| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 83 === Recent liberlization have found the correlation, interdependence, and lead - lag relationships among the international stock markets, but a few research examines what factors cause the relationship between the international stock markets. This thesis examines the daily stock return, volatility, and trading volume response to American annocements about consumer price index, industrial production, unemployment rate, trade deficit, and money supply from November 1, 1988 to July 15, 1994. The stock markets included in this study are HongKong, Japan, Korea, Singapore, Taiwan, and the United states.
We adopt AR (1) - GJR (1, 1) to conduct empirical study. The conclusions we made is as follow:
(1) There is only a few annocement affects the stock markets on the annocement day: surprise industrial production have positive influence on Taiwan and the United States stock market, and surprise trade deficit have negative influence on Japan and the United States stock market.
(2) Trading volume in these markets on the day of annocement are lower than the other days, except for money supply annocements.
(3) The annocements of industrial production and trade deficit have strong influences on Asian stock market return and trading volume.
(4) There is strong evidence of the influence of American stock return and volatility on Asian stock market, but this can not be explained by macroeconomic news annocements.
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