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    題名: 台灣股市報酬與經濟活動之頻域因果關係
    作者: 王羿婷
    Wang, Yi-Ting
    貢獻者: 徐士勛
    Hsu, Shih-Hsun
    王羿婷
    Wang, Yi-Ting
    關鍵詞: 股市報酬
    頻域因果關係
    Granger因果關係檢定
    日期: 2020
    上傳時間: 2020-08-03 18:11:55 (UTC+8)
    摘要: 本文藉由時域架構下的 Granger 因果關係檢定及 Breitung & Candelon提出之頻域架構下的因果關係檢定，來探討台灣股市報酬與經濟活動間的因果關係，並進一步了解該因果關係是否因為存在於不同頻率下而有所改變，亦即該因果關係是否存在於不同週期之下。
    當我們在時域架構上來觀察台灣股市與經濟活動間的因果關係，可以發現當尚未加入控制變數時，兩變數間存在股市價格影響經濟活動之單向因果關係;一旦加入控制變數後，則兩個影響方向皆不存在因果關係。
    本研究額外進行頻域因果關係檢定後，能更進一步說明，該因果關係在 不同頻率間是否存在。唯有無條件模型下該單向因果關係存在於短期及中長期之下;然而，在有條件模型中該單向因果關係皆僅存在於中期及中長期之下，亦即台灣股市報酬到經濟活動之單向因果關係主要存在於低頻時，其餘頻率之間沒有任何明顯的因果關係。
    參考文獻: [1] 姜文怡 (2000)，「股票報酬預測產出之不對稱性效果」，碩士論文， 淡江大學，財務金融研究所。
    [2] 董澍琦，楊聲勇與藍淑鳳 (2005)，「股票報酬與經濟成長–亞太新興 國家之實證研究」，東海管理評論，7，285–304。
    [3] Breitung, J. and B. Candelon (2006), “Testing for short- and long- run causality: a frequency-domain approach,”Journal of Economet- rics, 132, 363–378.
    [4] Dickey, D.A. and W.A. Fuller (1981), “Likelihood ratio statistics for autoregressive time series with a unit root,”Econometrica: journal of the Econometric Society, 49,1057–1072.
    [5] Dufour,J.M.andE.Renault(1998),“ShortRunandLongRunCausal- ity in Time Series:Theory,”Econometrica, 66, 1099–1125.
    [6] Fama, E. F.(1990), “Stock returns, expected returns, and real activ- ity,”The Journal of Finance, 45, 1089-1108.
    [7] Geweke, J. (1982), “Measurement of linear dependence and feedback between multiple time series,” Journal of the American Statistical As- sociation, 77, 304–313.
    [8] Granger, C.W.J. (1969), “Investigating causal relations by economet- ric models and cross-spectral methods,”Econometrica: journal of the Econometric Society, 37, 424–438.
    [9] Hosoya, Y. (1991), “The decomposition and measurement of the in- terdependence between second-order stationary process,”Probability Theory and Related Fields, 88, 429–444.
    [10] Hou, H. and S.Y. Cheng (2010), “The roles of stock market in the finance-growth nexus: time series cointegration and causality evi- dence from Taiwan,”Applied Financial Economics, 20, 975-981.
    [11] Huang, B.N. and C.W. Yang (2004), “Industrial Output and Stock Price Revisited: An Application of the Multivariate Indirect Causal- ity Model,”The Manchester School, 72, 347-362.
    [12] Ibrahim, H.M. (1999), “Macroeconomic variables and stock prices in Malaysia: an empirical analysis,”Asian Economic Journal, 13, 219– 231.
    [13] Kaplan, M. (2008), “The impact of stock market on real economic ac- tivity: evidence from Turkey,”Journal of Applied Sciences, 8, 374– 378.
    [14] Pearce, D.K. (1983), “Stock prices and the economy,” Federal reserve bank of Kansas city economic review, 68, 7–22.
    [15] Singh, D. (2010), “Causal relationship between macro-economic vari- ables and stock market: A case study for India,”Pakistan Journal of Social Sciences, 30, 263–274.
    [16] Thach, N.N., L.H. Anh and H.T.N. Phuong (2019), “Frequency Do- main Causality Analysis of Stock Market and Economic Activites in Vietnam,” In: Kreinovich V., Sriboonchitta S. (eds) Structural Changes and their Econometric Modeling. TES 2019. Studies in Com- putational Intelligence, 808. Springer, Cham
    [17] Tiwari, A. K., M. I. Mutascu, C. T. Albulescu and P. Kyophilavong (2015), “Frequency domain causality analysis of stock market and eco- nomic activity in India,”International Review of Economics and Fi- nance, 39, 224 - 238.
    描述: 碩士
    國立政治大學
    經濟學系
    107258022
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0107258022
    資料類型: thesis
    DOI: 10.6814/NCCU202000664
    顯示於類別:[經濟學系] 學位論文

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