On the Relationship among Interest Rate, Stock Price, and Exchange Rate：Evidence from South Korea and Taiwan

• Main Authors: Chan-Chia Feng, 馮振嘉
• Other Authors: Wen-Chi Liu
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/06926820762589720854

碩士 === 大葉大學 === 管理學院碩士在職專班 === 99 === The periods of Asian financial crisis and the global financial tsunami have a great influence on Asian export trade countries, such as South Korea and Taiwan. Therefore, this study is based on the realistic analysis among interest rate, stock price, and exchange rate of both countries. In this study, the sample we adopted is from January 1991 to June 2010, totally covering 234 monthly data. Besides, it controls the impacts of Asian financial crisis and the global financial tsunami by dummy variable, proving the exchange rate of South Korea leads stock market one month, showing positive variation obviouslly. However, the interest rate of South Korea leads stock market one month, showing the relationship converges in opposite direction. From the empirical results of impulse response and variance decomposition of interest rate, stock price, and exchange rate, exchange rate has higher exogenousness and more representing function. Secondly, speaking of the relations among them, the interrelationships among interest rate, stock price, and exchange rate are not remarkable. However, according to the empirical results of impulse response and variance decomposition, exchange rate has the representing influence. To sum up, either South Korea or Taiwan, exchange rate plays an important and representing role compared to interest rate and stock price.