臺灣與貿易夥伴－香港及東協五國－股市互動性之研究

A Research on the Dynamic Relationships between the Equity Markets of Taiwan and Its Major Trading Partners, Hong Kong and ASEAN-5 Countries

10.29916/JMPP.200803.0007

陳鳳琴(Frng-Chin Chen)；黃光中(Kuang-Chung Huang)

股價指數 ； 單根檢定 ； 共整合檢定 ； 因果關係檢定 ； 向量自我迴歸模型 ； 一般化衝擊反應函數 ； stock index ； unit root test ； cointegration test ； causality test ； vector autoregressive model ； generalized impulse response function

管理實務與理論研究

2卷1期（2008 / 03 / 01）

87 - 113

繁體中文

本研究運用Johansen和Harris-Inder兩種共整合檢定法，在2001年1月3日至2007年8月30日的觀察期間，檢測台灣股市與香港及東協五國股票市場間的長期均衡關係，研究結果發現，台灣股市與香港及東協五國股市彼此間無共整合關係，隱含台灣股市與此六國股票市場間的套利活動在長期間無法使這些金融市場整合在一起。又由VAR模型及Granger因果關係檢定結果發現，香港股價指數單向地領先台灣股價指數，因此，投資人可藉由觀察香港股市的變化，預測台股短期走勢；東協五國股價指數分別與台灣股價指數存在雙向的回饋關係，因此，台灣與東協五國股市具有雙向的訊息傳遞效果。最後，以一般化衝擊反應函數，分析台股報酬率與香港及東協五國股價報酬率間長、短期之動態關聯性，結果顯示，台股報酬率的衝擊，除了對自身有短暫性反應外，香港及東協五國股價報酬率亦發生短暫性的反應，長期間，則呈穩定狀態；反之，當衝擊來自香港及東協五國股價報酬率時，台股會有短暫性的正面反應，無持續性反應。

In this study, we employ two cointegration tests, namely the Harris-Inder approach and the Johansen method, to test for pairwise long-run equilibrium relationship between Taiwan's stock price index and the stock price indices for the Hong Kong and ASEAN-5 countries markets over the period of 3 January 2001 to 30 August 2007. The results from these two tests are robust and consistent in suggesting that the Taiwanese equity market is not pairwise cointegrated with the Hong Kong and ASEAN-5 countries markets, the result is that the arbitrage action among Taiwan, Hong Kong and and ASEAN-5's stock markets has less relation of integration with financial market in long-run basis implicitly. From the VAR model and the Granger causality test, there is unidirectional causality running from Hong Kong stock indices to Taiwanese stock indices, and there are pairwise bidirectional feedback relationship between Taiwanese stock indices and ASEAN-5 countries' stock indices, and there are two-way effects of convey information between Taiwanese equity market and ASEAN-5 countries. Therefore, investors can forecast the trend of Taiwanese stock prices from the variation of stock indices of the Hong Kong markets. Lastly, this study also uses generalized-impulse response function to carry out analysis on short-run and long-run dynamic impact among Taiwanese stock price returns with Hong Kong and ASEAN-5 countries stock price returns. The empirical results of generalized impulse response functions point out that the shock for Taiwanese stock price returns, with the exception of Taiwan itself has transitory impact on Hong Kong and ASEAN-5 countries, it become stable condition in the long-run. On the other hand, Taiwanese market has a transitory positive impact, but no permanent influence from the shock of stock price returns of Hong Kong with ASEAN-5 countries.

