A Study of the dynamic linkages between Taiwan and international stock indices

• Main Authors: Hsin-Wang Chang, 張新旺
• Other Authors: Po-Sheng Ko
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/36352742094586166270

碩士 === 國立高雄應用科技大學 === 商務經營研究所 === 98 === This study investigates the process of the dynamic linkages between the stock market price indices of Taiwan and its major trading partners. The stock indices of the China, Japan, American, Hong Kong, Korea, Singapore, Germany and Malaysia are collected and used. The data covers the time period from September 1, 2002 to August 31, 2009. The unit root test, the co-integration test, the vector error correction model, the impulse response and the variance decomposition are used to identify the volatility of each of the stock indices and factors influencing these indices. The empirical results as following：（1）According to unit root test, after first differences, the original variable series all became stationary. but volume of trade at level are non-stationary and integrating of order 1.（2）According to cointegration test, exist long-term equilibrium relationships between Taiwan and Singapore’s stock indices. Also, exist long-term equilibrium relationships among Taiwan and all the other countries’s stock indices.（3）Vector error correction model results indicate that American still have significant effects on other countries, and Japan still have significant effects in the Asian.（4）Impulse response function indicates that changing one standard deviation of each variable has the largest impulse at the first period, and then gradually decreases to zero. Accumulative effects of each market are positive.（5）According to the analysis of variance decomposition, each variable has greatest interpretative ability for itself.