台灣加權指數與上海股價指數關連之研究

Abstract

本文旨在探討次級房貸事件前後台灣股市與上海股市間的關連性變化，以美國道瓊、上海、台灣股市每日收盤價為研究樣本，研究期間為2005年至2010年間，並以2007年12月31日為分界點，區分為次級房貸風暴事件發生前後，再以ADF單根檢定、VAR模型中的衝擊反應分析和預測誤差變異數分解來分析三大股市間的關連性分析及發生次級房貸風暴事件對三大股市間之影響。首先，三大股市原始資料皆須一階差分後才能達成定態。再來由衝擊反應分析可得知上海股市是較封閉的市場，較不受其他股市影響，而台灣股市是淺碟型的市場，較易受其他股市影響;另外不論是發生次級房貸風暴前後上海股市發生衝擊對於美國股市的反應程度均小於對台灣股市的反應程度。最後，從預測誤差變異數分解可得知上海股市對台灣股市的影響程度在次級房貸風暴後逐漸提高，已有大過美國股市之趨。綜合以上結論，未來投資人在預測台股未來的走勢時，除了緊盯美國股市昨天的收盤價外，還得密切注意上海股市在盤中的走勢變化，以作為投資決策的參考。

The purpose of this research is to probe into the interrelationship between Taiwan stock market and Shanghai stock market before and after the sub-prime mortgage. To take the daily closing price of Dow Jones, Shanghai and Taiwan stock as the research sample and the research period is from 2005 to 2010, in which the dividing point is December 31st, 2007 to divide the time before and after the sub-prime mortgage. Afterwards, take ADF unit root test and impulse response analysis and forecast error variance decomposition analysis of VAR model to analyze the interrelationship among three stock markets and the influence to the three stock markets after the sub-prime mortgage. First of all, we can know that Shanghai stock market is one closer market through impulse response analysis and is hard to be affected by other stock markets. Taiwan stock market is one shallow dish market that is easy to be affected by other stock markets. At last, we can know that the influence of Shanghai stock market to Taiwan stock market after the sub-prime mortgage is raised up gradually through forecast error variance decomposition and shall be greater than American stock market. To sum up the above conclusion, the investor shall not only take care of the closing price of American stock market but also pay more attention to the intraday trend of Shanghai stock market in order to be taken as the reference of investment decision whilst forecasting the future trend of Taiwan stock market.