The Study on Granger Causality Test and VAR model of ETF prices– An empirical evidence of American and Asian stock markets

• Main Authors: TSENG CHIEN-WEN, 曾見文
• Other Authors: Ho WEN-RONG
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/09226440577901496159

碩士 === 開南大學 === 財務金融系碩士班 === 95 === After TTT listed on the Taiwan Stock Exchange at 2003/06/30, we propose to find the lead-lag relationship among the different stock markets’ ETF prices as reference for the investors. We use 8 prices in American and Asian stock markets, during the period from 2004/10/08 to 2006/05/24, with total 422 daily transaction data. The international financial markets’ ETF prices analyzed by time serial methods, such as Unit Root Test, Cointegration Test, Granger Causality Test, Vector Auto-Regression Model, Impulse Response Analysis and Forcast Error Variance Decomposition analysis. The conlusions are as follow: 1. According to the Unit Root Test, all the serials of prices by the 1st-differ are the stationary serials of . This could prove that the consequence would not lead to the spurious regression as Granger and Newhold ( 1974 ) stated. 2. According to the Cointegration Test, it shows that there is not a long-term interrelationship among TTT, QQQQ, SPDR, EWH, EWJ, EWS, EWY, FXI. 3. According to the Granger Causality Test, we find except for there is a unidirectional relationship among TTT prices to others, QQQQ prices to EWJ prices and FXI prices to e EWH prices, there is an independency relationship among all other ETF prices. 4. According to the Impulse Response Analysis, except SPDR prices have negative implication with TTT prices at the primary stage, and FXI prices have no implication with TTT prices, all other ETF prices have positive and continuing implication with TTT prices, especially TTT prices have stronger implication with itself. 5. According to the Forcast Error Variance Decomposition analysis, TTT , evidence is found that the dalily ETF prices is not affected by all other ETF prices at the primary stage, but observe over a long period of time, TTT prices is mainly affectad by QQQQ, EWH, SPDR, EWS, EWY prices , especially QQQQ.