The Impact of Currency Depreciation on Taiwan Stock Market:Application of Bivariate GARCH-M Model
碩士 === 嶺東技術學院 === 財務金融研究所 === 93 === This paper will study the impact of currency depreciation on Taiwan stock market, after the Asian financial crisis, from January 1999 to December 2004. Empirical analyses tell us, the affects of currency depreciation in Taiwan stock return process we can const...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/68492106158009860777 |
| Summary: | 碩士 === 嶺東技術學院 === 財務金融研究所 === 93 === This paper will study the impact of currency depreciation on Taiwan stock market, after the Asian financial crisis, from January 1999 to December 2004. Empirical analyses tell us, the affects of currency depreciation in Taiwan stock return process we can construct a bivariate GARCH-M model to evaluate. Empirical analyses also indicate that currency depreciation negatively stock market return. And unstable foreign exchange market impact stock market return and volatility. On the other hand , a time-vary risk premium and a negative depreciation effect Taiwan stock market return. The evidence suggests that stock market investors or international found managers in Taiwan stock market must be evaluate of the risk of currency depreciation and the relationship between stock and exchange rate markets on Taiwan stock market. Besides, the authorities intending to stabilize domestic stock market but ignoring the relationship between stock and exchange rate market may be hard to reach their expectation target.
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