Industry factors vs. Country factors among Japan, South Korea, and Taiwan Equity Markets
Date Issued
2007
Date
2007
Author(s)
Lai, Chien-Hsun
DOI
en-US
Abstract
This thesis investigates whether stock returns in three Asian markets are significantly influenced by country factors or industry factors. The different implications and performance of Japan, South Korea and Taiwan markets from 1994 to 2006 were studied. Results indicate that the TWSE and KOSPI index returns are deeply affected by TOPIX index returns. By scrutinizing the relationships among seven major industries and its index returns, we found that the relationships are one-way or two-way causality for most industries. Granger causality was performed for stock index returns and the effects of stock returns from country factors and industry factors.
Subjects
股價報酬
東證一部指數
stock returns
TWSE
KOSPI
TOPIX
Type
thesis
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