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系統識別號 U0026-0812200915095215
論文名稱(中文) 資本流動與股匯市之互動關係-以G7為例
論文名稱(英文) How foreign capital flows affect equity and foreign exchange markets? -The case of G7
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance & Banking
學年度 97
學期 2
出版年 98
研究生(中文) 許馨云
研究生(英文) Shin-Yun Sheu
學號 r8696405
學位類別 碩士
語文別 英文
論文頁數 54頁
口試委員 指導教授-王澤世
口試委員-劉裕宏
口試委員-陳怡凱
中文關鍵字 股價報酬率  匯率  聯立方程式模型  向量自我迴歸模型  資本流動 
英文關鍵字 exchange rate  simultaneous equations  capital flows  VAR  stock returns 
學科別分類
中文摘要 本研究利用聯立方程式模型及VAR向量自我迴歸模型,探討資本流動、股價報酬率及匯率變動率間的互動關係,以G7國家為實證研究對象。由實證結果發現互動關係存在於部份國家。主要發現如下:資本流動與當期及前期股價報酬率呈現正向關係;資本流動與匯率變動率為正向關係,與美國利率為負向關係;匯率變動率與外國股價報酬率為負向關係但與美國股價報酬率為正向關係。從VAR中的衝擊反應函數可以發現,當變數受到其他兩個變數衝擊時,影響只維持短暫期間。
英文摘要 We study the interrelationship between capital flows, stock returns and exchange rates returns in G7 from 1998 to 2007. This article develop a simultaneous equations model and then use VAR framework to gain further insights into the dynamic interactions between these variables. We find several facts concerning the behavior of these variables in some countries. First, equity flows are positively correlated with current and lagged local stock returns. Second, equity flows are positively associated with exchange rate returns and negatively related with the U.S. interest rate relative to foreign interest rate. Third, exchange rate returns have strong evidences which are negatively correlated with foreign stock returns for most countries and positively correlated with the U.S. stock returns. Finally, the effects of shocks from stock returns, capital flows and exchange rate returns on the other two variables die out quickly.
論文目次 Abstract I
Contents III
List of Table IV
List of Figure V
Chapter 1 Introduction 1
Chapter 2 Literature review 4
2.1 Relation between capital flows and local stock returns 5
2.2 Relation between capital flows and exchange rate 8
2.3 Relation between capital flows and U.S. interest rate 8
2.4 Relation between stock returns differential and exchange rate changes 10
Chapter 3 Empirical analysis and data 12
3.1 Simultaneous equations model 12
3.2 VAR model 14
3.2.1 Unit root test 16
3.2.2 Determining the lag length 16
3.2.3 Granger causality test 17
3.2.4 Impulse response analysis 19
3.2.5 Variance decomposition 20
3.3 Data 21
Chapter 4 Empirical results 23
4.1 Relationship in Simultaneous equations model 23
4.2 VAR model 26
4.2.1 Granger causality test 27
4.2.2 Impulse response analysis 28
4.2.3 Variance decomposition 30
Chapter 5 Conclusion 32
References 35
Table and Figure 37
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