| Summary: | 碩士 === 國立中央大學 === 財務金融學系碩士在職專班 === 95 === Based on a trader’s perspective, this thesis examines the relationship among stock markets, interest rates, and foreign exchange markets in U.S. and Japan －the two largest economies in the world. We apply the most important indexes of the U.S. and Japan markets－Dow Jones Industrial Average, NIKKEI-225 Stock Average, U.S. 10-year Note Yield, Japan 10-year Government Bond Yield and Dollar/Yen Exchange Rate as the Endogenous and Exogenous variables. The samples include daily data from 2002 to 2006. By the Vector Autoregressive Model and Causality test, we show that the U.S. market leads the Japan market, and the Japan market is affected (one-way affected) by U.S. These results indicate the fact that the U.S. market is a globally leading market. In the short term, the U.S. 10-year note yield is not affected by other factors, and this shows that the U.S. fixed income market is a leading other markets. In the medium-term, the U.S. markets are only infected by the domestic factors. In Japan, the stock market, fixed income market and the Dollar/Yen exchange rate are all influenced by the U.S. market factors. The Japan 10-year government bond yield is least influenced by other variables. The Japanese stock market is significantly impacted by the U.S. stock market. On the other hand, the Dollar/Yen exchange rate is affected by the U.S. interest rates, and this may be induced by the spread of the interest rates between US and Japan.
|
|---|
