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題名 | 股票市場動態關係之研究--以美、日、臺為例=Discussing the Linkage between the Stock Market--U.S., Japan, Taiwan |
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作者 | 徐清俊; 吳明恒; Hsu, Ching-jun; Wu, Ming-heng; |
期刊 | 玄奘管理學報 |
出版日期 | 20040300 |
卷期 | 1:2 2004.03[民93.03] |
頁次 | 頁17-40 |
分類號 | 563.61 |
語文 | chi |
關鍵詞 | 股價指數; 衝擊反應分析; 變異數分解; Stock price index; Impulse response analysis; Variance decomposition; |
中文摘要 | 高科技產業成了下一個世紀最被看好的明星產業之一,隨著這股擋不住的趨勢潮流,高科技類股在台灣的股市中,所佔市值比重與每日成交量也高居各類股的首位,從股市的相關報導中,投資人可以發現,台灣與國際股市的走勢似乎存有某種程度的相關,因此,針對此一課題探討,嘗試使用一些研究方法來探討台灣、美國與日本三個國家股市之間報酬因果關聯性。 經由實證分析,得知各國股價指數報酬間只有單向因果關係,並無回饋關係,且台灣與日本之股價指數報酬會受美國股價指數報酬的影響,且台灣又受日本股價指數報酬的影響;日本與台灣皆無法對美國有因果關係,可見代工關條可能影響了股價指數間的關係。各股價指數問衝擊反應分析,無論在多頭時期或者空頭時期,都會在短期內反應完畢。因此可以知道三個國家指數報酬的確存在相互影響的關係,但是並非是全面的,因各國廠商代工關係或者其他國際問共同相關因素,皆可能是短期內影響股價報酬的因素。 |
英文摘要 | High-Tech. Industry will become a star industry which is one of the most look after in next century. Following this tide can not keep off, the high technology category in Taiwan stock market which the first of the percentage at every one category stock that to market price and day trading volume. Form the news relàte to equity market; Investors can find that the stock market of Taiwan has connected with intemational stock, therefore, we can use the methodology of time series to investigate the lag relationship linkage between the stock market of U.S. and the stock of Japan and the stock of Taiwan. According to the empirical results analysis, we can find the profitability of stock price index of every country only has single causality and does not have feedback relationship. Theprofitability of stock price index of U.S. would affect the profitability of stock price index of Taiwan and Japan. Then the profitability of stock price index of Japan also effect the profitability of stock price index of Taiwan. We can find the OEM/ODM relationship might affect each stock price index. Each stock price index rushes impulse reaction response analysis. No matter what the bull period and the bear period is, would finish to reaction in the short times. Therefore, finding that the index of the three country really have influence each and other, but is not overall Stability of the OEM/ODM relationship of each country would affect stock price index in short period. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。