Reactions of Stock Prices on Exchange Rate Changes--Experiences of Taiwan,Hong Kong,and B Stock of Mainland China

• Main Authors: Lin-Ling Tzeng, 曾林鈴
• Other Authors: Hsin-Hong Kang
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/16560924009467280732

碩士 === 國立成功大學 === 企業管理學系碩博士班 === 90 === Strength of currency is rarely regarded as a research topic before. The main reason is that people think it is changes of exchange rate that affect economical activities, not the strength of the currency. The purpose of this research is to figure out how strength of currency affects relationship between exchange changes and changes of stock prices. The target markets include Taiwan, Hong Kong, Shan-Hai B and Shan-Zun B stock matkets, using empirical methods including correlation matrix, unit root test, cointegration test, Granger Causality test, and Error Correction Model(ECM). Empirical results are very different in the four markets. Among them, Taiwan and Hong Kong markets’ results are strongly affected by the government policies. This means both changes of exchange rate and stock price are mixture of policy and economic phenomenon. On the other hand, B stock markets of Shan-Hai and Shan-Zun are less affected by the effective exchange rate of US dollar according to the results.