Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23012
標題: Integration and Interrelatedness of Stock and Foreign Exchange Markets in Pre and Post Asian Financial Crisis Periods-The Empirical Study of Asian Four Little Dragons, the US and Japan
金融風暴前後亞洲四小龍與美、日間股匯市之整合性及相互關聯性
作者: 何國誠
Ho, Kuo-Cheng
關鍵字: Integration;整合性;Interrelatedness;Asian crisis;VAR model;Dynamic linkages;相互關聯性;亞洲金融風暴;向量自我迴歸模型;動態連結
出版社: 財務金融研究所
摘要: 
本研究是在探討亞洲四小龍各國與美國、日本之間股匯市的整合性及相互關聯性,以及觀察亞洲金融風暴前後此互動關係的差異。在觀察整合的程度上,本研究考慮匯率與股票市場之間的相互關聯性,因為匯率會透過利率與資本成本來影響企業的國際競爭力。本研究運用之計量方法包括ADF單根檢定、Johansen共整合檢定、向量自我迴歸模型、Granger因果關係檢定、衝擊反應分析與預測誤差變異數分解。研究期間為西元1993年6月1日至2003年10月28日,共2716筆日資料。
實證結果顯示,雖然亞洲金融風暴前後亞洲四小龍各國與美、日股匯市之間並無共整合關係,也就是缺乏長期的共移性,但在亞洲金融風暴發生之後,亞洲四小龍各國與美、日間股匯市之短期動態連結關係均較亞洲金融風暴發生前來的顯著。除此之外,藉由衝擊反應分析可顯示出市場之間衝擊的同步傳導過程。

This paper examines the integration and interrelatedness of stock and foreign exchange markets for Asian Four Little Dragons. In addition, this study determines whether the extent and nature of stock and foreign exchange markets integration in the period of the post-Asian crisis differs from that of the pre-Asian crisis. In investigating the extent of integration, this study takes into account the interdependence between foreign exchange rates and stock prices, since exchange rates influence international competitiveness of firms, and, via interest rates, the cost of capital. The approach in this paper adopts ADF Unit Root Test, Johansen Cointegration Test, VAR model , Granger Causality Test, Impulse Response Analysis, and Variance Decomposition. The sample period starts from June 1, 1993 to October 28, 2003. Daily data in total of 2716 observations.
The results indicate that no cointegrating relationship exists among the variables in the system both before and after the Asian financial crisis. Thus, in spite of some evidence of lack of long-run comovements in financial prices both before and after the Asian financial crisis, but short-term dynamic linkages among markets have stronger in the post-Asian crisis period than in the pre-Asian crisis period. Furthermore, the impulse response analysis indicates a contemporaneous transmission of shocks from one market to other markets.
URI: http://hdl.handle.net/11455/23012
Appears in Collections:財務金融學系所

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