台灣股市、匯率與國際原油價格之動態關聯-VECM與VECM-GARCH之應用; The dynamic association of Taiwan stock market,exchange rate and crude oil price-VECM and VECM-GARCH application

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Title:	台灣股市、匯率與國際原油價格之動態關聯-VECM與VECM-GARCH之應用;The dynamic association of Taiwan stock market,exchange rate and crude oil price-VECM and VECM-GARCH application
Authors:	陳明賜;Ming-szu Chen
Contributors:	產業經濟研究所
Keywords:	匯率;向量誤差修正模型;油價;crude oil price;exchange rate;VECM
Date:	2009-07-09
Issue Date:	2009-09-22 15:13:52 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	本研究探討2001年1月1日至2008年12月31日，台灣加權股價指數對於國際原油價格與匯率之間長期均衡和短期動態調整的關係。並分別加入塑化類股指數、紡織類股指數和機電類股指數，探討製造業相關類股與股匯市、原油價格之動態關聯。首先，根據單根檢定結果，各變數為I(1)的時間序列。再利用Johansen最大概似估計法進行共整合檢定分析，模型一存在共整合向量，也意味台灣加權股價指數、匯率以及原油價格具有長期均衡關係。而分別加入類股指數後的模型也皆存在共整合向量，其變數間有長期均衡關係。Granger因果關係實證結果，匯率的變動對於台灣加權股價指數變動、塑化類股指數變動、紡織類股指數變動和機電類股指數變動都具有領先關係，而向量誤差修正模型VECM實證結果方面，本論文特別針對各模型應變數為股價變動的估計式特別提出討論。VECM實證結果發現在短期內匯率落後期的變動對於台灣加權股價指數變動、塑化類股指數變動、紡織類股指數變動和機電類股指數變動皆具有顯著的負向關係，而短期內國際原油落後期價格變動皆對台灣加權股價指數變動、塑化類股指數變動、紡織類股指數變動和機電類股指數變動也具負向顯著關係。最後考慮了變數間長期關係和異質變異性現象的VECM-GARCH模型部分，結果發現與VECM的模型估計結果大致相同。 This paper attempts to shed light into the long-run and the short-run relationship among Taiwan stock market, exchange rate and crude oil price. Based on ADF unit root tests, all series become stable after first difference. Therefore, Johanson’s Co-integration method has been applied. The results obtained by using this method provided co-integrating relationship among Taiwan stock index, the exchange rate and crude oil price. Respectively adding Plastics Stock Index , Textiles Stock Index, Electrical and Mechanical Stock Index , methodology of co-integration also provides evidence of unique co-integrating vector. Results from VECM confirm that exchange rate movements and oil price movements both play important roles in affecting Taiwan stock market. In the short run , exchange rate movements have significant negative influence on the Taiwan Stock Index movements, Plastics Stock Index movements, Textiles stock index movements, and Electrical and Mechanical stock index movements. Also, crude oil price movements have the similar impacts on Taiwan stock market with exchange rate movements. Finally, we perform VECM-GARCH model . we find that the results from VECM-GARCH keep path with the results from VECM.
Appears in Collections:	[Graduate Institute of Industrial Economics] Electronic Thesis & Dissertation

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