Taiwan Electronics Index and American Stock Index-An Empirical Study of Interactive Relationship

• Main Authors: Pi-Hsiu Yang, 楊筆琇
• Other Authors: Lien-Kuo Hu
• Format: Others
• Language: zh-TW
• Published: 1999
• Online Access: http://ndltd.ncl.edu.tw/handle/33201496020129174449

碩士 === 國立成功大學 === 企業管理學系 === 87 === 　　The purpose of this thesis is to examine the long-run and short-run lead or lag relationship between the Taiwan Electronics Stock Index、 Taiwan Weighted Stock Index 、 American NASDAQ Stock Index、 American Philadelphia Stock Index、 American Dow Jones Industrial Stock Index five kind stock indices .This thesis employs Unit root 、Cointegration 、Granger Causality Test 、Error Correction Model four step method。The study period is from Jan.1997 to Dec.1998.The conclusions are summarized as following: 1. American NASDAQ Stock Index 、American Philadelphia Stock Index 、Taiwan Electronics Stock Index have average high risk and average high reward。 2. Only American Dow Jones Industrial Stock Index、American NASDAQ Stock Index 、American Philadelphia Stock Index one direction influence Taiwan Electronics Stock Index and Taiwan Weighted Stock Index . 　 3. American Philadelphia Stock Index via Taiwan Electronics Stock Index have long-term and short-term obviously influential leading relationship