| Summary: | 碩士 === 國立中興大學 === 應用經濟學系所 === 99 === The purpose of this research is to probe into the interrelationship between Taiwan stock market and Shanghai stock market before and after the sub-prime mortgage. To take the daily closing price of Dow Jones, Shanghai and Taiwan stock as the research sample and the research period is from 2005 to 2010, in which the dividing point is December 31st, 2007 to divide the time before and after the sub-prime mortgage. Afterwards, take ADF unit root test and impulse response analysis and forecast error variance decomposition analysis of VAR model to analyze the interrelationship among three stock markets and the influence to the three stock markets after the sub-prime mortgage. First of all, we can know that Shanghai stock market is one closer market through impulse response analysis and is hard to be affected by other stock markets. Taiwan stock market is one shallow dish market that is easy to be affected by other stock markets. At last, we can know that the influence of Shanghai stock market to Taiwan stock market after the sub-prime mortgage is raised up gradually through forecast error variance decomposition and shall be greater than American stock market. To sum up the above conclusion, the investor shall not only take care of the closing price of American stock market but also pay more attention to the intraday trend of Shanghai stock market in order to be taken as the reference of investment decision whilst forecasting the future trend of Taiwan stock market.
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