| Summary: | 碩士 === 國立高雄應用科技大學 === 商務經營研究所 === 100 === This study is to analyze the Changes of Taiwan Stock Market Index, Taiwan 50 index and Taiwan Semicond Mnfcg CoADR during the January 2007 through December 2011 by using Time Series Analysis. We compare all the samples which include business day and exclude non-trading day in two countries.
First, we use ADF to examine the Unit Root, and then First difference shows that it is can refuse the Null Hypotheses which means that Time series data has shown stationary. Besides, Johansen Conitegrated shows that there is only one group exists Contegrated vector in the Changes of Taiwan Stock Market Index, Taiwan 50 index and Taiwan Semicond Mnfcg CoADR. This study via use Error Correction Model to exam the pre and post effect of Taiwan Stock Market Index, Taiwan 50 index and Taiwan Semicond Mnfcg CoADR. Besides, this three variables point out that Taiwan 50 index has a significant impact on the Taiwan Stock Market Index and Taiwan Semicond Mnfcg CoADR , only one-way influence causality.
Finally, the Impulse Response Function shows that the unexpected impact of Taiwan 50 index has a positive impact on Taiwan Semicond Mnfcg CoADR and Taiwan Stock Market Index. Taiwan Stock Market Index also has a positive impact on Taiwan Semicond Mnfcg CoADR and Taiwan 50 index. Therefore, both of them are interaction.
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