A Study on the Relationships between Stock and Foreign Exchange Markets of Europe and Asia － Evidence from Taiwan, Japan, South Korea, Germany, England and France

• Main Authors: Liao, Chi-Chu, 廖啟助
• Other Authors: Wang, Kai-Li
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/33926626274706627007

碩士 === 東海大學 === 管理碩士學程在職進修專班 === 94 === This research which is based on the relationships of stock prices and exchange rates among Taiwan, Japan, South Korea, Germany, England and France by using Unit Root test, Johansen Cointegration, Vector Auto Regression Model (VAR), Vector Error Correction Model (VECM), Impulse Response and Forecast Error Variance Decomposition, researched period from January 1, 2000 to June 30, 2005, will explore mutual relationships between long-term and short-term periods for unit country, region and cross regions respectively and obtains the results as below. Firstly, the result of unit root test shows the original data of Taiwan, Japan, South Korea, Germany, England and France are nonstationary time serials. However, they are all stationary after using first difference. Secondly, there are cointergration vector and long-term equilibrium relationships in stock prices revealed from Johansen Cointergration test among cross regions of Taiwan, Japan, South Korea, Germany, England and France. It implies that investors can make profits in investment of cross regions through mutual prediction. On the contrary, they can disperse risk by taking different portfolios. Thirdly, according to the tests of VAR and VECM, there are feedback relations between returns of stock price and exchange rate in Taiwan. The returns of stock prices are unidirectional leading the returns of exchange rates in Korea and Germany. The return of stock price in Japan and the return of exchange rate in Korea affect those in Taiwan respectively. The returns of stock price in Germany and France are unidirectional leading those in England. Fourthly, from the analysis of Impulse Response and Forecast Error Variance Decomposition, we find the returns of exchange rate are mainly affected by the returns of stock prices in most countries. In addition, the returns of stock prices and exchange rates have higher explanation facing itself respectively, and the explanation of returns of stock prices is higher than that of returns of exchange rates.