美國、中國、台灣的市場報酬率以及基金流量的動態關係

Abstract

由於歷史因素和政府政策，台灣的出口貿易額有50% 仰賴於中國和美國這全球前兩大經濟體，加上中國近年經濟高速起飛連帶產生了一些泡沫，金融市場不甚穩定，因此，台灣和這兩國的連動關係研究將有助於了解現在各國間的經濟狀況以及未來可能會如何影響彼此。目前鮮少有中國基金流量的相關研究，本篇論文以台灣、中國和美國的市場報酬率和基金流量為樣本，樣本期間為2006-2014年，使用季度資料，首先以單根檢定確認時間序列資料是否為定態，再以向量自我迴歸模型(VAR)、Granger因果關係檢定和衝擊反應函數分析，觀察各國之間兩個變數的相互影響關係。經由研究結果發現，台灣的市場報酬率會受到中美兩國兩變數顯著的領先效果和正相關影響，中國和美國的兩變數發生變化時，也都會連動影響三個國家的市場報酬率，其中中國市場報酬率的衝擊反應比台灣和美國都更為劇烈。另外，中美兩國在基金流量有顯著的相互影響和負相關性，顯示基金流向會在美國和中國之間流動。

Based on some historical reasons and government policies, about 50% of Taiwanese exports by value are delivered to China and United States, which are the two largest economies in the world. Additionally, the bubbles accompanied by the skyrocketed economy growth of China in recent years, making the young financial market volatile. Therefore, studies about the dynamic relationships between these three countries will help us understand more about the current financial situations and how they may affect each other in the future. Since there are seldom studies about the equity fund flow of China currently, the paper uses market return and equity fund flow of Taiwan, China and United States as variables, quarterly data from 2006 to 2014. First of all, we use ADF unit root test to confirm whether the time series are stationary or not, then we test the VAR model, Granger causality test, and impulse-response function for the relations among market return and equity flow between those three countries. According to the empirical findings, both variables of China and United States have significant leading effect and positive correlation to the market return of Taiwan. After giving an impulse to any of the two variables of China and United States, the market return of the three countries will be effected, and the response of China is the most violent among them. Moreover, the equity fund flow between China and United States have significant interrelationship and negative correlation, which means that funds are flowing between these two countries.