台灣股市與大陸股市關聯性之研究

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Title:	台灣股市與大陸股市關聯性之研究
Authors:	俞信彰
Contributors:	國際企業管理研究所
Keywords:	股市 Stock 關聯性 Relationship Granger因果關係檢定 Granger’s causality test
Date:	2010
Issue Date:	2010-06-28 15:35:06 (UTC+8)
Abstract:	近年來由於中國大陸經濟成長快速，隨著台灣與中國大陸的經貿關係日趨密切，彼此間的股市應該也會產生相當程度的連動影響。本研究之目的為了探討台灣股市與大陸股市之間的關係，運用單根檢定、共整合檢定、因果關係檢定、VAR模型及衝擊反應檢定進行檢測，找出兩個股市間的關聯性。本研究之研究期間為2004年6月1日至2007年6月30日止，資料型態為日資料共5648筆，得到以下實證結果: 一、台灣股市與大陸股市間不存在長期的共整合關係。二、由因果關係檢定發現香港股市領先台灣股市與大陸股市。三、經由衝擊反應發現香港股市對於台灣股市與大陸股市而言有著較大的影響。 Recent years, the China economic is vast growing. Is day by day close along with Taiwan and mainland China’s trade relation, the stock market should also have the suitable degree gearing influence. The purpose of this research is to study the relationship between Taiwan’s and China’s stock markets. This study makes use of the measures of unit root, Cointegration, Granger’s causality test, VAR model and Impulse Response to find out the relations between Taiwan stock market and China stock markets. Research of period this research for this research period from June 1, 2004 stopped to June 30, 2007, the material state for date material altogether 5648, we get the results as following: First, Taiwan stock market and China stock market between no evident cointegration . Second, the Granger’s causality test reveals that Hong Kong stock market lead Taiwan’s and China’s stock markets. Third, the impulse response function reveals that Hong Kong stock market has stronger effect on Taiwan’s and China’s stock markets.
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