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| Title: | 台灣香港的匯市和股市之間聯動性的實證分析
An Empirical Analysis of the Linkage Between Foreign Exchange Market and Stock Market in Taiwan and Hong Kong |
| Authors: | 林聖竺
Lin, Shengzhu |
| Contributors: | 張興華
Chang, Hsing-Hua
林聖竺
Lin, Shengzhu |
| Keywords: | 台灣
香港
股市
匯市
聯動效應
向量自我回歸模型
Granger因果關係檢定
Taiwan
Hongkong
Stock market
Foreign exchange market
Linkage effect
VAR model |
| Date: | 2023 |
| Issue Date: | 2023-07-06 16:45:05 (UTC+8) |
| Abstract: | 本研究採用2013 年 1 月3日至 2022 年 12 月30日的美元兌新台幣、美元兌港幣之日資料以及2013 年 1 月3日至 2022 年 12 月30日的台灣加權指數和香港恒生指數的日資料，探討台灣市場和香港市場的股市與匯市之間的關聯性。同時，本研究研究方法採用單根檢定(ADF)、向量自我回歸模型(VAR)以及Granger 因果關係檢定。研究發現：台灣香港的匯市和股市之間具有一定的聯動效應。由Granger因果關係顯示：香港的匯市能對香港股市、台灣的股市和台灣匯市皆能產生一定影響；台股和港股、台幣 和台股之間均爲相互影響關係；台灣匯市的變動也能在一定程度上影響香港的股市。
This study uses the daily data of USD/NTD and USD/HKD from January 3, 2013 to December 30, 2022, and the Taiwan Weighted Index and Hong Kong Hang Seng Index from January 3, 2013 to December 30, 2022 Daily data to explore the correlation between stock and foreign exchange markets in Taiwan and Hong Kong. At the same time, the research methods of this study adopt Augmented Dickey-Fuller Test (ADF), Vector Autoregression model (VAR) and Granger causality test. The research found that there is a certain linkage effect between the foreign exchange market and the stock market in Taiwan and Hong Kong. The Granger causality shows that Hong Kong`s foreign exchange market can have a certain impact on the Hong Kong stock market, Taiwan`s stock market and Taiwan`s foreign exchange market; Taiwan stocks and Hong Kong stocks, Taiwan dollars and Taiwan stocks all have mutual influences; changes in Taiwan`s foreign exchange market can also affect to a certain extent, it affects the stock market in Hong Kong. |
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| Description: | 碩士
國立政治大學
金融學系
109352032 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109352032 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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