東南亞國家主要股市之弱式效率與共整合分析

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Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/38242

Title:	東南亞國家主要股市之弱式效率與共整合分析 Weak-form efficiency and co-integration in major stock markets of Southeast Asian countries
Authors:	杜嬌莊
Contributors:	全球商務碩士學位學程碩士班
Keywords:	stock markets
Date:	2017
Issue Date:	2017-10-03 11:00:23 (UTC+8)
Abstract:	Chinese Culture University ABSTRACT The purpose of this study is to explore the weak-form efficiency of the stock markets for major Southeast Asian countries, and to examine whether the six stock markets showed the long-run equilibrium relationship in the time period under study. Besides, this study also performs the Granger causality test among the six stock markets. The variables used in this study comprise the stock indices of six countries, including Indonesia, Malaysia, the Philippines, Thailand, Singapore, and Vietnam. The data are collected at the monthly interval from the Taiwan Economic Journal (TEJ), spanning from October 2006 to October, 2015. The augmented Dickey-Fuller (ADF), Philip-Perron (PP) and Kwiatkowski-Philips-Schmidt-Shin (KPSS) tests are employed to conduct the unit root test. The six variables are found all I(1) series generated from the random walk model, suggesting the validity of the weak-form efficient market hypothesis (EMH). The six stock markets also displayed long-run equilibrium relationships by using the Johansen co-integration test. The Granger causality test is thus performed in the context of the estimated vector error correction model (VECM). Evidence shows that there was bidirectional causality running between Philippine – Singapore, Philippine – Thailand and Malaysia – Thailand in the stock markets. The Indonesian and Vietnamese markets were not Granger caused by any other markets. However, unidirectional causalities were found from Vietnam to Malaysia and Thailand as well as from Indonesia to Malaysia, the Philippines and Thailand; from Philippines to Malaysia; from Singapore to Indonesia, Malaysia and Thaiand. The Indonesian market displayed relative exogeneity among the six major Southeast Asian stock markets that co-moved and were mostly interrelated. Keyword: stock markets, Southeast Asian, weak-form, efficiency, co-integration, Granger causality
Appears in Collections:	[English Program of Global Business] Thesis

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