1. NCCU Academic Hub
  2. Publications
  3. College of Social Science
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 門檻迴歸模型與追蹤資料共整合方法在財務的應用
Financial applications using threshold regression model and panel cointegration
作者 陳建福
Chen, Chien-Fu
貢獻者 沈中華
陳建福
Chen, Chien-Fu
關鍵詞 門檻向量自我迴歸模型
不對稱共整合
追蹤資料共整合
股票市場
購買力平價說
Threshold vector autoregression
Asymmetric cointegration
Panel cointegration
Stock markets
Purchasing-power parity
日期 2001
上傳時間 18-Sep-2009 17:25:37 (UTC+8)
摘要 本論文包括3篇時間序列方法在財務的應用。第一篇以門檻向量自我迴歸模型(threshold vector autoregression)分析股市訊息傳遞的不對稱效果；第二篇利用不對稱共整合模型(asymmetric cointegration)分析中國大陸股市之間長期均衡關係；第三篇根據追蹤資料共整合檢定(panel Cointegration test)檢定購買力平價說。
第一篇文章利用門檻向量自我迴歸模型分析Nasdaq股市對台灣、日本與韓國股市不對稱的訊息傳遞效果。實證結果發現，當Nasdaq市場處於下跌狀態時（壞消息狀態），Nasdaq市場干擾對亞洲股市的衝擊較大，反之，當Nasdaq市場處於上漲狀態時（好消息狀態）時，Nasdaq市場干擾對亞洲股市的衝擊較小，而在壞消息狀態時，Nasdaq指數大跌對Jasdaq指數與Kosdaq指數的衝擊效果大於Nasdaq指數大漲的效果，Nasdaq指數小跌所產生的衝擊與小漲所產生的效果具有對稱性。
第二篇文章以Enders and Siklos(2001)不對稱共整合模型探討，中國大陸上海及深圳A股與B股股價指數之間長期不對稱的均衡關係，實證結果發現，在1992年10月至2001年8月，上海A股指數與深圳A股指數之間具有不對稱共整合關係，且當上海A股處於好消息狀態（股市上漲）時，其誤差修正項的調整速度較壞消息狀態（股市下跌）之下為快，此外，上海A股指數與深圳A股指數之間其有雙向的連動關係。在B股開放之後，則是深圳股市A股與B股指數存在不對稱共整合關係，同時Granger因果關係檢定顯示深圳B股指數領先A股指數。
第三篇文章利用Pedroni(2001)追蹤資料共整合檢定，探討大麥克漢堡價格與CPI兩種不同的價格指數用於檢定購買力平價說的有效性，根據14個國家1992-1999年的追蹤資料得到的實證結果顯示，以名目匯率作為被解釋變數，則大麥克漢堡價格與CPI都是支持PPP假說，然而若以相對價格為被解釋變數，則只有大麥克漢堡價格是支持PPP假說，而以CPI為基礎的PPP假說則是無法得到支持。除此之外，本文的實證結論並不受生產力差異的影響。
關鍵字：門檻向量自我迴歸模型、不對稱共整合、追蹤資料共整合、股票市場、購買力平價說
This dissertation includes three financial applications using time series methods. The first article investigates the asymmetric effects of information transmissions in stock markets using threshold vector autoregression model. The second article uses asymmetric cointegration to study the long-run equilibium relationships among Chinese stock markets. The third article uses panal cointegration to test purchasing-power parity (PPP).
Firstly, we examines the asymmetric effects of information transmissions of Nasdaq stock market on Taiwan, Japan, and Korea stock markets by using a threshold vector autoregressive model. And also, we check whether Nasdaq stock market have different impacts on organized stock exchanges (including TAIEX, NIKKEI 225 Index, Korea Composite Index) and over-the-counter markets (including Taisdaq Index, Jasdaq Index, and Kosdaq Index) or not. The empirical results indicate that negative innovations in Nasdaq market (bad news regime) have large influence on Asia stock markets. Particularly, the positive innovations in Nasdaq market (good news regime) have small influence on Asia stock market. The large negative innovations in Nasdaq market have great influence than those of the large positive innovations on Jasdaq Index and Kosdaq Index in bad news regime.
