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題名 股票市場與外匯市場的連動性
Stock prices and exchange rates: evidences from emerging markets and g-7
作者 朱柏誠
貢獻者 謝淑貞
朱柏誠
關鍵詞 Correlation of Coefficient
Johansen cointegration test
Stock prices
Exchange Rates
日期 2009
上傳時間 5-Sep-2013 16:47:44 (UTC+8)
摘要 本篇論文使用Correlation of Coefficient 與 Johansen cointegration test來探討股票市場與匯率市場之間的連動性。實證結果顯示股票市場與匯率市場之間有高度的相關性，特別是在西元2000年之後，全球呈現出集體的連動性。而此兩變數之間的關係亦可在不同的地區或是不同的工業化程度國家下看見不同的結果，歐體以及諸多新興市場等區域內皆呈現出股市與匯市相關係數的一致性。然而，當此研究以Johansen cointegration test來分析時，無法在此兩研究變數間發現顯著的長期關係。
This study utilized Correlation of Coefficient as well as Johansen cointegration test to investigate the relationship between stock prices and exchange markets. The empirical results show that the two markets of study are highly correlated, especially after the year of 2000. Since then, the stock prices and exchange rates worldwide have presented one common trend, either negative correlation or positive. Different region, such as European Union or East Asian countries exclude Japan, and different level of industrialization lead to diverse relationship between exchange rates and stock prices. Put this relationship in a long-term scope, however, no distinct trend can be discerned by using Johansen cointegration test.
參考文獻 Abdalla, I. S. A. and V. Murinde, 1997, “Exchange Rate and Stock Price Interactions
in Emerging Financial Markets: Evidence on India, Korea, Pakistan, and Philippines.” Applied Financial Economics 7, 25–35.
Aggarwal, R., 1981, “Exchange Rates and Stock Prices: A Study of U.S. Capital Market under Floating Exchange Rates,” Akron Business and Economic Review, 7–12.
Ajayi, R. A. and M. Mougoue. 1996, “On the Dynamic Relation between
Stock Prices and Exchange Rates,” Journal of Financial Research 19, 193–207.
Baharom, A.H. and M.S. Habibullah and R.C., Royfaizal, 2008, "Pre and Post Crisis Analysis of Stock Price and Exchange Rate: Evidence from Malaysia," MPRA Paper 12445, University Library of Munich, Germany.
Bahmani-Oskooee, M. and A. Sohrabian, 1992, “Stock Prices and the Effective
Exchange Rate of the Dollar,” Applied Economics 24, 459–464.
Bartov, E. and G. M. Bodnar, 1994, “Firm Valuation, Earnings Expectations, and
The Exchange-Rate Exposure Effect,” Journal of Finance 49, 1755–1785.
Branson, W. H., 1983, “Macroeconomic Determinants of Real Exchange Risk,” in
Managing Foreign Exchange Risk, R. J. Herring ed., Cambridge: Cambridge
University Press
Cheung, Y. W. and K. S. Lai., 1993, “Finite Sample Sizes of Johansen’s Likelihood
Ratio Tests for Cointegration,” Oxford Bulletin of Economics and Statistics 55: 3, 313–328.
Donnelly, R. and E. Sheehy, 1996, “The share price reaction of U.K. exporters to exchange rate movements: An empirical study,” Journal of International Business Studies 27, 157−165.
Dornbusch, R. and S. Fisher, 1980, "Exchange Rates and the Current Account,"
American Economic Review 70, 960-971.
Franck, P. and A. Young, 1972, “Stock Price Reaction of Multinational Firms to
Exchange Realignments,” Financial Management 1, 1972, 66–73.
Frankel, J.A., 1983, "Monetary and Portfolio Balance Models of Exchange Rate Determination", in J.S. Bhandari and B. H. Putnam (eds) "Economic Interdependence and Flexible Exchange Rates," MIT Press, Cambridge, MA.
Granger, C.W.J. and I. Newbold, 1974, “Spurious regressions in econometrics,”
Journal of Econometrics 2, 111-120.
Johansen, S., 1991, “Estimation and Hypothesis Testing of Cointegrating Vectors in
Gaussian Vector Autoregressive Models,” Econometrica 59: (November), 1551– 1580.
Johansen, S. and K. Juselius, 1990, “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money,” Oxford Bulletin of Economics and Statistics 52, 169–210.
Ma, C. K. and G. W. Kao, 1990, “On Exchange Rate Changes and Stock Price
Reactions,” Journal of Business Finance and Accounting, 17(3), 441-450.
Muhammad, N. and A. Rasheed, 2003, “Stock Prices and Exchange Rates: Are they Related? Evidence from South Asian Countries”, Paper presented at the 18th Annual General Meeting and Conference of the Pakistan Society of Development Economists, January 2003.
Pan, M.S., R.C.W. Fok and Y.A. Liu, 2007, “Dynamic Linkages between Exchange Rates and Stock Prices: Evidence from East Asian Markets”, International Review of Economics and Finance 16, 2007, 503-520.
