Impact of Cross-Strait Economic Interaction and Sociopolitical Event on Taiwan Construction Sector

• Main Authors: Yun-wu, Wu, 吳韻吾
• Other Authors: Yong-Huang Lin
• Format: Others
• Language: en_US
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/epgf96

博士 === 國立臺灣科技大學 === 營建工程系 === 94 === This dissertation primarily studies the application of econometric models in construction management. Firstly, co-integration and error correction models are used to analyze “Dynamic Relationship of Steel Prices Between Mainland China and Taiwan”. These two models are used in that price variation is a major factor to consider with respect to cost control decisions in the construction industry. Previous research has focused on the short-term price prediction of a single market, and has neglected the influence of other markets and the long-term relationship between the two markets. The econometric methods of structural break test, co-integration analysis, and Granger Causality test are used to examine the dynamic short-term and long-term relationships of steel prices in two different markets (Taiwan and Mainland China) over the period of 1995 to 2004. The price of steel in Mainland China has the leading price discovery function because of the following findings: The structural changes in the Mainland China steel market lead the Taiwan steel market by half a year; these two steel markets are found to be co-integrated in a long-term equilibrium relationship; and the result of the Granger causality test suggests bi-directional causality between these two markets. These findings can help the government apply policies in advance, such as raising tariffs and pursuing antidumping measures, in order to prevent excessive price fluctuations in the steel market. Furthermore, construction firms can preorder or postpone the purchase of materials to preempt profit loss resulting from price fluctuations. Secondly, this dissertation focused on “The Impacts of Sociopolitical Instability on Construction Dimension”. This focus differs from that in the existing literature, which almost always focuses on establishment of models of interdependence between the construction sector and the performance of the national economy. Instead, this paper looks at the financial market using an autoregressive conditional jump intensity model (ARJI) model that has been adopted to investigate the impacts of various unpredictable events upon the construction sector. In all cases, the news arrival process affects price movements. The essential dissimilarities in the fundamental characteristics of the market have to be considered when market indices are studied. Not only the dependence in the arrival process governing jump events in a discrete-time setting has been explored, but also the behavior of the fundamental properties of structure the structure index, during the periods of distinct events, is studied as well. The dynamics of volatility are affected by a time-varying rate of jump arrival, stochastic jump size, and volatility clustering. The results indicate that acquisition announcements are perceived as a discrete sudden shock by the market, although the market efficiency hypothesis still holds.