1. Arshanapalli, B.,Doukas, J.(1993).International stock market linkages: evidence from the pre- and post-October 1987 period.Journal of Banking and Finance,17,193-208.
2. Box, G. E. P.,Jenkins, G. M.,Reinsel, G. C.(1994).Time series analysis forecasting and control (3/e).Prentice-Hall, Inc.
3. Chan, K. C.,Gup, B. E.,Pan, M. S.(1992).An empirical analysis of stock prices in major Asian markets and the United States.The Financial Review,27,289-308.
4. Chang, T.(2001).Are there any long-run benefits from international equity diversification for Taiwan investors diversifying in the equity markets of its major trading partners, Hong Kong, Japan, South Korea, Thailand and the US.Applied Economics Letters,8,441-446.
5. Chang, T.,Caudill, S. B.(2006).A note on the long-run benefits from international equity diversification for a Taiwan investor diversifying in the US equity market.International Review of Financial Analysis,15,57-67.
6. Chang, T.,Nieh, C. C.,Wei, C. C.(2006).Analysis of long-run benefits from international equity diversification between Taiwan and its investors diversifying in the equity markets of its major European trading partners: an empirical note.Applied Economics,38,2277-2283.
7. Cheung, Y.,Lai, K.(1993).Finite-sample sizes of Johansen's likelihood ratio tests for cointegration.Oxford Bulletin of Economics and Statistics,55,313-328.
8. Chowdhury, A. R.(1994).Stock market interdependencies: evidence from the Asian NIEs.Journal of Macroeconomics,16,629-651.
9. Chung, P. J.,Liu, D. J.(1994).Common stochastic trends in Pacific rim stock market.The Quarterly Review of Economics and Finance,34,241-259.
10. Cooley, T. F.,LeRoy, S. F.(1985).A theoretical macroeconometrics-A critique.Journal of Monetary Economics,16,283-308.
11. Dickey, D. A.,Fuller W. A.(1979).Distribution of the estimators for autoregressive time series with a unit root.Journal of the American Statistical Association,74,427-431.
12. Dickey, D. A.,Fuller, W. A.(1981).Likelihood ratio statistics for autoregressive time series with a unit root.Econometrica,49,1057-1072.
13. Elyas, E.,Priyal, P.,Tribhuvan, N. P.(1998).Interdependence and dynamic linkages between stock markets of Sri Lanka and its trading partners.Journal of Multinational Financial Management,8,89-101.
14. Emmanuel, A.,Ramchander, S.,Thiewes, H.(2003).Return dynamic across the Asian equity markets.Managerial Finance,29,1-23.
15. Engle, R.,Granger, C. W. J.(1987).Cointegration and error correction: Representation, Estimation and testing.Econometrica,55,251-267.
16. Garrett, I.,Spyrou, S.(1999).Common Stochastic trends in emerging equity markets.Manchester School,67,649-660.
17. Ghosh, A.,Saidi, R.,Johnson, K. H.(1999).Who moves the Asia-Pacific stock market -U. S. or Japan? empirical evidence base on the theory of cointegration.The Financial Review,34,159-170.
18. Granger, C. W. J.(1969).Investigating causal relations by econometric models and cross-spectral.Econometric,37,424-438.
19. Granger, C. W. J.(1988).Some recent developments in a concept of causality.Journal of econometrics,39,199-211.
20. Hall, A. R.(1994).Testing for a unit root in time series with pretest data-based model selection.Journal of Business and Economics Statistics,12,461-470.
21. Hamao, Y.,Masulis, R. W.,Ng, V.(1990).Correlation in price changes and volatility across international stock markets.The Review of Financial Studies,281-307.
22. Hamilton, J. D.(1994).Time series analysis, Princeton.NJ:Princeton University Press.
23. Harris, D.,Inder, B.,C. Hargreaves (Ed.)(1994).no stationary time series analysis and cointegration.Oxford University Press:Oxford.
24. Huang, B. N.,Yang, C. W.,Hu, W. S.(2000).Causality and cointegration of stock market among the United States, Japan and the south China growth triangle.International Review of Financial analysis,9,281-297.
