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題名 台灣香港的匯市和股市之間聯動性的實證分析
An Empirical Analysis of the Linkage Between Foreign Exchange Market and Stock Market in Taiwan and Hong Kong作者 林聖竺
Lin, Shengzhu貢獻者 張興華
Chang, Hsing-Hua
林聖竺
Lin, Shengzhu關鍵詞 台灣
香港
股市
匯市
聯動效應
向量自我回歸模型
Granger因果關係檢定
Taiwan
Hongkong
Stock market
Foreign exchange market
Linkage effect
VAR model日期 2023 上傳時間 6-Jul-2023 16:45:05 (UTC+8) 摘要 本研究採用2013 年 1 月3日至 2022 年 12 月30日的美元兌新台幣、美元兌港幣之日資料以及2013 年 1 月3日至 2022 年 12 月30日的台灣加權指數和香港恒生指數的日資料，探討台灣市場和香港市場的股市與匯市之間的關聯性。同時，本研究研究方法採用單根檢定(ADF)、向量自我回歸模型(VAR)以及Granger 因果關係檢定。研究發現：台灣香港的匯市和股市之間具有一定的聯動效應。由Granger因果關係顯示：香港的匯市能對香港股市、台灣的股市和台灣匯市皆能產生一定影響；台股和港股、台幣 和台股之間均爲相互影響關係；台灣匯市的變動也能在一定程度上影響香港的股市。
This study uses the daily data of USD/NTD and USD/HKD from January 3, 2013 to December 30, 2022, and the Taiwan Weighted Index and Hong Kong Hang Seng Index from January 3, 2013 to December 30, 2022 Daily data to explore the correlation between stock and foreign exchange markets in Taiwan and Hong Kong. At the same time, the research methods of this study adopt Augmented Dickey-Fuller Test (ADF), Vector Autoregression model (VAR) and Granger causality test. The research found that there is a certain linkage effect between the foreign exchange market and the stock market in Taiwan and Hong Kong. The Granger causality shows that Hong Kong`s foreign exchange market can have a certain impact on the Hong Kong stock market, Taiwan`s stock market and Taiwan`s foreign exchange market; Taiwan stocks and Hong Kong stocks, Taiwan dollars and Taiwan stocks all have mutual influences; changes in Taiwan`s foreign exchange market can also affect to a certain extent, it affects the stock market in Hong Kong.參考文獻 António Rua, Luis Nunes. (2009). International comovement of stock market returns: A wavelet analysis. Journal of Empirical Finance, vol. 16, issue 4, 632-639.Arshanapalli B, Doukas J. (1993). International stock market linkages: evidence from the pre-and post-October 1987 period[J].The Journal of Banking and Finance,17(1):193-208.Bekaert G., J. Hodrick & X. Zhang. (2009). International stock return comovements. Journal of Finance, 64, 2591-2626.Branson, W.H. (1983). Macroeconomic determinants of real exchange rate risk, in R.J. Herring(ed.), Managing Foreign Exchange Risk. Cambridge University Press, Cambridge.Brooks R, Del Negro M.The rise in comovement across national stock markets:market integration or IT bubble?[J].The Journal of Empirical Finance,2004,11(5):659-680.Bruno Solnik, Cyril Boucrelle & Yann Le Fur. (1996). International Market Correlation and Volatility. Financial Analysts Journal, Vol. 52, No. 5, pp. 17-34.Chen Peng. 2018. Understanding International Stock Market Comovements: A Comparison of Developed and Emerging Markets [J]. International Review of Economics & Finance, 56: 451 - 464.Cheol S. Eun, Sangdal Shim. (1989). International Transmission of Stock Market Movements. Journal of Financial and Quantitative Analysis, vol. 24, issue 2, 241-256.Das D., Bhowmik P. & Jana R. K. (2018). A Multiscale Analysis of Stock Return Co-movements and Spillovers: Evidence from Pacific Developed Markets [ J]. Physical A: Statistical Mechanics and its Applications, 502: 379 - 393.Didier T., Love I., Martinez Peria M.S.. (2012). What explains comovement in stock market returns during the 2007-2008 crisis?