摘要(英) |
The purpose of this study is to investigate the relationship of the stock market at the G8 countries, By employing the popular time series techniques, including unit root test, Johansen’s cointegration analysis, vector error correction model, as well as Granger causality test, and impulse response function, the empirical daily data from January 1 , 2003 to December 31, 2013. Data was collected from the Dow Jones, Canada, FTSE100, CAC40, DAX, FTSE Italia, RTS and Nikkei225. In conclusion, the results present the all series become stable after first difference. The G8 index from cointergration test after financial crisis is in a long-term integrated correlation. Causality test suggests that the Dow Jones stock market is leading as an indicator after financial crisis and information transmission has became stronger in the short-term. |
參考文獻 |
中文文獻
1. 王毓敏、廖四郎、徐守德(2000),亞洲股市間的關係-動態過程的檢定,亞太管理評論,第五卷第一期,頁15-27。
2. 李志鴻(2005),兩岸三地股市與美國股市相關連性研究,中國文化大學經濟學研究所碩士論文。
3. 吳懷文(2004),中國大陸開放QFII對其股市影響研究,淡江大學中國大陸研究所經貿組,碩士學位論文。
4. 林琇琦(2010),共整合模型應用於次級房貸七大工業國與金磚四國經濟成長之研究,國立成功大學交通管理學系碩博士班,碩士學位論文。
5. 徐守德(1995),亞洲股市間共整合之實證研究,證券市場發展季刊,第七卷第四期,頁33-57。
6. 陳旭昇(2007),時間序列分析-總體經濟與財務金融之應用,東華書局。
7. 陳仕偉、林惠如(2006),區隔市場或整合市場?亞洲股市與美國及日本股市的實證研究,金融風險管理季刊,第二巻第四期,頁19-47。
8. 陳仕偉、陳姿君(2011),匯率引導股價或股價引導匯率?G-7的實證研究,經濟與管理論叢,第七卷第一期,頁101-133。
9. 張巧宜(2002),兩岸四地股票市場連動關係之-研究分數共整合應用,國立高雄第一科技大學金融營運研究所,碩士學位論文。
10. 楊踐為、賴怡洵(1998),美日香港與台灣四地股價指數連動關係之研究,台灣土地金融季刊,第三十五卷第二期,頁1-15。
11. 聶建中、林景春、詹凱婷(2004),兩岸三地股價聯動性研究,輔仁管理評論,第十一卷第二期,頁63-82。
英文文獻
1. Brahmasrene, T. (2007), “Cointegration and causality between stock index and macroeconomic variables in an emerging market,” Academy of Accounting and Financial Studies Journal, 11, 17-30.
2. Dickey, D. A. and W. A. Fuller (1979), “ Distribution of the estimators for autoregreesive timeseries with a unit root,” Journal of the American Statitical Association, 74(366a), 427-431.
3. Engle, R. F. and C. W. J. Granger (1987), “ Cointegration and error correction : reptesentation, estimation, and testing,” Econometrica, 55, 251-276.
4. Granger, C. W. J and P. Newbold (1974), “Spurious regressions in econometrics,” Journal of Econometrics, 2, 111-120.
5. Huang, B. N., Yang, C. W. and W. S. Hu (2000), “Causality and cointegration of stock market among the united states, japan, and the south china growth triangle,” International Review of Financial Analysis, 9(3), 281-297.
6. Yang, J. (2003), “Market segmentation and information asymmetry in chinese stock markets: a VAR analysis,” The Financial Review, 38, 591-609.
7. Johansen, S. (1988), “Statistical analysis of cointegration vectors,”Journal of Economic Dynamics and control, 12, 231-254.
8. Johansen, S. (1995), “Likelihood-based inference in cointegrated vector autoregressive models,” Oxford University press.
9. Komain, J. and T. Brahmasrene (2007), “The relationship between government expenditures and economic growth in Thailand”, Journal of Economics and Economic Education Research, 8(1), 93-102.
10. Mosconi, R. and C. Giannini (1992), “Non-causality in cointegrated systems: Representation estimation and testing”, Oxford Bulletin of Economics and Statistics, 54(3), 399-417.
11. Nieh, C. C. and C. F. Lee (2001), “Dynamic relationship between stock prices and exchange rates for G-7 Countries,”Quarterly Review of Economics and Finance, 41, 477-490.
12. Rui, M. and A. Dioniso (2011),“Globalization and long-run co- movements in the stock market for the G7: An application of VECM under structural breaks”, Chinese Science Bulletin, 56, 3707-3716.
13. Tahai, A., Robert, R. W. and K. E. Karim (2004),“An examination of financial integration for the group of seven (G7) industrialized countries using an I( ) cointegration model”, Applied Financial Economics, 2004, 14, 327-335.
14. Zeren, F. and M. Koc (2013),“Analyzing integration between stock market of Turkey and G8 nations with maki cointegration test”, Journal of Applied Finance & Banking, 3(6), 135-142.
15. Zhu, H., Lu, Z. and S. Wang (2004), “ Causal linkages among shanghai shenzhen and hong kong stock markets,” International Journal of Theoretical and Applied Finance, 7, 135-149.
|