An Empirical Study of Pricing Index Interrelationship Between International Stock Markets

• Main Authors: Yuen Loong Duh, 杜元隆
• Other Authors: Hsien Chan Ho
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/01318218484562756589

碩士 === 國立臺灣大學 === 財務金融學系 === 81 === This thesis utilized Vector Autoregression (VAR) model pro- posed by Sims in 1980 to measure the price index interrelation- ship among U.S, Japan, Germany, U.K, Hongkong, Singapore, Taiwan , Korea and Thailand stock markets. By using forecast error variance decomposition, impulse res- ponse and Granger causality, the result show : 1. A substantial amount of multi- lateral interaction is detected among international stock markets. And the U.S stock market is found to be the most influential market in the world. 2. The impulse response pattern is found to be generally consist- ent with the notion of informationally efficient international stock markets. 3. Among U.S, Germany, Japan, U.K stock markets exist strong cau- sality relationship and can significantly influence Asian stock markets. On the other hand, Asian stock markets show a weaker ca- usality relationship and almost can not influence the markets me- ntioned above.