美股對臺股影響之分量迴歸分析

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姓名

林我彥(Wo-Yen Lin) 查詢紙本館藏

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財務金融學系

論文名稱

美股對臺股影響之分量迴歸分析
(The Transmission of Stock Market between US and Taiwan: Quantile Regression Analysis)

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摘要(中)

在過去的股市相關性的探討,大多數的論文使用VAR(vector auto-regression model, 向量自我迴歸模型),VECM(vector error correction model, 誤差修正模型),以及Granger因果關係檢定來探討美國與台灣股市間的相關性分析。此篇論文使用分量迴歸法來建構模型,此外,我們使用美股日報酬為自變數,以台股的日報酬與隔夜報酬當因變數,檢驗美股對台股的影響。由分量迴歸的實證結果發現,台股受美股的影響顯著,特別是對台股大漲大跌時,有較大的影響。

摘要(英)

Most researches use VAR, VECM, and Granger causality to estimate the links between US and Taiwan stock markets.
This study use quantile regression approach to build model.
Using this approach could investigate marginal effects of dependent variable at various quantiles. In addition, we also examine US daily return in previous days on Taiwan daily return and overnight return to explore the direct impact from US market. The empirical results indicate that Taiwan’’s stock market is significantly influenced by US stock market, particularly when the stock market rise and go down dramatically.

關鍵字(中)

★ Granger因果檢定
★ 分量迴歸
★ 相關性

關鍵字(英)

★ Granger causality test
★ quantile regression
★ correlation

論文目次

1 緒論..................................................1
1.1 研究背景與研究動機 .................................1
1.2 研究目的 ...........................................3
1.3 研究架構............................................4
2 文獻回顧..............................................6
2.1 股價關聯性之相關文獻................................6
2.1.1 國際股市間的領先一落後關係..................6
2.1.2 全球股市的整合...............................6
2.1.3 台灣股市與其他股市的相關性研究...............7
2.2 分量迴歸法之相關文獻................................10
2.3 漲跌幅限制與股價報酬之相關文獻......................11
3 研究方法..............................................12
3.1 研究對象與研究期間..................................12
3.2 ADF單根檢定.........................................13
3.2.1 落後期的選取.................................14
3.3 Granger因果關係分析模型.............................15
3.4.分量迴歸分析模型....................................16
3.4.1:分量迴歸模型的假設............................17
3.4.2:分量迴歸模型的估計............................18
3.4.3:Bootstrap Method(拔靴法)......................19
4 實證結果..............................................20
4.1 基本敘述統計分析....................................20
4.2 ADF單根檢定.........................................21
4.3 Granger因果關係.....................................23
4.4 分量迴歸分析........................................24
4.4.1 以台灣加權股價指數報酬為因變數之分量迴歸模型..24
4.4.2 以電子指數報酬為因變數之分量迴歸模型..........25
4.4.3 以金融指數報酬為因變數之分量迴歸模型..........26
4.4.4 以台股隔夜報酬當因變數之分量迴歸模型..........26
4.4.5 分量迴歸結果探討..............................27
5 結論、建議............................................29
6 參考文獻..............................................30

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指導教授

何中達(Chung-Da Ho)

審核日期

2008-6-29

推文