The second article uses Enders and Sikios`s (2001) asymmetric cointegration model to investigate the long-run asymmetric equihbrium relationships. The empirical results find that there exits an asymmetric cointegrated relationship between Shanghai A share index and Shenzhen A share index for the period from October 1992 to August 2001. The adjustment parameters of error correction term at Shanghai A share market are larger in bad-news regime than those in good-news regime. This result reveals investors at Shanghai possess over-reaction behavior on news of stock market. Moreover, there exists a bi-directional Granger causality between Shanghai A share index and Shenzhen A share index. We find there exists an asymmetric cointegrated relationship between Shenzhen A share index and Shenzhen B share index after 19 February 2001. Furthermore, the Shenzhen B share index leads Shenzhen A share index after 19 February 2001.
The third article uses Pedroni`s (2001) panel cointegration test to examine the validity of PPP hypothesis by two different price indces, i.e. Big Mac prices and CPI. Our panel observations include 14 countries from 1992 to 1999. The empirical evidence indicates Big Mac PPP and CPI PPP is supposed if we use nominal exchange rate as the explanatory variable. Nevertheless, the Big Mac PPP is valid but CPI PPP not valid if we use price level as the explanatory variable. Moveover, our concludtion does not influenced by productivity bias.
Keywords: threshold vector autoregression, asymmetric cointegration, panel cointegration, stock markets, purchasing-power parity
描述 博士
國立政治大學
經濟研究所
85258501
90
資料來源 http://thesis.lib.nccu.edu.tw/record/#G91NCCU3722012
資料類型 thesis
dc.contributor.advisor 沈中華zh_TW
dc.contributor.author (Authors) 陳建福zh_TW
dc.contributor.author (Authors) Chen, Chien-Fuen_US
dc.creator (作者) 陳建福zh_TW
dc.creator (作者) Chen, Chien-Fuen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Sep-2009 17:25:37 (UTC+8)-
dc.date.available 18-Sep-2009 17:25:37 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 17:25:37 (UTC+8)-
dc.identifier (Other Identifiers) G91NCCU3722012en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/36193-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟研究所zh_TW
dc.description (描述) 85258501zh_TW
dc.description (描述) 90zh_TW
dc.description.abstract (摘要) 本論文包括3篇時間序列方法在財務的應用。第一篇以門檻向量自我迴歸模型(threshold vector autoregression)分析股市訊息傳遞的不對稱效果；第二篇利用不對稱共整合模型(asymmetric cointegration)分析中國大陸股市之間長期均衡關係；第三篇根據追蹤資料共整合檢定(panel Cointegration test)檢定購買力平價說。
第一篇文章利用門檻向量自我迴歸模型分析Nasdaq股市對台灣、日本與韓國股市不對稱的訊息傳遞效果。實證結果發現，當Nasdaq市場處於下跌狀態時（壞消息狀態），Nasdaq市場干擾對亞洲股市的衝擊較大，反之，當Nasdaq市場處於上漲狀態時（好消息狀態）時，Nasdaq市場干擾對亞洲股市的衝擊較小，而在壞消息狀態時，Nasdaq指數大跌對Jasdaq指數與Kosdaq指數的衝擊效果大於Nasdaq指數大漲的效果，Nasdaq指數小跌所產生的衝擊與小漲所產生的效果具有對稱性。
第二篇文章以Enders and Siklos(2001)不對稱共整合模型探討，中國大陸上海及深圳A股與B股股價指數之間長期不對稱的均衡關係，實證結果發現，在1992年10月至2001年8月，上海A股指數與深圳A股指數之間具有不對稱共整合關係，且當上海A股處於好消息狀態（股市上漲）時，其誤差修正項的調整速度較壞消息狀態（股市下跌）之下為快，此外，上海A股指數與深圳A股指數之間其有雙向的連動關係。在B股開放之後，則是深圳股市A股與B股指數存在不對稱共整合關係，同時Granger因果關係檢定顯示深圳B股指數領先A股指數。
第三篇文章利用Pedroni(2001)追蹤資料共整合檢定，探討大麥克漢堡價格與CPI兩種不同的價格指數用於檢定購買力平價說的有效性，根據14個國家1992-1999年的追蹤資料得到的實證結果顯示，以名目匯率作為被解釋變數，則大麥克漢堡價格與CPI都是支持PPP假說，然而若以相對價格為被解釋變數，則只有大麥克漢堡價格是支持PPP假說，而以CPI為基礎的PPP假說則是無法得到支持。除此之外，本文的實證結論並不受生產力差異的影響。
關鍵字：門檻向量自我迴歸模型、不對稱共整合、追蹤資料共整合、股票市場、購買力平價說		zh_TW
dc.description.abstract (摘要) This dissertation includes three financial applications using time series methods. The first article investigates the asymmetric effects of information transmissions in stock markets using threshold vector autoregression model. The second article uses asymmetric cointegration to study the long-run equilibium relationships among Chinese stock markets. The third article uses panal cointegration to test purchasing-power parity (PPP).
