| Summary: | 碩士 === 元智大學 === 工業工程研究所 === 87 === The internal market for finance, influenced by global trends toward trade liberalization and the shrinking cost of information acquisition, has gradually moved most economic systems away from being highly restricted or closed toward being interactive and open. Furthermore, the multiplication in channels for international investment has brought with it an increase in complexity. Several illustrative examples of this phenomenon are the establishment of multinational enterprises, issuance of international L/Cs, and the issuance of international investment funds. Such activities have brought a high degree of mutual interdependence and influence between national economies, until recently, had little or no economic effect on one another. The run of the Asia Financial Crisis, which began in July 1997, and its impact upon each nation’s currency exchange market provides subtle insight into the impact that exchange rates now have on stock markets. The reverse is also true, with stock market performance influencing currency exchange rates. Given these relatively new interrelationships, this research uses fractional cointegration methodology to analyze the level of integration and mutuality between currency exchange fluctuations and stock market indices in Taiwan, Japan, and the United States.
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