| Summary: | 碩士 === 逢甲大學 === 經濟學所 === 92 === Abstract
As foreign companies increase the investment on Taiwan stock market and people may hedge on exchange market, there is some relationship between stock market and exchange market. In our research, we try to find out if this relationship exits in Taiwan or South Korea by nonlinear model using stock index and exchange rate from Taiwan and South Korea market during 1999 to 2003. We use KSS Unit Root Test, Threshold Autoregressive Model, Momentum-Threshold Autoregressive Model, Threshold Error-Correction Model and GJR-GARCH Model as methodology in this paper. We find out that both Taiwan and South Korea have significant effect between stock index and exchange rate on cointegration test but only South Korea has asymmetric effect on threshold test. In GJR-GARCH Model, we also find out that when bad news happens in stock market, volatility of exchange market will increase.
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