| 摘要: | 本研究是探討台灣與美、日、中之間生技股指數的變動關聯性相關程度、探討股市發生衝擊影響對台灣與美、日、中之生技股指數是否具有常其均衡穩定的共整合關係，以了解是否能做風險規避以及分析四地股市受到衝擊影響對彼此連動關係與衝擊程度之變化。
本研究運用單根檢定法對於原始數列進行分析後，發現各指數原始資料皆有不同的趨勢，而本研究將原始數列經過一階差分後時間序列資料達到恆定狀態，即可以進入共整合檢定。本研究結果顯示，五個指數之間並不存在某種長期均衡的關係。結果發現，其中台灣生技醫療類股指數，無論在長短期情況下，較可能受美國NASDAQ生技類股的影響；日本東證製藥指數，無論在長短期情況下，較可能受美國NASDAQ生技類股的影響；上證醫藥主題指數，無論在長短期情況下，較可能受日本東證製藥指數的影響，其次是台灣生技醫療類股指數。深證醫療指數，在短期情況下，較可能受上證醫藥主題指數的影響，在長期情況下，較可能受台灣生技醫療類股指數的影響，其次是日本東證製藥指數；美國目前在生技產業中還處於龍頭，因此目前還不受其他三國影響。對於股市投資人而言，雖然指數領先與落後的關係上無太多套利空間且將資金投入單一產業別的風險雖高，但是可以藉由此些微的關連性，做投資組合的避險的參考。
This study was to investigate the students between Taiwan and the United States, Japan, technology shares index-related change in the degree of relevance to explore the impact of stock market shocks occur Taiwan and the United States, Japan and the biotech share index whether the equilibrium constant and stable co integration relationship to see if can do risk aversion and analysis Four stocks were moving shocks change the relationship between the degree of impact on each other even.
In this study, a single assay for after the original series were analyzed and found each index sourcebook Jieyou different trends, but this study original series through an order difference time-series data to reach a steady state, which can enter the co-integration test. The results of this study show, there is some kind of long-run equilibrium relationship between the five indices. The results found that one in Taiwan Biotechnology & Medical Care Sector Index, both in the short and long term, the more likely influenced by the United States NASDAQ biotech stocks; Japan TOPIX Pharmaceutical Index, both in the short and long term, the more likely by the American NASDAQ Health Effect of technology stocks; the Shanghai Pharmaceutical topic index, both in the short and long term, the more likely to affect Japan's Topix index by the pharmaceutical, followed by Taiwan Biotechnology & Medical Care Sector Index. Shenzhen health index, in the short term, the more likely influenced by the Shanghai Pharmaceutical topic index, in the long term, the more likely to be affected Taiwan Biotechnology & Medical Care shares index, followed by Japan TOPIX Pharmaceutical Index; the United States is currently in the raw the biotechnology industry is still in the lead, and therefore there is not the other three countries affected. |
