The Relationship between stock price of Taiwan and industrial index of U.S.A. in different period

• Main Authors: Chao-Wen Chan, 詹兆文
• Other Authors: Chien-Chung Nieh
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/00596476102648802742

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 96 === This paper find in a short time in increase period, the industrial index of U.S.A.''s Dow Jones has apparent influence on index of stock market of Taiwan, in respect to combining and assaying altogether in the threshold, there are asymmetric thresholds that combine the relation altogether among the index remuneration of stock price of Taiwan and industrial index of U.S.A.''s Dow Jones.Threshold error revise model show industrial index change, Dow Jones of U.S.A., is it receive itself previous influence with except Taiwan stock price index remuneration to lead, short-term speech, also lead backward relations each other between the two. In long-term relation, considering Granger causality that the error of the threshold revises, the balanced error of the two is in above and following threshold value, having two-way result of feedbacking, compare it under the line sexual relations, existing and leading too and backward relation. Revise the model respect in the error of the threshold, on and under the threshold, error revise items of coefficient negative value, it shows to be can to disappear proportionally for a long time, and on and under the threshold, its adjustment of replying the balanced state is not the same in speed. No matter asymmetry and symmetrical error revise models to all show, adjusting the course proportionally for a long time in the stock price and industrial index of Dow Jones of U.S.A. of Taiwan, can revise as issues of Taiwan change, stock price of index from previous error item carry on apparent to change. Great influence degree while going up of influence degree of period that and drop, the dependence of checking and regulating one is relatively small, this roughly accords with purport of the leading change of stock market index to the small-scale economy of big country''s economic change.