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  4. The Research of the Relationship between Taiwan Stock Market and Major International Markets
 
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The Research of the Relationship between Taiwan Stock Market and Major International Markets

Date Issued
2007
Date
2007
Author(s)
Sung, Chia-ling
DOI
zh-TW
URI
http://ntur.lib.ntu.edu.tw//handle/246246/60470
Abstract
This study discusses the stock returns relationships between Taiwan and major international markets. We choose six stock market indexes as the representatives of major international stock markets and the sample period is from October 2000 to September 2006. In addition to vector autoregression (VAR) model, we also test the causality relations between Taiwan stock market and major international stock markets by the Granger causality test. One of our results is that the cointegration relation existed between theses variables. In the short run, the exogenous factors may impact the equilibrium hence the temporary bias occurs, but it will return to the equilibrium in the long run. Considering the long-run situation, we have to adopt error correction model (VECM) to analyze the causality relations. It shows that under significant level of 1%, Nasdaq index have significant Granger causality relations with TWSE index.
Subjects
VAR
VECM
因果關係
TWSE Index
International Stock Markets
Causality
Type
thesis
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ntu-96-R93724025-1.pdf

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