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    題名: 台灣與南韓兩國的股價指數與匯率之間的因果關係
    The Causality between the stock price index and the exchange rate of Taiwan and Republic of Korea
    作者: 孫恩卿
    Son, Eun-Kyung
    貢獻者: 林建秀
    Lin, Chien-Hsiu
    孫恩卿
    Son, Eun-Kyung
    關鍵詞: 單根檢定
    向量自我回歸模型 (VAR)
    Granger因果關係檢定
    韓元兌台幣匯率
    股價指數
    半導體類指數
    Unit root test
    VAR
    Granger causality test
    KRW to TWD exchange rate
    Stock price index
    Semiconductor sub-index
    日期: 2022
    上傳時間: 2022-08-01 17:30:59 (UTC+8)
    摘要: 近期受到COVID19之影響，全球經濟衰退的情況下，2021年台灣經濟成長超出預期，貿易總額、進出口總額及出超都創新高。由於全球疫苗接種率增加，出口限制逐漸放寬，韓國經濟在慢慢地恢復。2021年韓國為台灣的第6大出口市場及第4大進口市場，台灣為韓國的第6大進出口市場。本文探討兩國匯率與兩國股市 (含半導體產業) 的關係。本文用2010 年 12 月 30 日至 2021 年 12 月 30 日的共計 2596 筆日資料，以Eviews進行單根檢定、向量自我回歸模型 (VAR) 、Granger因果關係檢定。實證結果顯示，韓元兌台幣匯率報酬與兩國綜合股價指數報酬為正向關係，韓國綜合股價指數報酬與台灣加權指數報酬為正向關係，韓元兌台幣匯率報酬與兩國半導體類指數報酬為正向關係，韓國半導體類指數報酬與台灣半導體類指數報酬為正向關係。本文得出兩國匯率與兩國股價市場 (含半導體產業) 的關係，可以幫助投資者預測兩國匯率及兩國股市，輔助開發兩國股市之投資組合，降低投資風險。
    Recently the global economic recession affected by COVID19, Taiwan`s economic growth rate in 2021 exceeded expectations. Korea’s economy is also slowly recovering as vaccination rates around the world increased and export restrictions are eased. In 2021, Korea is Taiwan`s sixth largest export market and fourth largest import market, and Taiwan is Korea`s sixth largest import and export market. This paper study the relationship between the exchange rates and the stock markets of the two countries. This paper using a total of 2596 daily data from December 30, 2010 to December 30, 2021, perform unit root test, VAR test, and Granger causality test with Eviews. The empirical results of this paper, show that there is a positive relationship between the exchange rate return of KRW to TWD exchange rate and the return of stock price index of two countries, and the return of the exchange rate and the return of the semiconductor index of two countries are also positively related. This paper obtains the relationship between the exchange rates and the stock price markets of the two countries, it will be helpful that investors predict the exchange rates of two countries and the stock markets of two countries and help to develop of investment portfolios in the two country`s stock markets, and it also will be helpful to reduce investment risks.
    參考文獻: 1. Akaike, H. (1974). A new look at the statistical model identification. IEEE transactions on automatic control, 19(6), 716-723.
    2. Bank of Korea (2016). Foreign Exchange System and Market in Korea. Retrieved from https://www.bok.or.kr/viewer/skin/doc.html?fn=FILE_2018033008183428 31.pdf&rs=/webview/result/P0000609/201601.
    3. Chi, H. J., & Kim, S. W. (2001). Interrelationship among the Foreign Exchange, Stock and Bond Market: Comparative Analysis of Korea and Japan. The Korean Journal of Financial Management, 18(2), 169-191.
    4. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.
    5. Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276.
    6. Hong, Y. J., & Ha, H. Y. (2019). A Study on the Foreign Investment in Financial Assets and Exchange Rate in Korea - A Focus on Bond Yields and Stock Returns -. Journal of Social Science, 26(1), 39-60.
    7. Lee, D. H., & Kim, E. R. (2000). An Analysis on Causality Between Exchange Rate and Stock Price : the Case of Asia Countries Experienced Foreign Exchange Crisis. Korea Trade Review, 25(1), 151-168.

    8. Lee, H. H., & Seo, D.W. (1997). An Analysis of the Effect of the Won-Dollar Exchange Rate Volatility Risk on the Korean Export. Korea Trade Review, 22(4), 79-104.
    9. Lee, H. J. (2007). A study on the Effects of Exchange Rates and Interest Rates on the Stock prices (Master’s thesis, Hanyang University, Seoul, Republic of Korea). Retrived from http://hanyang.dcollection.net/common/orgView/200000406754.
    10. Lee, H. J., & Ahn, J. O. (2010). A Study on the Relation between Foreign Exchange Rates and Stock Prices under Global Economic Crisis in Korea. Journal of Industrial Economics and Business, 23(6), 3201-3222.
    11. Sims, C. A. (1980). Macroeconomics and reality. Econometrica: journal of the Econometric Society, 1-48.
    12. 中央銀行(2019)。本行匯率政策相關議題之說明。取自 https://knowledge.cbc.gov.tw/uploads/20211019/3226ebf6-a429-4652-8f60- 767686c32c34.pdf。
    13. 中央銀行(2019)。有關新台幣匯率政策之說明。取自 https://www.cbc.gov.tw/Public/Attachment/9521833971.pdf。
    14. 方文碩、田志遠(2001)。匯率貶值對股票市場的衝擊-雙變量 GARCH-M 模型。台灣金融財務季刊, 2(3)，99-117。
    15. 王齡翎(2015)。臺灣股價指數與匯率之因果關係(碩士論文，中國文化大 學，臺北市，台灣)。取自台灣博碩士論文知識加值系統。
    16. 徐清俊、李孟哲(2006)。匯率變動與台灣股市報酬之研究-雙變量 GARCH 模型。興國學報，(5)，23-34。
    17. 陳旭昇(2013)。時間序列分析:總體經濟與財務金融之應用(二版)。臺 北市:東華。

    18. 陳思寬、張銘仁(2006)。 股價、匯率與貨幣政策之互動性:東亞各國的 實證研究。證券市場發展季刊，18(4)，61-101。
    19. 黃威儒(2019)。臺灣股市、匯率及利率的互動關係(1990-2018)(碩士論 文，淡江大學，臺北市，台灣)。取自 airitilibrary.com。
    20. 楊奕農(2017)。時間序列分析:經濟與財務上之應用(三版)。臺北市: 雙葉書廊。
    描述: 碩士
    國立政治大學
    金融學系
    109352037
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0109352037
    資料類型: thesis
    DOI: 10.6814/NCCU202200745
    顯示於類別:[金融學系] 學位論文

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