Firstly, we examines the asymmetric effects of information transmissions of Nasdaq stock market on Taiwan, Japan, and Korea stock markets by using a threshold vector autoregressive model. And also, we check whether Nasdaq stock market have different impacts on organized stock exchanges (including TAIEX, NIKKEI 225 Index, Korea Composite Index) and over-the-counter markets (including Taisdaq Index, Jasdaq Index, and Kosdaq Index) or not. The empirical results indicate that negative innovations in Nasdaq market (bad news regime) have large influence on Asia stock markets. Particularly, the positive innovations in Nasdaq market (good news regime) have small influence on Asia stock market. The large negative innovations in Nasdaq market have great influence than those of the large positive innovations on Jasdaq Index and Kosdaq Index in bad news regime.
The second article uses Enders and Sikios`s (2001) asymmetric cointegration model to investigate the long-run asymmetric equihbrium relationships. The empirical results find that there exits an asymmetric cointegrated relationship between Shanghai A share index and Shenzhen A share index for the period from October 1992 to August 2001. The adjustment parameters of error correction term at Shanghai A share market are larger in bad-news regime than those in good-news regime. This result reveals investors at Shanghai possess over-reaction behavior on news of stock market. Moreover, there exists a bi-directional Granger causality between Shanghai A share index and Shenzhen A share index. We find there exists an asymmetric cointegrated relationship between Shenzhen A share index and Shenzhen B share index after 19 February 2001. Furthermore, the Shenzhen B share index leads Shenzhen A share index after 19 February 2001.
The third article uses Pedroni`s (2001) panel cointegration test to examine the validity of PPP hypothesis by two different price indces, i.e. Big Mac prices and CPI. Our panel observations include 14 countries from 1992 to 1999. The empirical evidence indicates Big Mac PPP and CPI PPP is supposed if we use nominal exchange rate as the explanatory variable. Nevertheless, the Big Mac PPP is valid but CPI PPP not valid if we use price level as the explanatory variable. Moveover, our concludtion does not influenced by productivity bias.
Keywords: threshold vector autoregression, asymmetric cointegration, panel cointegration, stock markets, purchasing-power parity		en_US
dc.description.tableofcontents 1 緒論-----1

2 股市干擾大小及方向對其傳遞效果有影響嗎？-----3
2.1 前言-----3
2.2 新經濟的互動-----6
2.3 門檻向量自我迴歸模型-----7
2.4 資料來源與說明-----10
2.5 實證結果分析-----10
2.5.1 門檻效果之非線型檢定-----11
2.5.2 直線型衝擊反應函數-----11
2.5.3 非直線型衝擊反應函數-----13
2.5.4 亞洲金融風暴的影響-----15
