The Relationships among Exchange Rate, Stock Index Futures and Stock Index – Evidences from Taiwan TX, TF and TE
碩士 === 國防大學管理學院 === 財務管理學系 === 99 === Exchange rate is currently the most important financial issues. This study investigates the relationships among exchange market, stock market and futures market. Unit root test support the exchange rate variable, the stock market and futures market variables are...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/27174412555756889306 |
| Summary: | 碩士 === 國防大學管理學院 === 財務管理學系 === 99 === Exchange rate is currently the most important financial issues. This study investigates the relationships among exchange market, stock market and futures market. Unit root test support the exchange rate variable, the stock market and futures market variables are all stationary time series. Vector auto-regression (VAR) show that exchange rate has significant impacts on spot market and futures market. Granger causality results support the stock market is a leading cause of the futures market, the exchange rate also leads stock market and futures market. The results of forecasting error variance decomposition show that exchange rate and the futures can be explained by itself. The stock market, futures market and exchange market can quickly return to the original state after a shock.
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