Phylakits, K. and Ravazzolo, F., 2000, “Stock Prices and Exchange Rate Dynamics,” Paper presented at the EFMA 2000 Meeting in Athens, May 2000.
Rittenberg, L., 1993, “Exchange Rate Policy and Price Level Changes: Causality
Tests for Turkey in the Post-Liberalisation Period”, the Journal of Development
Studies 29:2, 321–332.
Smith, C., 1992, “Stock Market and the Exchange Rate: A Multi-Country Approach,”
Journal of Macroeconomics 14, 607–629.
Soenen, L.A. and E.S. Hennigar, 1988, "An Analysis of Exchange Rates and Stock
Prices - The US Experience between 1980 and 1986," Akron Business and Economic Review:(Winter), 7-16.
Solnik, B., 1987, “Using Financial Prices to Test Exchange Rate Models: A Note,”
Journal of Finance, 42(1), 141-149.
Stavarek, D., 2004, “Stock Prices and Exchange Rates in the EU and the USA: Evidence of their Mutual Interactions,” MPRA Paper 7297, University Library of Munich, Germany.
Yang, S.Y. and S.C. Doong, 2004, “Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries,” International Journal of Business and Economics 3, 2004, 139-153.
Yu, Q., 1997, “Stock Prices and Exchange Rates: Experience in Leading East Asian Financial Centres: Tokyo, Hong Kong and Singapore”, Singapore Economic Review 41, 47–56.
Wu, Y., 2000, “Stock Prices and Exchange Rates in a VEC Model—the Case of Singapore in the 1990s,” Journal of Economics and Finance 24, 260-274.
描述 碩士
國立政治大學
國際經營與貿易研究所
97351016
98
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097351016
資料類型 thesis
dc.contributor.advisor 謝淑貞zh_TW
dc.contributor.author (Authors) 朱柏誠zh_TW
dc.creator (作者) 朱柏誠zh_TW
dc.date (日期) 2009en_US
dc.date.accessioned 5-Sep-2013 16:47:44 (UTC+8)-
dc.date.available 5-Sep-2013 16:47:44 (UTC+8)-
dc.date.issued (上傳時間) 5-Sep-2013 16:47:44 (UTC+8)-
dc.identifier (Other Identifiers) G0097351016en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60515-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易研究所zh_TW
dc.description (描述) 97351016zh_TW
dc.description (描述) 98zh_TW
dc.description.abstract (摘要) 本篇論文使用Correlation of Coefficient 與 Johansen cointegration test來探討股票市場與匯率市場之間的連動性。實證結果顯示股票市場與匯率市場之間有高度的相關性，特別是在西元2000年之後，全球呈現出集體的連動性。而此兩變數之間的關係亦可在不同的地區或是不同的工業化程度國家下看見不同的結果，歐體以及諸多新興市場等區域內皆呈現出股市與匯市相關係數的一致性。然而，當此研究以Johansen cointegration test來分析時，無法在此兩研究變數間發現顯著的長期關係。zh_TW
dc.description.abstract (摘要) This study utilized Correlation of Coefficient as well as Johansen cointegration test to investigate the relationship between stock prices and exchange markets. The empirical results show that the two markets of study are highly correlated, especially after the year of 2000. Since then, the stock prices and exchange rates worldwide have presented one common trend, either negative correlation or positive. Different region, such as European Union or East Asian countries exclude Japan, and different level of industrialization lead to diverse relationship between exchange rates and stock prices. Put this relationship in a long-term scope, however, no distinct trend can be discerned by using Johansen cointegration test.en_US
dc.description.tableofcontents 1. Introduction 1
2. Literature Review 4
3. Data and Methodology 10
3.1 Data Description 10
3.2 Methodology 15
3.2.1 Unit-root tests:The ADF test and PP test 16
3.2.2. Coefficient of Correlation 17
3.2.3. Johansen cointegration test 17
4. Empirical Results 19
4.1 Unit-root tests 19
4.2 Coefficient of Correlation 22
4.3 Johansen cointegration test 30
5. Conclusions 32
References 33		zh_TW
dc.format.extent 727819 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0097351016en_US
dc.subject (關鍵詞) Correlation of Coefficienten_US
dc.subject (關鍵詞) Johansen cointegration testen_US
dc.subject (關鍵詞) Stock pricesen_US
dc.subject (關鍵詞) Exchange Ratesen_US
dc.title (題名) 股票市場與外匯市場的連動性zh_TW
dc.title (題名) Stock prices and exchange rates: evidences from emerging markets and g-7en_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Abdalla, I. S. A. and V. Murinde, 1997, “Exchange Rate and Stock Price Interactions
in Emerging Financial Markets: Evidence on India, Korea, Pakistan, and Philippines.” Applied Financial Economics 7, 25–35.
