共整合系統中隱含共同因子之估計與應用－亞太華人地區股市關聯性之分析

Application and Estimation of Common Components in Cointegrated System: Evidences on the Stock Markets in Asia-Pacific Chinese Area

劉祥熹(Hsiang-Hsi Liu)；曾建國(Chien-Kuo Tseng)

共同因子 ； 共整合 ； 誤差修正模型 ； Quah分解定理 ； common factors ； cointegration ； error correction model ； Quah decomposition theorem

企業管理學報

56期（2003 / 03 / 01）

31 - 61

繁體中文

以往有關共整合之研究比較皆著重於變數之間是否存在共整合，並未探討當共整合存在時是哪些變數造成，本文以多變量的因子模型為基礎，利用 Quah 的分解定理導出影響長期均衡的共同因子，並以此共同因子解釋共整合形成是受到哪些變數的影響。實證上以亞太華人地區 ( 香港、中國大陸、新加坡、台灣 ) 的五個股市 ( 中國大陸包括上海、深圳 ) 為分析的對象。根據估計出的共同因子，顯示此五個股市之間共整合的存在是由於台灣與香港的股市造成，故投資人在這五個股市投資時必須將此兩國股市之資訊納入並做為決定性之考量因素，以促正確之決策，亦即該些國之政策當局為促股市有效互動與運作，此兩國股市資訊的決定性影響不容忽視。

Many studies have focused on investigating the existence of cointergation, but do not detect which variables cause the cointegration to become true. By applying Quah decompostion theorem and via the method of multivariate analysis, this paper has found the common factors which cause the variables to become integrated. In our example for application of this concept on the stock markets in Asia-Pacific Chinese region: Hong Kong, Mainland chain, Singapore and Taiwan. We have found that the stock prices of Hong Kong and Taiwan are the major common forces to cause these market integration. The useful information may help inventors and/or government authortries in this region to do their policy-making more accurately.

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