[J]. International Journal of Finance and Economics, 17(2): 182-202.Ehrmann, Michael, Fratzscher, Marcel & Rigobon, Robert. (2005). Stock, Bond, Monetary Marketsand Exchange Rates Measuring International Financial Transmission[R], Working Papers 452, European Central Bank.Esther Eiling, Bruno Gerard, Pierre Hillion & Frans A. de Roon. 2012. International Portfolio Diversification: Currency, Industry and Country Effects Revisited [J]. Journal of International Money and Finance, 31 (5): 1249 - 1278.Francois Longin, Bruno Solnik. (1995). Is the correlation in international equity returns constant: 1960-1990?. Journal of International Money and Finance, vol. 14, issue 1, 3-26.Frankel, J. A. (1992). Monetary and portfolio-balance models of exchange rate determination International economic policies and their theoretical foundations (pp. 793–832): Elsevier.Geert Bekaert, Campbell Harvey & Angela Ng. (2005). Market Integration and Contagion. The Journal of Business, vol. 78, issue 1, 39-70.Grubel, H.G. (1968). Internationally Diversified Portfolios: Welfare Gains and Capital Flows. The American Economic Review, 58, 1299-1314.G. Karolyi, René Stulz. (1996). Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements. Journal of Finance, vol. 51, issue 3, 51-86.Hamao, Y., Masulis, R.W. & Ng, V. (1990) . Correlations in Price Changes and Volatility across International Stock Markets. Review of Financial studies, 3, 281-307.Hemche O, Jawadi F, Maliki S.B., et al. (2016). On the study of contagion in the context of the subprime crisis:a dynamic conditional correlation-multivariate GARCH approach[J]. Economic Modelling, 52:292-299.Hilliard J E. (1979). The relationship between equity indices on world exchanges[J]. The Journal of Finance, 34(1): 103-114.Nagayasu J. (2013). Asia-Pacific Stock Returns around the Lehman Shock and Beyond: time-varying conditional correlations[Л]. The Journal of Economic Integration: 412-440.Ng A. (2000). Volatility spillover effects from Japan and the US to the Pacific-Basin[J]. Journal of International Money and Finance, 19(2): 207-233.Hwahsin Cheng, John L. Glascock. (2005). Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan. Review of Quantitative Finance and Accounting volume 24, pages343–357.Inci A.C., Li H.C., Mc. Carthy J. (2011). Financial contagion: a local correlation analysis[J]. Research in International Business and Finance, 25(1): 11-25.Jeff Fleming, Chris Kirby, Barbara Ostdiek. (1998). Information and volatility linkages in the stock, bond, and money markets[J]. Journal of Financial Economics, 49, 111-137.Johansson A. C., Ljungwall C. (2009). Spillover effects among the Greater China stock markets[J]. World Development, 37(4): 839-851.Juan Reboredo, Miguel A. Rivera-Castro, Andrea Ugolini. (2016). Downside and upside risk spillovers between exchange rates and stock prices. Journal of Banking & Finance, 2016, vol. 62, issue C, 76-96.Kasa, K. (1992). Common Stochastic Trends in International Stock Markets. Journal of Monetary Economics, 29, 95124.King M. A., Wadhwani S. (1990). Transmission of volatility between stock markets[J]. The Review of Financial Studies, 3(1): 5-33.Kizys R, Pierdzioch C. (2009). Changes in the international comovement of stock returns and asymmetric macroeconomic shocks[J]. The Joumal of International Financial Markets, Institutions and Moncy, 19(2):289-305.Kristin Forbes, Roberto Rigobon. (2002, 5 October). No Contagion, Only Interdependence: Measuring Stock Market Co-movements. Journal of Finance, 2002, v57, 2223-2261.Kuntara Pukthuanthong, Richard Roll. (2009). Global market integration: An alternative measure and its application. Journal of Financial Economics, vol. 94, issue 2, 214-232.Ning C. (2010). Dependence Structure between the Equity Market and the Foreign Exchange Market—A Copula Approach[J]. Journal of International Money and Finance, (29), 743-759.Richard A. Ajayi, Mbodja Mougoue. (1998, 12 August). On the Dynamic Relation Between Stock Prices And Exchange Rates. Journal of Financial Research, 1996, vol. 19, issue 2, 193-207.Robert-Paul Berben, W. Jos Jansen. (2005). Comovement in international equity markets: A sectoral view. Journal of International Money and Finance, vol. 24, issue 5, 832-857.Roberto Rigobon, Brian Sack. (2003, April). Spillovers Across U.S. Financial Markets[R]. NBER Working Paper 