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研究生： 林建龍
Lin, Jian-long
論文名稱： 資本流動與股匯市之互動關係-以亞洲開發中國家為例
How foreign capital flows affect equity and foreign exchange markets? -The case of Asia emerging markets
指導教授： 王澤世
Wang, Tza-shr
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2009
畢業學年度： 97
語文別： 英文
論文頁數： 56
中文關鍵詞： 向量自我迴歸 、資本流動 、聯立方程模型
外文關鍵詞： Simultaneous estimation models, Capital flows, VAR
相關次數： 點閱：103  下載：3 
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    • 本篇文章旨在探討資本流動與外匯市場及國外股票報酬之間的關聯性。我們主要利用向量自我迴歸檢定及聯立方程模型兩種方法探討變數之間的關聯性。
    由聯立方程模型結果，我們發現大部分樣本國家的股票報酬和匯率存在著顯著相關，其中菲律賓、新加坡以及台灣的股票報酬和匯率有顯著的正相關，而印尼和馬來西亞則是顯著負相關。而美國的股票報酬對所有的樣本國家股票市場報酬有顯著的正向影響力。另外，向量自我迴歸的結果顯示，內生變數對其他變數的非預期衝擊以落後一期的影響程度最大，而從衝擊反應的圖表可看出此非預期衝擊大致上維持2~3個月的期間。

    The purpose of this article is to explore the relationship between capital flows, foreign exchange markets, and foreign equity returns. We utilize Vector Autoregression models (VAR) and simultaneous estimation models to test these interrelationships.
    From the results of simultaneous equations estimation, we find that foreign equity returns and exchange rate returns are significant correlated for most of countries under investigation. Among the significant countries, foreign equity returns are positively associated with exchange rate returns for Philippine, Singapore and Taiwan, but negatively correlated for Indonesia and Malaysia. For all emerging countries, we find US stock index return has significantly positive effects on foreign stock index returns. Moreover, the VAR analysis shows that most responses of the dependent variables (exchange rate return, foreign stock return, and equity flow) to the unexpected shocks of other variables are most prominent for one month and persist for two to three months.

    ABSTRACT.........................................................................................................................I 摘要..................................................................................................................................... II CONTENTS.......................................................................................................................IV TABLE OF CONTENTS....................................................................................................V FIGURE OF CONTENTS................................................................................................VI Chapter 1 Introduction.................................................................................................... 1 1.1 Background.................................................................................................................. 1 1.2 Objectives .................................................................................................................... 4 Chapter 2 Literature Review .......................................................................................... 6 2.1 Flows and returns......................................................................................................... 6 2.2 Exchange markets and equity markets ........................................................................ 8 2.3 Exchange rate and capital flows .................................................................................. 9 2.4 US interest rate and capital flows .............................................................................. 10 2.5 Other factors and summary........................................................................................ 10 Chapter 3 Methodology and Data................................................................................. 13 3.1 Methodology.............................................................................................................. 13 3.2 Data........................................................................................................................... 23 Chapter 4 Empirical Results ......................................................................................... 25 4.1 Simultaneous equations approach ............................................................................. 25 4.2 VAR analysis............................................................................................................. 27 4.3 Impulse response analysis ......................................................................................... 29 4.4 Variance decomposition ............................................................................................ 30 Chapter 5 Conclusion..................................................................................................... 32 References .......................................................................................................................... 34

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