Aggarwal, R., 1981, “Exchange Rates and Stock Prices: A Study of U.S. Capital Market under Floating Exchange Rates,” Akron Business and Economic Review, 7–12.
Ajayi, R. A. and M. Mougoue. 1996, “On the Dynamic Relation between
Stock Prices and Exchange Rates,” Journal of Financial Research 19, 193–207.
Baharom, A.H. and M.S. Habibullah and R.C., Royfaizal, 2008, "Pre and Post Crisis Analysis of Stock Price and Exchange Rate: Evidence from Malaysia," MPRA Paper 12445, University Library of Munich, Germany.
Bahmani-Oskooee, M. and A. Sohrabian, 1992, “Stock Prices and the Effective
Exchange Rate of the Dollar,” Applied Economics 24, 459–464.
Bartov, E. and G. M. Bodnar, 1994, “Firm Valuation, Earnings Expectations, and
The Exchange-Rate Exposure Effect,” Journal of Finance 49, 1755–1785.
Branson, W. H., 1983, “Macroeconomic Determinants of Real Exchange Risk,” in
Managing Foreign Exchange Risk, R. J. Herring ed., Cambridge: Cambridge
University Press
Cheung, Y. W. and K. S. Lai., 1993, “Finite Sample Sizes of Johansen’s Likelihood
Ratio Tests for Cointegration,” Oxford Bulletin of Economics and Statistics 55: 3, 313–328.
Donnelly, R. and E. Sheehy, 1996, “The share price reaction of U.K. exporters to exchange rate movements: An empirical study,” Journal of International Business Studies 27, 157−165.
Dornbusch, R. and S. Fisher, 1980, "Exchange Rates and the Current Account,"
American Economic Review 70, 960-971.
Franck, P. and A. Young, 1972, “Stock Price Reaction of Multinational Firms to
Exchange Realignments,” Financial Management 1, 1972, 66–73.
Frankel, J.A., 1983, "Monetary and Portfolio Balance Models of Exchange Rate Determination", in J.S. Bhandari and B. H. Putnam (eds) "Economic Interdependence and Flexible Exchange Rates," MIT Press, Cambridge, MA.
Granger, C.W.J. and I. Newbold, 1974, “Spurious regressions in econometrics,”
Journal of Econometrics 2, 111-120.
Johansen, S., 1991, “Estimation and Hypothesis Testing of Cointegrating Vectors in
Gaussian Vector Autoregressive Models,” Econometrica 59: (November), 1551– 1580.
Johansen, S. and K. Juselius, 1990, “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money,” Oxford Bulletin of Economics and Statistics 52, 169–210.
Ma, C. K. and G. W. Kao, 1990, “On Exchange Rate Changes and Stock Price
Reactions,” Journal of Business Finance and Accounting, 17(3), 441-450.
Muhammad, N. and A. Rasheed, 2003, “Stock Prices and Exchange Rates: Are they Related? Evidence from South Asian Countries”, Paper presented at the 18th Annual General Meeting and Conference of the Pakistan Society of Development Economists, January 2003.
Pan, M.S., R.C.W. Fok and Y.A. Liu, 2007, “Dynamic Linkages between Exchange Rates and Stock Prices: Evidence from East Asian Markets”, International Review of Economics and Finance 16, 2007, 503-520.
Phylakits, K. and Ravazzolo, F., 2000, “Stock Prices and Exchange Rate Dynamics,” Paper presented at the EFMA 2000 Meeting in Athens, May 2000.
Rittenberg, L., 1993, “Exchange Rate Policy and Price Level Changes: Causality
Tests for Turkey in the Post-Liberalisation Period”, the Journal of Development
Studies 29:2, 321–332.
Smith, C., 1992, “Stock Market and the Exchange Rate: A Multi-Country Approach,”
Journal of Macroeconomics 14, 607–629.
Soenen, L.A. and E.S. Hennigar, 1988, "An Analysis of Exchange Rates and Stock
Prices - The US Experience between 1980 and 1986," Akron Business and Economic Review:(Winter), 7-16.
Solnik, B., 1987, “Using Financial Prices to Test Exchange Rate Models: A Note,”
Journal of Finance, 42(1), 141-149.
Stavarek, D., 2004, “Stock Prices and Exchange Rates in the EU and the USA: Evidence of their Mutual Interactions,” MPRA Paper 7297, University Library of Munich, Germany.
Yang, S.Y. and S.C. Doong, 2004, “Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries,” International Journal of Business and Economics 3, 2004, 139-153.
Yu, Q., 1997, “Stock Prices and Exchange Rates: Experience in Leading East Asian Financial Centres: Tokyo, Hong Kong and Singapore”, Singapore Economic Review 41, 47–56.
Wu, Y., 2000, “Stock Prices and Exchange Rates in a VEC Model—the Case of Singapore in the 1990s,” Journal of Economics and Finance 24, 260-274.		zh_TW