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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/60515


    Title: 股票市場與外匯市場的連動性
    Stock prices and exchange rates: evidences from emerging markets and g-7
    Authors: 朱柏誠
    Contributors: 謝淑貞
    朱柏誠
    Keywords: Correlation of Coefficient
    Johansen cointegration test
    Stock prices
    Exchange Rates
    Date: 2009
    Issue Date: 2013-09-05 16:47:44 (UTC+8)
    Abstract: 本篇論文使用Correlation of Coefficient 與 Johansen cointegration test來探討股票市場與匯率市場之間的連動性。實證結果顯示股票市場與匯率市場之間有高度的相關性,特別是在西元2000年之後,全球呈現出集體的連動性。而此兩變數之間的關係亦可在不同的地區或是不同的工業化程度國家下看見不同的結果,歐體以及諸多新興市場等區域內皆呈現出股市與匯市相關係數的一致性。然而,當此研究以Johansen cointegration test來分析時,無法在此兩研究變數間發現顯著的長期關係。
    This study utilized Correlation of Coefficient as well as Johansen cointegration test to investigate the relationship between stock prices and exchange markets. The empirical results show that the two markets of study are highly correlated, especially after the year of 2000. Since then, the stock prices and exchange rates worldwide have presented one common trend, either negative correlation or positive. Different region, such as European Union or East Asian countries exclude Japan, and different level of industrialization lead to diverse relationship between exchange rates and stock prices. Put this relationship in a long-term scope, however, no distinct trend can be discerned by using Johansen cointegration test.
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    97351016
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097351016
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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