Research about the Relationships among Six Industry Indexes in Taiwan''s Stock Market

• Main Authors: Chih-Hung Wei, 魏志鴻
• Other Authors: Kuo-Jung Fung
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/24623745792230664893

碩士 === 實踐大學 === 企業管理研究所 === 90 === ABSTRACT This study chooses six industry indexes to be the sample and uses 243 observing data during the time interval from 2001, 02, 22 to 2002, 02, 22. Firstly, the author adopts for ADF unit root test to understand whether there is a phenomena of Spurious Regression in these six industry indexes. Moreover, the researcher uses Granger Causality to test the lead-or-lag-relationship among these six industry indexes. What is more is the writer applies Impulse Response Analysis and Variance Decomposition for comprehending which industry index is the most powerful. Finally, as for the optimal lag period, the researcher uses AIC measurement to solve this problem. The study finds that Electric Industry Index is the leader among these six indexes, investors can predict other five one’s trends by observing Electric Industry Index. Results of this research are listed as follows: 1.There is no Spurious Regression in these six Industry Indexes. 2.No matter what the lag period is, Electric and Financial Industry Indexes lead the other indexes. 3.Electric Industry Index is the leader among these indexes. 4. Electric Industry Index is the most powerful. Key Words: Industry Index, VAR, Granger Causality, Impulse Response Analysis, Variance Decomposition.