Quantile Regression Analysis of the Spillover Effect of US-Taiwan Stock Markets

• Main Authors: Tsai, Chia-Hua, 蔡佳樺
• Other Authors: Chou, Yeu-Tien
• Format: Others
• Language: en_US
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/95899433451087765416

碩士 === 國立交通大學 === 經營管理研究所 === 97 === This paper employs quantile regression model to investigate if the price change spillover effect exists from U.S. to Taiwan. We discuss three market segments of Taiwan stock which comprise close-to-open, open-to-close and close-to-close returns respectively. We find that: Firstly, the price change spillover effect exists from U.S. to the close-to-open returns of Taiwan stock market. Furthermore, the price change spillover effect exists when stock price goes up or down greatly from 1995 to 1997. Secondly, the price change spillover effect exists from U.S. to the close-to-close returns of Taiwan stock market. However, there is no price change spillover effect when price goes down greatly and there is even negative effect from U.S. to Taiwan from 1995 to 1997. Thirdly, the overreaction effect exists from U.S. to the open-to-close returns of Taiwan except from 1995 to 1997. The overreaction effect only exists when price goes up or down greatly from 1995 to 1997, and there is no overreaction effect when price goes down greatly in Financial Tsunami.