A Study on the Relationships and Volatility of Stock Price and Macroeconomic Variables for Taiwan and U.S.A. Stock Markets - An Application of Multivariate VEC GJR GARCH-M Model

• Main Authors: SU,CHI-JEN, 蘇啟仁
• Other Authors: LIU, HSIANG-HSI
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/37632518808633127362

碩士 === 國立臺北大學 === 合作經濟學系 === 92 === The purpose of this study is to detect the effects of causality, volatility spillovers, asymmetric and risk premium among stock price and macroeconomic variables for Taiwan and U.S.A. stock markets. This research has applied multivariate VEC GJR GARCH-M model to examine the relationships and volatility of stock price and macroeconomic variables for Taiwan and U.S.A. stock markets. The macroeconomic variables include money supply, CPI index and exchange rate, the sample data is employed from October 1984 to October 2003. The major conclusions of this empirical research are as follows: Firstly, the result of cointegration test has shown that there is a long-run equilibrium relationships among stock price and macroeconomic variables in Taiwan and U.S.A. stock markets. Secondly, the empirical evidences shows that the relationships and volatility causality are exist among stock price and macroeconomic variables for Taiwan and U.S.A. stock markets. Thirdly, the volatility clustering effects, asymmetric effects and risk premium effects among these variables are also exist in Taiwan and U.S.A. stock markets. Finally, the mean spillover effects and volatility spillover effects are exist in Taiwan stock market, but these effects can’t exist in U.S.A. stock market. It implied that U.S.A. might be thought as the information center in the world.