The Effect of Taiwan Stock Market and Forex Market From Foreign Investment

• Main Authors: Chin-Hua Lin, 林佳樺
• Other Authors: Jeng-Jii Wang
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/sr5cj2

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 96 === Since 1990’s, to cope with the worldwide trend of globalization of financial markets, Taiwan has set up the aims of financial liberalization and internationalization and to promote Taiwan to be the Asia-Pacific Regional Operation Center. By widening the door for more international capital to come to advance the internationalization of local stock market, Taiwan’s domestic economic and finance has become solid. With foreign funds increasingly invest in stock market and hedge in foreign exchange market, there could be dynamic correlations of volatility between stock marked and foreign exchange market. Due to the international capital’s transaction decisions considered generally by Taiwanese investors as more accurate and moderate, some of them even make decisions based on the transaction of international capital, the international capital has long leverage on local investor’s transaction decision. This study exploits numerical statistical method with Taiwan’s stock and foreign exchange market transaction data to evaluate the influence and effect of international capital investment behavior on Taiwan’s general public investors. The assay adopts the vector autoregressive model, linear Granger-Gausality test in the beginning, and then nonlinear Granger-Gausality test by Hiemstra and Jones, to examine the nonlinear dynamic relationship between transaction prices and amount of Taiwan’s stock and foreign exchange market during January 1,2004 and December 31, 2006.