The Relationship Among Foreign Investment, Stock Price and Foreign Exchange Market－
The Application of Wild Bootstrap M 蔡佾岑、林福來
E-mail: 9511520@mail.dyu.edu.tw
ABSTRACT
Some of variables are tried to be included in order to measure the foreign investment, Stock price, foreign exchange market in our study. They are separated into stationary variables and non-stationary variables by the ADF test. Futhermore, they are divided into six linear structural regression models in order to discuss the relationship among foreign investment, stock price and foreign exchange market. In fact, Heteroskedasticity is generally had in financial data. Hence, the ARCH Model is used into the linear structural regression model to observe the condtional heteroscedasticity. However, there are still problems in the setting of the ARCH model, even though it is used into the linear structural regression model. Wild bootstrap method proposed by Wu（1986）
is applied into the linear structural regression model in our study can solve this problems. Our major findings are as follows：（1
）Foreign investment is influenced by its past-period values. Foreign investment has the Clustering Phenomenon.（2）Foreign investment is positively influenced by stock price, stock price introduced in nature logarithm, stock returns at lag one period.（3
）They are negatively influenced between stock price and exchage rate at lag one period. They are negatively influenced between stock price introdued in natual logarithm and exchage rate introduced in natual logarithm at lag one period. They are negatively influenced between stock returns and exchage rate fluctuations at lag one period.
Keywords : Foreign Investment ; stock price ; Foreign Exchange Market ; Heteroskedasticity ; Wild bootstrap method Table of Contents
第一章 緒論 1.1 研究背景...1 1.2 研究動機與目的...3 第二章 相關理論與實證文獻回 顧 2.1 匯率與股價之間相關理論...4 2.2 外資與股價之間相關理論...9 2.3 外資與匯率 之間相關理論...13 2.4 外資、匯率與股價之間關聯性...15 第三章 研究方法 3.1 定態與 非定態之單根檢定...18 3.2共整合與誤差修正模型...19 3.3 誤差修正模型之ARCH 檢定...20 3.4 Wild bootstrap法...21 第四章 資料分析與實證結果 4.1 資料來源說 明...24 4.1.1 變數資料...24 4.1.2 變數定義...26 4.1.3 模型定義...27 4.1.4 變數趨勢圖...28 4.1.5 基本統計
量...29 4.2 單根檢定結果...31 4.3 Johenson共整合檢定結 果...33 4.4 向量誤差修正模型（VECM）...35 4.4.1 Model
I...37 4.4.2 Model II...43 4.5 向量自我迴歸模型（VAR
）...48 4.5.1 Model III...50 4.5.2 Model IV...54 4.5.3 Model V...58 4.5.4 Model VI...63 第五章 結論 參考文
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