2.5.5 股市干擾不對稱影響的經濟涵意-----17
2.6 結論-----19
參考文獻-----21

3 中國大陸股票市場不對稱共整合關係之實證研究-----45
3.1 前言-----45
3.2 中國大陸股票市場簡介-----48
3.3 不對稱共整合模型-----49
3.4 實證結果分析-----52
3.4.1 資料說明-----52
3.4.2 單根檢定-----53
3.4.3 Engle-Granger共整合檢定-----54
3.4.4 Enders-Siklos不對稱共整合檢定-----55
3.4.5 不對稱誤差修正模型之估計-----56
3.5 結論-----59
參考文獻-----59

4 購買力平價說之再檢定-----69
4.1 前言-----69
4.2 追蹤資料單根檢定與追蹤資料共整合檢定-----72
4.2.1 追蹤資料單根檢定-----72
4.2.2 追蹤資料共整合檢定-----74
4.3 實證結果分析-----76
4.3.1 資料來源與說明-----76
4.3.2 追蹤資料單根檢定-----76
4.3.3 模型設定-----77
4.3.4 Pedroni追蹤資料共整合檢定-----78
4.4 結論-----79
參考文獻-----79


圖目錄
2.1 股價指數時間序列圖：Nasdaq股市與集中市場-----29
2.2 股價指數時間序列圖：Nasdaq股市與店頭市場-----30
2.3 直線型衝擊反應函數：Nasdaq干擾對台灣股市的衝擊-----31
2.4 直線型衝擊反應函數：Nasdaq干擾對日本股市的衝擊-----31
2.5 直線型衝擊反應函數：Nasdaq干擾對韓國股市的衝擊-----31
2.6 非直線型衝擊反應函數：Nasdaq指數干擾對台灣加權股價指數的衝擊-----32
2.7 非直線型衝擊反應函數：Nasdaq指數干擾對Taisdaq指數的衝擊-----33
2.8 非直線型衝擊反應函數：Nasdaq指數干擾對日經指數的衝擊-----34
2.9 非直線型衝擊反應函數：Nasdaq指數干擾對JaSdaq指數的衝擊-----35
2.10 非直線型衝擊反應函數：Nasdaq指數干擾對韓國漢城綜合股價指數的衝擊-----36
2.11 非直線型衝擊反應函數：Nasdaq指數干擾對Kosdaq指數的衝擊-----37
2.12 非直線型衝擊反應函數：Nasdaq指數干擾對台灣加權股價指數的衝擊（考慮亞洲金融風暴）-----38
2.13 非直線型衝擊反應函數：Nasdaq指數干擾對Taisdaq的衝擊（考慮亞洲金融風暴）-----39
2.14 非直線型衝擊反應函數：Nasdaq指數干擾對日經指數的衝擊（考慮亞洲金融風暴）-----40
2.15 非直線型衝擊反應函數：Nasdaq指數干擾對Jasdaq的衝擊（考慮亞洲金融風暴）-----41
2.16 非直線型衝擊反應函數：Nasdaq指數干擾對韓國漢城股價指數的衝擊（考慮亞洲金融風暴）-----42
2.17 非直線型衝擊反應函數：Nasdaq指數干擾對Kosdaq的衝擊（考慮亞洲金融風暴）-----43
3.1 上海股市與深圳股市股價指數時間序列圖-----68
4.1 名目匯率與相對價格-----85
4.2 名目匯率與大麥克漢堡相對價格-----86
4.3 名目匯率與CPI相對指數-----87
4.4 大麥克漢堡相對價格與CPI相對指數偏離實際匯率的百分比-----88


表目錄
2.1 門檻效果之非線型檢定-----25
2.2 VAR模型落後期數選取-----25
2.3 TVAR模型：門檻變數與臨界值-----25
2.4 TVAR模型係數估計值：Nasdaq與Tw-----26
2.5 TVAR模型係數估計值：Nasdaq與Taisdaq-----26
2.6 TVAR模型係數估計值：Nasdaq與JP-----27
2.7 TVAR模型係數估計值：Nasdaq與Jasdaq-----27
2.8 TVAR模型係數估計值：Nasdaq與KR-----28
2.9 TVAR模型係數估計值：Nasdaq與Kosdaq-----28
3.1 中國大陸股價指數報酬率敘述統計量-----64
3.2 中國大陸股價指數報酬率之相關係數-----64
3.3 單根檢定：ADF檢定-----64
3.4 Engle-Granger共整合檢定-----65
3.5 Enders-Siklos不對稱共整合檢定-----65
3.6 M-TAR不對稱誤差修正模型：上海A股指數、深圳A股指數-----66
3.7 M-TAR不對稱誤差修正模型：深圳A股、B股指數-----67
4.1 Hadri(2000)追蹤資料單根檢定-----84
4.2 Pedroni追蹤資料共整合檢定：大麥克漢堡 PPP-----84
4.3 Pedroni追蹤資料共整合檢定：CPI PPP-----84		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G91NCCU3722012en_US
dc.subject (關鍵詞) 門檻向量自我迴歸模型zh_TW
dc.subject (關鍵詞) 不對稱共整合zh_TW
dc.subject (關鍵詞) 追蹤資料共整合zh_TW
dc.subject (關鍵詞) 股票市場zh_TW
dc.subject (關鍵詞) 購買力平價說zh_TW
dc.subject (關鍵詞) Threshold vector autoregressionen_US
dc.subject (關鍵詞) Asymmetric cointegrationen_US
dc.subject (關鍵詞) Panel cointegrationen_US
dc.subject (關鍵詞) Stock marketsen_US
dc.subject (關鍵詞) Purchasing-power parityen_US
dc.title (題名) 門檻迴歸模型與追蹤資料共整合方法在財務的應用zh_TW
dc.title (題名) Financial applications using threshold regression model and panel cointegrationen_US
dc.type (資料類型) thesisen