| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 99 === This study employs various time series models to investigate the relationship among trading volumes of three major stocks of electronics, construction, and finance.
There are few empirical findings. First, all three major stocks considered are shown to be I(0) stationary series. Second, there exists a cointegration relationship of long-term equilibrium. The finding of long-term comovement of these three major stocks refers that investors are not able to diversify the risk when portfolio is composed of these three major stocks. Thirdly, lead-lag relationships from Granger causality test show (1) there exists a feedback relationship between stocks of electronics and finance, which reflects the phenomenon when government impose the triple-supporting policy during the sub-prime period, (2) construction stock leads electronic stock, reflecting the recent housing price increases, (3) no causal relation found between financial stock and construction stock.
Fourthly, the further findings from the impulse response function illustrate that construction stock is independent of another two stocks, the self-response of electronic stock is in a decreasing shape, and the financial stock is well-responded to the shocks from another two stocks. Finally, the results from the variance decomposition show that construction stock has highest explaining power for the fluctuation occurred in each of the three major stocks.
The results from this thesis fully describe the long-run and short-run dynamic relationships among three major stocks of electronics, construction, and finance in Taiwan. We believe that the investors can utilize the findings from our research to set up their future invest strategy.
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