| Summary: | 碩士 === 淡江大學 === 美國研究所 === 90 === Stock markets have always played a pivotal role in the financial markets of advanced nations worldwide. The USA is Taiwan’s biggest export partner and also a key country for its overseas financial investments. Naturally, the vitality of the American economy is of central concern to the people of Taiwan. When the American stock market prospers, Taiwan’s market is positively affected. By contrast, if the American stock market experiences a serious drop, then Taiwan’s market typically falls, as well. So the two stock markets exist within the same sphere of influence whereby the performance of one (the us) inevitably impacts on that of the other (Taiwan).
The study adopts the Vector Auto-regression (VAR) to examine the lead-lag relation between Selected U.S. and Taiwan Stock Price Indexes. We select eight indices including American Dow Jones Index, American S&P500 Index, Nasdaq Composite Index, Nasdaq 100 Index, Nasdaq Computer Index and Philadelphia Semiconductor Index which started from Jan 1,1995 to June 30, 2001. The main empirical results are as followed:
1. This study indicates that the rates of return of the (American Dow Jones Index, American S&P500 Index, Nasdaq Composite Index, Nasdaq 100 Index, Nasdaq Computer Index and Philadelphia Semiconductor Index) unilaterally and positively impact the Taiwan Weighted Index and Taiwan Electronic Index.
2. This study indicates that the key American stock market indices are an evident short-term leader of the Taiwan Weighted Index and Taiwan Electronic Index.
3. This study finds that the Taiwan Weighted Index and Taiwan Electronic Index react systematically to the impact from the major American stock indices, with the reverberations being the greatest in the first quarter and rapidly waning by the third period.
4. The impulse-response function tells us that such function is the greatest on the Taiwan Weighted Index due to the effect of the American Dow Jones Index, while the Philadelphia Semiconductor Index has the same influence on the Taiwan Electronic Index. Noteworthy, the major American indices have an impulse-response function on the Taiwan Classified Electronics Index that is almost twice that on the Taiwan Weighted Index.
5. The error-variance decomposition tells us that the interpretation of error-variance decomposition of the American Dow Jones Indices are the strongest regarding the Taiwan Weighted Index; while that of the Philadelphia Semiconductor Index is the same with respect to the Taiwan Electronic Index.
|
|---|