9640.Robin Brooks, Marco Del Negro. (2006). Firm-Level Evidence on International Stock Market Comovement. Review of Finance, Volume 10, Issue 1, Pages 69–98.Tamir Agmon (1972). The Relations Among Equity Markets: A Study of Share Price Co-Movements in the United States, United Kingdom, Germany and Japan. Journal of Finance, vol. 27, issue 4, 839-55.Victor Fang, Edward J Y Lin, V. Lee. (2007). Volatility linkages and spillovers in stock and bond markets: some international evidence[J]. Journal of International Finance and Economics, 7, (1).Warren G. Dean, Robert W. Faff & Geoffrey F. (2010). Loudon. Asymmetry in Return and Volatility Spillover Between Equity and Bond Markets in Australia[J]. Pacific-Basin Finance Journal, (18).Y. Angela Liu & Ming-Shiun Pan. (1997, March). "Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(1), pages 47-62.Yang J, Kolari J W, Min I. (2003). Stock market integration and financial crises: the case of Asia[J]. Applied Financial Economics, 13(7): 477-486.財團法人台北外匯市場發展基金會（2016年1月）。台灣的匯率制度與外匯管理自由化。財團法人台北外匯市場發展基金會。陳旭昇（2013年3月25日）。時間序列分析：總體經濟與財務金融之應用（二版）。東華書局。李岸（2017）。“中心—外围”结构下中国股市国际联动性研究〔未出版之博士論文〕。湖南大学。张兵，范致镇，李心丹（2010）。中美股市的联动性研究[J]。经济研究，45(11):141-151。 描述 碩士
國立政治大學
金融學系
109352032資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109352032 資料類型 thesis dc.contributor.advisor 張興華 zh_TW dc.contributor.advisor Chang, Hsing-Hua en_US dc.contributor.author (Authors) 林聖竺 zh_TW dc.contributor.author (Authors) Lin, Shengzhu en_US dc.creator (作者) 林聖竺 zh_TW dc.creator (作者) Lin, Shengzhu en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-Jul-2023 16:45:05 (UTC+8) - dc.date.available 6-Jul-2023 16:45:05 (UTC+8) - dc.date.issued (上傳時間) 6-Jul-2023 16:45:05 (UTC+8) - dc.identifier (Other Identifiers) G0109352032 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145852 - 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) 109352032 zh_TW dc.description.abstract (摘要) 本研究採用2013 年 1 月3日至 2022 年 12 月30日的美元兌新台幣、美元兌港幣之日資料以及2013 年 1 月3日至 2022 年 12 月30日的台灣加權指數和香港恒生指數的日資料，探討台灣市場和香港市場的股市與匯市之間的關聯性。同時，本研究研究方法採用單根檢定(ADF)、向量自我回歸模型(VAR)以及Granger 因果關係檢定。研究發現：台灣香港的匯市和股市之間具有一定的聯動效應。由Granger因果關係顯示：香港的匯市能對香港股市、台灣的股市和台灣匯市皆能產生一定影響；台股和港股、台幣 和台股之間均爲相互影響關係；台灣匯市的變動也能在一定程度上影響香港的股市。 zh_TW dc.description.abstract (摘要) This study uses the daily data of USD/NTD and USD/HKD from January 3, 2013 to December 30, 2022, and the Taiwan Weighted Index and Hong Kong Hang Seng Index from January 3, 2013 to December 30, 2022 Daily data to explore the correlation between stock and foreign exchange markets in Taiwan and Hong Kong. At the same time, the research methods of this study adopt Augmented Dickey-Fuller Test (ADF), Vector Autoregression model (VAR) and Granger causality test. The research found that there is a certain linkage effect between the foreign exchange market and the stock market in Taiwan and Hong Kong. The Granger causality shows that Hong Kong`s foreign exchange market can have a certain impact on the Hong Kong stock market, Taiwan`s stock market and Taiwan`s foreign exchange market; Taiwan stocks and Hong Kong stocks, Taiwan dollars and Taiwan stocks all have mutual influences; changes in Taiwan`s foreign exchange market can also affect to a certain extent, it affects the stock market in Hong Kong. en_US dc.description.tableofcontents 摘要 IAbstract II目錄 III表次 IV圖次 V第一章 緒論 11.1 研究背景與意義 11.2 研究目的 31.3 研究架構流程與設計 31.4 研究創新點 5第二章 文獻回顧 62.1 不同地區、市場的聯動性研究 62.2 市場之間聯動性影響因素或狀況研究 9第三章 研究方法 123.1 資料來源及解釋 123.2 ADF 單根檢定 123.3 向量自我回歸 (VAR) 143.4 Granger 因果關係檢定 15第四章 實證分析 174.1 資料來源和資料介紹 174.2 單根檢定 204.3 最適落後期數 214.4 向量自我回歸(VAR)之實證分析 224.5 Granger 因果關係之實證分析 24第五章 結論 27第六章 參考文獻 29 zh_TW dc.format.extent 1478960 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109352032 en_US dc.subject (關鍵詞) 台灣 zh_TW dc.subject (關鍵詞) 香港 zh_TW dc.subject (關鍵詞) 股市 zh_TW dc.subject (關鍵詞) 匯市 zh_TW dc.subject (關鍵詞) 