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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/4158


    Title: 亞太地區新興股票市場對匯率風險的反應-東南亞金融風暴前後的實證分析
    Other Titles: Asian-Pacific Emerging Stock Markets` Reactions of Foreign Exchange Risk---An Empirical Analysis of the 1997 Asian Financial Crisis
    Authors: 林基煌
    Keywords: 匯率變動;股票價格;共整合;外匯風險;金融風暴;向量自我迴歸
    Exchange rate change;Stock price;Cointegration;Foreign exchange risk;Financial crisis;Vector autoregression
    Date: 2000
    Issue Date: 2007-04-18 16:41:59 (UTC+8)
    Publisher: 臺北市：國立政治大學財務管理學系
    Abstract: 本研究以東亞的五個新興國家為樣本，包括台灣、南韓、菲律賓、新加坡與泰國，來探討新興國家股市與匯率之間的關係。首先，檢視股價指數與匯率之間是否具有長期共整合(cointegration)的關係，結果發現在研究期間內，除了泰國與菲律賓的股價指數與匯率具有長期共整合關係外，其他的三個國家都不顯著。我們進一步地以向量自我迴歸(Vector Autoregression；VAR)模型，並將研究期間區分成三個子期間：金融風暴前、金融風暴期間、金融風暴後，來探討股市與匯率之間的短期相互影響關係，研究結果顯示，在五個新興市場中，股市與匯率之間會相互地影響，尤其以金融風暴期間最為明顯，而金融風暴後之影響效果亦較風暴前明顯。本文對實證結果，分別從各國匯率政策、產業、國外部門佔GDP比率以及外資的角色等不同的角度來解釋可能的原因。
    This research investigates the relationship between foreign exchange rate and stock price index of emerging markets, which include Taiwan, South Korea, The Philippines, Singapore, and Thailand, in East Asia around the 1997`s financial crisis period. First, we investigate the long-term co-integration relationship between foreign exchange rate and stock price index. The findings indicate that such relationship exists only in Thailand and The Philippines. Furthermore, we divide our study period into three sub-periods, which are before-the-crisis, during-the-crisis, and after-the-crisis, and utilize the Vector Autoregressin model to investigate the short-term inter-dependency between exchange rate and stock index. The results show that the inter-dependency is significant in the five countries, especially in during-the-crisis sub-period. Also, the after-the-crisis sub-period shows more significant inter-dependency than the before-the-crisis sub-period. We propose interpretations to the findings from various viewpoints regarding foreign exchange policy, industrial competitiveness, foreign sector to GDP ratio, and the role of foreign investment in the domestic capital markets.
    Description: 核定金額：374100元
    Data Type: report
    Appears in Collections:[Department of Finance] NSC Projects

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