The Study on the Transmission Effect of the Dynamic Linkages between Taiwan and American Stock Markets

• Main Authors: Kuo-Yuan Liao, 廖國源
• Other Authors: Roger C.Y. Chen
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/35873792904886731055

碩士 === 國立高雄第一科技大學 === 財務管理所 === 90 === This paper uses unit root test, cointegration test, error correction model, Granger causality test to analyze cointegraion relation and long run equilibrium between Taiwan and American stock markets from January 4, 1996 through December 31, 2001. Besides, we use impulse response function to detect the change in co-movement relationship between Taiwan and American stock markets as exogenous variables change. Finally, the strongest cointegration relation between Taiwan and American markets is examined. According to empirical findings, we assert the following: 1.There exists the first order integration and single cointegrating vector between Taiwan and American stock markets. The long run equilibrium is not stable because the only error correction term of the return of the Philadelphia Semiconductor Sector is significant. From this point of view, the risk diversified effect possible exist between Taiwan and American stock markets. The lag one periodic return of the Don Jones industrial average and the Philadelphia Semiconductor Sector have significantly impact on the return of Taiwan weighted stock index. It indirectly demonstrates that the T－1 trading day of American stock market has significantly influenced on the T trading day of Taiwan stock market. 2.The explained proportion due to its own shocks in sequence summarize from the results of variance decompositio: the return of the Don Jones industrial average, the return of the Taiwan weighted stock index, the return of the Philadelphia Semiconductor Sector, the return of the NASDAQ Composite, the return of the S&P 500. 3.American stock market leads Taiwan stock market and the co-movement relationship is one way not two way. The return of the NASDAQ Composite has the biggest instantaneous impact on Taiwan stock market. The influence of the return of the Don Jones industrial average and the Philadelphia Semiconductor Sector on Taiwan stock market have increased after one trading day. The impact on the Philadelphia Semiconductor Sector to Taiwan stock market has the longest duration which lasting for three trading days.