| Summary: | 碩士 === 淡江大學 === 國際商學碩士在職專班 === 92 === Stock markets have always played a pivotal role in the financial markets of advanced nations worldwide. The purpose of this study is to detect the interactions between different stock markets of many country which grown up mainly by the international trade. The thesis picks up the three countries Taiwan, Japan, and Korea as empirical samples because of their proximity or similar levels of economic development or high-technology background or cultural as well as geographical location linkages.
According to empirical analysis, we can learn that Japan and South Korea don’t have any cointegration relationship with the stock market of Taiwan for a long time. On the other hand, Taiwan leads S. Korea stock market. S. Korea leads Japan stock market. But, Taiwan and Japan stock market have no direct interactions with each other.
Finally, these findings could be valuable to Taiwan individual investors and financial institutions holding long-run investment portfolio in the Japan, South Korea and the other equity markets. In other words, Taiwan individual or institutional investors can utilize it to spread investment portfolio and avoid risks. For instance, the difference in the political situations facing Taiwan and Korea is well illustrated by foreign trading patterns following the outbreak of uncertainty in each country based on foreign trading patterns, Korea political situation appears much less volatile than Taiwan in March on 2004, foreign investors net bought W2,217.0bn worth of Korean stocks and W247.3bn worth of Taiwanese shares.
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