25. Johansen, S.(1988).Statistical Analysis of Cointegration vectors.Journal of Economic Dynamics and Control,12,231-254.
26. Johansen, S.,Juselius, K.(1990).Maximum likelihood estimation and inference on cointegration with applications to the demand for money.Oxford Bulletin of Economics and Statistics,52,169-210.
27. Kanas, A.(1998).Long-run benefits from international equity diversification: a note on the Canadian evidence.Applied Economics Letters,5,659-663.
28. Kanas, A.(1999).A note on the long-run benefits from international equity diversification for a UK investor diversifying in the US equity market.Applied Economics Letters,6,47-53.
29. Working Paper, Queen Mary
30. Kasa, K.(1992).Common stochastic trends in international stock markets.Journal of Monetary Economics,29,95-124.
31. King, R.,Plosser, C. I.,Stock, J. H.,Watson, M. M.(1991).Stochastic trends and economic fluctuations.American Economic Review,81(4),819-840.
32. Kwan, A. C. C.,Sim, A. B.,Cotsomitis, J. A.(1995).The causal relationships between equities on world exchanges.Applied Economics,27,33-37.
33. Kwiatkowski, D.,Philips, P.,Schmidt, P.,Shin, Y.(1992).Testing the null hypothesis of stationary against the alternative of a unit root.Journal of econometrics,54,159-178.
34. Mackinnon, J. G.(1996).Numerical distribution functions for unit-root and cointegration tests.Journal of applied econometrics,601-618.
35. Malliaris, A. G.,Urrutia, J. L.(1992).The international crash of October 1987: causality tests.Journal of Financial and Quantitative Analysis,8,71-91.
36. Masih, A. M. M.,Masih, R.(1999).Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets.Pacific Basin Financial Journal,7,251-282.
37. Masih, A. M. M.,Masih, R.(1997).A comparative analysis of the propagation of the market fluctuations in alternative models of dynamic causal linkages.Applied Financial Economics,7,59-74.
38. Masih, A. M. M.,Masih, R.(2002).Propagative causal price transmission among international stock markets: Evidence from Pre-and-post globalization period.Global Finance Journal,13,63-91.
39. Nelson, C. R.,Plosser, C. I.(1982).Trends and random walks in macroeconomic time series.Journal of Monetary Economics,10,149-162.
40. Newey, W.,West, K.(1994).Automatic lag selection in covariance matrix estimation.Review of Economic Studies,61,631-653.
41. Ng, S.,Perron, P.(1995).Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag.Journal of the American Statistical Association,90,268-281.
42. Ng, S.,Perron, P.(2001).Lag length selection and the construction of unit root tests with goof size and power.Econometrical,69,1519-1554.
43. Osterwald-Lenum, M.(1992).A note with quantiles of the asymptotic distribution of the maximum likelihood co integration rank test statistics.Oxford Bulletins of Economics and Statistics,54,461-472.
44. Pesaran, M. H.,Shin, Y.(1998).Generalized impulse response analysis in linear multivariate models.Economic Letters,58,17-29.
45. Philips, P. C. B.,Perron, P.(1988).Testing for a unit root in time series regression.Biometrika,75,335-346.
46. Reimers, H. E.(1992).Comparisons of tests for multivariate co integration.Statistics paper,33,335-346.
47. Roca, E. D.(1999).Short-term and long-term price linkages between the equity markets of Australia and its major trading partners.Applied Financial Economics.
48. Schwartz, G.(1978).Tests for unit roots: A Monte Carlo investigation, Ann.Statistics,6,461-464.
49. Sims, C. A.(1980).Macroeconomics and reality.Econometric,48,1-48.
50. Taylor, M. P.,Tonks, I.(1989).The internationalization of stock markets and abolition of UK exchange control.Review of Economics and Statistics,71,332-336.
51. Zhou, S.(1996).The response of real exchange rates of various economic shocks.Southern Economic Journal,63,936-954.

1. 鍾銘泰、楊淳如、黃台心(2015)。運用向量誤差修正模型探討台灣各產業與股市大盤間資訊傳遞速度。管理與系統，22(1)，1-31。