| Summary: | 碩士 === 嶺東技術學院 === 財務金融研究所 === 92 === In 2003, The Severe Acute Respiratory Syndrome (SARS) struck the Southeast Asia, which resulted in the social and economic turmoil and damage, especially in Taiwan, Mainland China, Hong Kong, and Singapore. This study intends to apply the research tools of time series analysis to analyze the returns of the four stock markets composite indexes aiming at understanding the interactions of these stock markets. The following four conclusions are obtained by this research:
(1). Before, during, and after the SARS, the return of each stock market composite index is stationary.
(2). The Causality Test shows that before the SARS, the movement of the index return on the Shanghai stock market and the Shenzhen stock market leads the Taiwan stock market. During the SARS period, the Taiwan stock market and the Hong Kong stock market have the feedback relations, but the Shanghai stock market leads the Hong Kong stock market, while the Shenzhen stock market leads the Hong Kong stock market, and however, the Shenzhen stock market leads the Shanghai stock market. After the SARS, the Singapore stock market leads the Taiwan stock market and the Hong Kong stock market.
(3). The Impulse Response Analysis shows that before, during, and after the SARS:
The impulse response of each stock market is most violent with its one standard innovation, especially in the first period. However, the impulse response from each stock market to the other stock markets is obvious, and they have the positive reactions or negative reactions in the second period.
(4). The Forecast Error Variance Decomposition shows that before, during, and after the SARS: The explanation ability of the Taiwan stock market and the Shanghai stock market are mainly from themselves, while the explanation ability of the Shenzhen stock market is from Shanghai stock market and itself, and the explanation ability of the Hong Kong stock market is from itself and Taiwan stock market. Before the SARS: The explanation ability of the Singapore stock market is from itself and Taiwan stock market. During and after the SARS: The explanation ability of the Singapore stock market is from Taiwan stock market, Hong Kong stock market and itself.
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