Study on the Relationship Among Taiwan Stock Index, Discount Rate, and Exchange Rate

• Main Authors: HSU, YEN-YU, 徐衍瑜
• Other Authors: Chen, Dar-Hsin
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/79945035041020996631

碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 99 === When situations of current financial markets have developed significantly, leading to drastic fluctuations in the market price of financial products, investors have begun to notice price risks before the collapse of the stock market, with times of upheavals from the stock market. Therefore, how the risks of investment portfolios can be diversified has become an important issue for current investment markets. This study aims to investigate the interrelationship between the weighted stock market index of Taiwan to the exchange rate of the New Taiwan dollar, government bonds, short-term bill interest rates, and interest rate exchange of the New Taiwan Dollar, making use of the unit root test, Johansen co-integration verification, vector auto-regression model, vector error correction model, and Granger causality to conduct substantive analysis. Variable information is selected from data between January to December of 2000, using such variables as the Taiwan TAIEX Index, New Taiwan Dollar exchange rate, yield of 10-year Taiwan government bonds, yield of 5-year Taiwan government bonds, Taiwan 5-year interest rate exchange, and interest rate of Taiwan 90-day commercial paper to conduct empirical analysis, with results obtained as follows: 1.Under ADF unit root verification, each variable is found to have unit root, showing that they are non-stationary. However, each of the variables is found under 1% prominent level as conducted after first difference, denying virtual assumption that time series is found with existence of unit root, and it indicates that each of the series is both stationary and found with similar mode of integration grade I(1). 2.For test of co-integration under the 1% prominent level, each variable is found with co-integration vector with a set of long-term stable and stable equilibrium relationship, and it is why it shows that a stable and equilibrium relationship is found existing among each variable for a long period of time. 3.It is found that the relationship between Taiwan TAIEX Index to the yield of 10-year Taiwan government bonds, Taiwan TAIEX Index to yield of 5-year Taiwan government bonds, and Taiwan TAIEX Index to the 5-year interest rate exchange of Taiwan is affected by interest rate levels and fluctuations in exchange rates among financial markets, thus affecting fluctuations of stocks of Taiwan. As a result, they have, mutually, affected the fluctuations of each other, thus forming a two-way feedback relationship of leading in their own domain. 4.When each variable is found with spontaneous change, it will exert the greatest impact on them in a short time-span. As for impact on other variables, it exerts the greatest positive response upon the yield of Taiwan government 5-year bonds, and the impact is considered to be perennial and it will perennially accumulate a positive effect. Therefore, in the short-term the TAIEX Index can, aside from reckoning its backwards phase, also be used to observe the impact of stock fluctuations on government bonds. 5.Forecast error variance decomposition: the capability of the variance of each variable to explain itself is considered rather high, and the spontaneity of the TAIEX Index is very high, so that it is less likely to be affected by external variables. However, the stock market, currency market, and exchange market will, over the long term, demonstrate the capability of influence for slow rise.