| Summary: | 碩士 === 朝陽科技大學 === 企業管理系碩士班 === 96 === The purpose of this research is to study the interrelationships of international stock markets, and aims at the before and after the sub-prime mortgage affairs, to whether will produce degree different impact on international stock markets. This research is to take 7 nations in Taiwan, the United States and Hong Kong, Japan and Singapore, England and China, 11 stock price indices as a research object. Study the period as February 1, 2006 to March 31, 2008. This study makes use of the measures of unit root test, Granger’s causality test, Impulse Response Analysis and Forecast Error Variance Decomposition. According to the empirical results: 1.Granger’s causality test, the American stock market still keeps having the strength and ability of leading global economy; China stock market, the stock price indices of the Shanghai A, B and Shenzhen A and B, this 4 stock price indices produced the mutual feedback. 2.Impact responds analysis, the United States and Taiwan, Hong Kong and Japan, Singapore and England, all have the reaction of certain degree while facing the reaction of the impact of other markets, so can know that its information conduction efficiency is very rapid. 3.Forecast Error Variance Decomposition, mostly the degree explained by self is bigger. 4.The influence of the sub-prime mortgage affairs, the global stock market appears a violent motion once again, among them, the mainest fuse is an American sub-prime mortgage affairs depravation, the United States overcast to flap not, connect bring to pound at American economy, probably produce a negative catena effect to global economy. Up to in March, 2008 the fall of Hong Kong stock price Index about 2.5%, Tokyo 225 stock price Index fall nearly about 2.39% , Taiwan stock price index number fall nearly about 5%, Singapore stock price index fall about 3.46%, Shanghai stock price index fall about 1.34%, London stock price index fall is about 3.09% and also represent American stock market to influence the level of international stock market extremely extensive.
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