between the exchange rates and the stock price markets of the two countries, it will be helpful that investors predict the exchange rates of two countries and the stock markets of two countries and help to develop of investment portfolios in the two country`s stock markets, and it also will be helpful to reduce investment risks. | en_US |
dc.description.tableofcontents | 第一章 緒論 1第一節 研究動機 1第二節 研究目的 2第三節 研究架構 3第二章 文獻回歸 4第一節 兩國匯率政策分析 4第二節 匯率與股價相關文獻 5第三章 研究方法 8第一節 單根檢定 8第二節 最適落後期選取標準 9第三節 向量自我回歸模型 (VAR) 9第四節 衝擊反應函數 11第五節 預測誤差變異分解 11第六節 GRANGER因果關係檢定 12第四章 實證結果分析 13第一節 資料來源 13第二節 敘述統計 13第三節 單根檢定結果分析 14第四節 向量自我回歸模型 (VAR) 結果分析 15第五節 GRANGER 因果關係檢定及結果分析 22第五章 結論 24參考文獻 27 | zh_TW |
dc.format.extent | 1107428 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0109352037 | en_US |
dc.subject (關鍵詞) | 單根檢定 | zh_TW |
dc.subject (關鍵詞) | 向量自我回歸模型 (VAR) | zh_TW |
dc.subject (關鍵詞) | Granger因果關係檢定 | zh_TW |
dc.subject (關鍵詞) | 韓元兌台幣匯率 | zh_TW |
dc.subject (關鍵詞) | 股價指數 | zh_TW |
dc.subject (關鍵詞) | 半導體類指數 | zh_TW |
dc.subject (關鍵詞) | Unit root test | en_US |
dc.subject (關鍵詞) | VAR | en_US |
dc.subject (關鍵詞) | Granger causality test | en_US |
dc.subject (關鍵詞) | KRW to TWD exchange rate | en_US |
dc.subject (關鍵詞) | Stock price index | en_US |
dc.subject (關鍵詞) | Semiconductor sub-index | en_US |
dc.title (題名) | 台灣與南韓兩國的股價指數與匯率之間的因果關係 | zh_TW |
dc.title (題名) | The Causality between the stock price index and the exchange rate of Taiwan and Republic of Korea | en_US |
dc.type (資料類型) | thesis | en_US |
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dc.identifier.doi (DOI) | 10.6814/NCCU202200745 | en_US |