不对称门槛共整合模型-义守大学.PDFVIP

義守大學財務金融學系碩士班 Graduate School of Finance I-Shou University 碩士論文 失業率對股票市場之探討-不對 稱門檻共整合模型 Stock Price Responses to Unemployment - The Application of the Threshold Co-integration Model 研 究 生：安宜亭 撰 指導教授：陳冠儒 博士 中 華民 國 一百零 四 年 五 月 1 1 摘要 股市一直是國家的經濟櫥窗，隨著股票市場的發展和總體經濟的關係越來越密不可 分，決策者和投資者開始重視總體經濟對股票市場的影響，故本研究探討總體經濟指標 之一的失業率對我國股票市場的影響 。本研究選取了失業率作為變數，股票市場則選用 月平均加權股價指數，並使用了 Enders and Siklos(2001)的不對稱門檻共整合模型來探討 失業率和股價的共整合關係，研究結果顯示股價和失業率脫離均衡時並未發生修正，而 是脫離至一門檻後，才發生劇烈修正，回到共整合的均衡。根據以上研究結論，提供投 資者對失業率變動時應持審慎的態度，合理調整持有的投資組合。 關鍵字：股票市場 ;失業率;不對稱門檻共整合 2 Abstract The stock market always is the national economical display window, a long with the relation between stock markets and macro economy is closely connected and inseparable. D ecision makers and investors began to pay attention to the influence between economy and stock m arket . Therefore, this study examines the relations between the unemployment rate, which is one of the macroeconomic indicators, and domestic stock market. This study takes the unemployment rate as variables, and Taiwan Stock Index TAIEX as stock market in dicator. In addition, this study utilizes the Asymmetric threshold Co -integration Model of Enders and Siklos (2001) to examine the co -integration relationship between unemployment rate and stock index. The error correction does not take place until the deviation crosses beyond a certain threshold, where the deviation reverts back to long -term equilibrium significantly at a high speed . According to the