The Study on the Transmission Effect of the Dynamic Linkages between Taiwan and American Stock Markets

[[abstract]]本研究選取台灣加權股價指數、美國道瓊工業指數、S&P 500指數、NASDAQ指數、費城半導體指數從1996年1月4日至2001年12月31日之指數收盤資料，利用單根檢定、共整合檢定、誤差修正模型、因果關係分析探討台灣與美國股市是否存在明顯共整合關係及長期均衡式，並研究台美股市間是否具有投資風險分散效果，進一步以衝擊反應研究台美股市受外生變數衝擊影響時，對指數之間所造成的衝擊影響及連動關係有無產生變化，最後分析對台灣加權股價指數影響程度最大的美國指數為何。經由實證本研究歸納結論如下三點： 1.台美股價指數其整合階次均為一，且具有一個共整合向量，不過只有以應變數為費城半導體指數報酬率之誤差修正項顯著，所以台美指數間其長期均衡關係存在不穩定狀態，造成台美指數間雖然具有共整合關係，卻可能存在風險分散的效果。道瓊工業指數、費城半導體指數落後一期報酬率對台灣加權股價指數報酬率之影響呈顯著關係，也證明美國股市T－1交易日對台灣股市T交易日有顯著影響。 2.自身衝擊可解釋預測誤差變異數的比例由高至低依次為：道瓊工業指數報酬率、台灣加權股價指數報酬率、費城半導體指數報酬率、NASDAQ指數報酬率、S&P 500指數報酬率。 3.美國股市對台灣股市具有領先主導地位，且台美股市的連動關係只有單方向並非雙向，其中NASDAQ指數報酬率對台灣加權股價指數報酬率之立即性影響程度最大，而道瓊工業指數、費城半導體指數報酬率對台灣加權股價指數的衝擊，經過一個交易日後開始上升，而費城半導體指數報酬率對台灣加權股價指數衝擊期間最久，可持續影響達三個交易日。[[abstract]]This paper uses unit root test, cointegration test, error correction model, Granger causality test to analyze cointegraion relation and long run equilibrium between Taiwan and American stock markets from January 4, 1996 through December 31, 2001. Besides, we use impulse response function to detect the change in co-movement relationship between Taiwan and American stock markets as exogenous variables change. Finally, the strongest cointegration relation between Taiwan and American markets is examined. According to empirical findings, we assert the following: 1.There exists the first order integration and single cointegrating vector between Taiwan and American stock markets. The long run equilibrium is not stable because the only error correction term of the return of the Philadelphia Semiconductor Sector is significant. From this point of view, the risk diversified effect possible exist between Taiwan and American stock markets. The lag one periodic return of the Don Jones industrial average and the Philadelphia Semiconductor Sector have significantly impact on the return of Taiwan weighted stock index. It indirectly demonstrates that the T－1 trading day of American stock market has significantly influenced on the T trading day of Taiwan stock market. 2.The explained proportion due to its own shocks in sequence summarize from the results of variance decompositio: the return of the Don Jones industrial average, the return of the Taiwan weighted stock index, the return of the Philadelphia Semiconductor Sector, the return of the NASDAQ Composite, the return of the S&P 500. 3.American stock market leads Taiwan stock market and the co-movement relationship is one way not two way. The return of the NASDAQ Composite has the biggest instantaneous impact on Taiwan stock market. The influence of the return of the Don Jones industrial average and the Philadelphia Semiconductor Sector on Taiwan stock market have increased after one trading day. The impact on the Philadelphia Semiconductor Sector to Taiwan stock market has the longest duration which lasting for three trading days