聯動效應 zh_TW dc.subject (關鍵詞) 向量自我回歸模型 zh_TW dc.subject (關鍵詞) Granger因果關係檢定 zh_TW dc.subject (關鍵詞) Taiwan en_US dc.subject (關鍵詞) Hongkong en_US dc.subject (關鍵詞) Stock market en_US dc.subject (關鍵詞) Foreign exchange market en_US dc.subject (關鍵詞) Linkage effect en_US dc.subject (關鍵詞) VAR model en_US dc.title (題名) 台灣香港的匯市和股市之間聯動性的實證分析 zh_TW dc.title (題名) An Empirical Analysis of the Linkage Between Foreign Exchange Market and Stock Market in Taiwan and Hong Kong en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) António Rua, Luis Nunes. (2009). International comovement of stock market returns: A wavelet analysis. Journal of Empirical Finance, vol. 16, issue 4, 632-639.Arshanapalli B, Doukas J. (1993). International stock market linkages: evidence from the pre-and post-October 1987 period[J].The Journal of Banking and Finance,17(1):193-208.Bekaert G., J. Hodrick & X. Zhang. (2009). International stock return comovements. Journal of Finance, 64, 2591-2626.Branson, W.H. (1983). Macroeconomic determinants of real exchange rate risk, in R.J. Herring(ed.), Managing Foreign Exchange Risk. Cambridge University Press, Cambridge.Brooks R, Del Negro M.The rise in comovement across national stock markets:market integration or IT bubble?[J].The Journal of Empirical Finance,2004,11(5):659-680.Bruno Solnik, Cyril Boucrelle & Yann Le Fur. (1996). International Market Correlation and Volatility. Financial Analysts Journal, Vol. 52, No. 5, pp. 17-34.Chen Peng. 2018. Understanding International Stock Market Comovements: A Comparison of Developed and Emerging Markets [J]. International Review of Economics & Finance, 56: 451 - 464.Cheol S. Eun, Sangdal Shim. (1989). International Transmission of Stock Market Movements. Journal of Financial and Quantitative Analysis, vol. 24, issue 2, 241-256.Das D., Bhowmik P. & Jana R. K. (2018). A Multiscale Analysis of Stock Return Co-movements and Spillovers: Evidence from Pacific Developed Markets [ J]. Physical A: Statistical Mechanics and its Applications, 502: 379 - 393.Didier T., Love I., Martinez Peria M.S.. (2012). What explains comovement in stock market returns during the 2007-2008 crisis?[J]. International Journal of Finance and Economics, 17(2): 182-202.Ehrmann, Michael, Fratzscher, Marcel & Rigobon, Robert. (2005). Stock, Bond, Monetary Marketsand Exchange Rates Measuring International Financial Transmission[R], Working Papers 452, European Central Bank.Esther Eiling, Bruno Gerard, Pierre Hillion & Frans A. de Roon. 2012. International Portfolio Diversification: Currency, Industry and Country Effects Revisited [J]. Journal of International Money and Finance, 31 (5): 1249 - 1278.Francois Longin, Bruno Solnik. (1995). Is the correlation in international equity returns constant: 1960-1990?. Journal of International Money and Finance, vol. 14, issue 1, 3-26.Frankel, J. A. (1992). Monetary and portfolio-balance models of exchange rate determination International economic policies and their theoretical foundations (pp. 793–832): Elsevier.Geert Bekaert, Campbell Harvey & Angela Ng. (2005). Market Integration and Contagion. The Journal of Business, vol. 78, issue 1, 39-70.Grubel, H.G. (1968). Internationally Diversified Portfolios: Welfare Gains and Capital Flows. The American Economic Review, 58, 1299-1314.G. Karolyi, René Stulz. (1996). Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements. Journal of Finance, vol. 51, issue 3, 51-86.Hamao, Y., Masulis, R.W. & Ng, V. (1990) . Correlations in Price Changes and Volatility across International Stock Markets. Review of Financial studies, 3, 281-307.Hemche O, Jawadi F, Maliki S.B., et al. (2016). On the study of contagion in the context of the subprime crisis:a dynamic conditional correlation-multivariate GARCH approach[J]. Economic Modelling, 52:292-299.Hilliard J E. (1979). The relationship between equity indices on world exchanges[J]. The Journal of Finance, 34(1): 103-114.Nagayasu J. (2013). Asia-Pacific Stock Returns around the Lehman Shock and Beyond: time-varying conditional correlations[Л]. The Journal of Economic Integration: 412-440.Ng A. (2000). Volatility spillover effects from Japan and the US to the Pacific-Basin[J]. Journal of International Money and Finance, 19(2): 207-233.Hwahsin Cheng, John L. Glascock. (2005). Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan. Review of Quantitative Finance and Accounting volume 24, pages343–357.Inci A.C., Li H.C., Mc. Carthy J. (2011). Financial contagion: a local correlation analysis[J]. Research in International Business and Finance, 25(1): 11-25.Jeff Fleming, Chris Kirby, Barbara Ostdiek. (1998). Information and volatility linkages in the stock, bond, and money markets[J]. Journal of Financial Economics, 49, 111-137.Johansson A. C., Ljungwall C. (2009). Spillover effects among the Greater China stock markets[J]. World Development, 37(4): 839-851.Juan Reboredo, Miguel A. Rivera-Castro, Andrea Ugolini. (2016). Downside and upside risk spillovers between exchange rates and stock prices. Journal of Banking & Finance, 2016, vol. 62, issue C, 76-96.Kasa, K. (1992). Common Stochastic Trends in International Stock Markets. Journal of Monetary Economics, 29, 95124.King M. A., Wadhwani S. (1990). Transmission of volatility between stock markets[J]. The Review of Financial Studies, 3(1): 5-33.Kizys R, Pierdzioch C. (2009). Changes in the international comovement of stock returns and asymmetric macroeconomic shocks[J]. The Joumal of International Financial Markets, Institutions and Moncy, 19(2):289-305.Kristin Forbes, Roberto Rigobon. (2002, 5 October). No Contagion, Only Interdependence: Measuring Stock Market Co-movements. Journal of Finance, 2002, v57, 2223-2261.Kuntara Pukthuanthong, Richard Roll. (2009). Global market integration: An alternative measure and its application. Journal of Financial Economics, vol. 94, issue 2, 214-232.Ning C. (2010). Dependence Structure between the Equity Market and the Foreign Exchange Market—A Copula Approach[J]. Journal of International Money and Finance, (29), 743-759.Richard A. Ajayi, Mbodja Mougoue. (1998, 12 August). On the Dynamic Relation Between Stock Prices And Exchange Rates. Journal of Financial Research, 1996, vol. 19, issue 2, 193-207.Robert-Paul Berben, W. Jos Jansen. (2005). Comovement in international equity markets: A sectoral view. Journal of International Money and Finance, vol. 24, issue 5, 832-857.Roberto Rigobon, Brian Sack. (2003, April). Spillovers Across U.S. Financial Markets[R]. NBER Working Paper 9640.Robin Brooks, Marco Del Negro. (2006). Firm-Level Evidence on International Stock Market Comovement. Review of Finance, Volume 10, Issue 1, Pages 69–98.Tamir Agmon (1972). The Relations Among Equity Markets: A Study of Share Price Co-Movements in the United States, United Kingdom, Germany and Japan. Journal of Finance, vol. 27, issue 4, 839-55.Victor Fang, Edward J Y Lin, V. Lee. (2007). Volatility linkages and spillovers in stock and bond markets: some international evidence[J]. Journal of International Finance and Economics, 7, (1).Warren G. Dean, Robert W. Faff & Geoffrey F. (2010). Loudon. Asymmetry in Return and Volatility Spillover Between Equity and Bond Markets in Australia[J]. Pacific-Basin Finance Journal, (18).Y. Angela Liu & Ming-Shiun Pan. (1997, March). "Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(1), pages 47-62.Yang J, Kolari J W, Min I. (2003). Stock market integration and financial crises: the case of Asia[J]. Applied Financial Economics, 13(7): 477-486.財團法人台北外匯市場發展基金會（2016年1月）。台灣的匯率制度與外匯管理自由化。財團法人台北外匯市場發展基金會。陳旭昇（2013年3月25日）。時間序列分析：總體經濟與財務金融之應用（二版）。東華書局。李岸（2017）。“中心—外围”结构下中国股市国际联动性研究〔未出版之博士論文〕。湖南大学。张兵，范致镇，李心丹（2010）。中美股市的联动性研究[J]。经济研究，45(11):141-151。 zh_TW
