| Summary: | 碩士 === 國立交通大學 === 管理科學系所 === 96 === This paper investigates the impact from the US on Taiwan stock market and the dynamic correlation between these two markets. Dow Jones, Nasdaq, S&P 500 and TAIEX daily data from 1995/7/19 to 2007/12/31 are used for analysis. We use the two-step estimation of GARCH(1,1)-MA(1) to gain the price and volatility spillover effect from the US to Taiwan, and dynamic conditional correlation (DCC) model of Engle. The empirical results are obtained as follows: First, the price spillover effect from the US to Taiwan rise gradually. Second, the close-to-open return is the most influenced by U.S. and the open price of Taiwan has the phenomena of overreaction. Third, the volatility spillover effect from the US to Taiwan during Asian crisis is the biggest. Fourth, the dynamic conditional correlation between these two markets has the rising trend after Asian crisis.
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