A Study of the Relationships on the Stock Index Among Taiwan,Japan and France Before and After the U.S. Subprime Mortgage Crisis

• Main Authors: Min-Tai Shih, 施閔泰
• Other Authors: Ai-Chi Hsu
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/40905728445539623468

碩士 === 雲林科技大學 === 財務金融系碩士班 === 98 === The purpose of this research is to study aims at the before and after the U.S. subprime mortgage crisis impact on France,Japan and Taiwan stock market of the differences between short and long term interaction, the data were selected for the U.S. Dow Jones index, the France CAC 40 index, the Japan Tokyo Nikkei index, the Taiwan Weighted Stock index use daily return of closing stock index .The research study period data is divided into before the U.S. subprime mortgage crisis：2005/07/01-2008/01/07 and after the U.S. subprime mortgage crisis：2008/01/08-2010/03/10,this study uses the measurement methods include the ADF unit root test,Quandt-Andrews Breakpoint test,Johansen cointegration test, Vector Error Correction Model,Granger causality test,Impulse Response analysis and Forecast Error Variance Decomposition,according to the empirical results： 1. In ADF unit root test,the four countries,regardless of stock index daily returns before and after the U.S. subprime mortgage crisis,the time series are consistent with the stationary series. 2. By the Quandt-Andrews test before the U.S. subprime mortgage crisis and after the subprime mortgage crisis that the time cut points for the January 8, 2008. 3. The Johansen cointegration test results indicate that no exist a cointegration and long-term balance of the relationship both before and after the U.S. subprime mortgage crisis,after the U.S. subprime mortgage crisis four countries stock market have a cointegration and long-term balance of the relationship,it implies before the U.S. subprime mortgage the investors can achieve diversification of risks by a different portfolio,after the U.S. subprime mortgage can achieve arbitrage through mutual prediction. 4. According to VAR model and the Granger causality test results,the United States, France,Japan and Taiwan stock market short-term causality interaction was upgraded because the U.S. subprime mortgage crisis occurred.It indicates the U.S. subprime mortgage crisis occurred obvious promote the global stock market ahead and lag causality. 5. By the Impulse Response analysis and Forecast Error Variance Decomposition results indicate that after the U.S. subprime mortgage ,the international stock market mutual impact level was become big and effect time was become long. Regardless of before and after the U.S. subprime mortgage ,the U.S. stock market fluctuations France,Japan and Taiwan stock market reactions are very clear,every countries stock market while themselves stock market reduce variance explains ability,relatively increase the other countries stock market of the variance explains ability.