The Dynamic Linkage Among Taiwan Consumer Confidence Index,VIX and Taiwan Stock Index–An Empirical Analysis of VAR Model

• Main Authors: Yu-hsueh Hou, 侯玉雪
• Other Authors: Ji Chou
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/xn5m57

碩士 === 世新大學 === 經濟學研究所(含碩專班) === 101 === The study is to examine the dynamic relationship among consumer confidence index, VIX and Taiwan stock index. The article selects variables including consumer confidence index and the sub-index "the next six months time to invest stocks", VIX of CBOE and Taiwan stock index. This empirical period is from January 2004 to June 2012, a total of 102 document monthly data. Application of ADF root test, Granger Causality test, Vector Auto-regression model, Impulse Response and Forecast Error Variance Decomposition are conducted. The main findings can be summarized as follow: First, Taiwan stock index and VIX “Granger” cause Taiwan consumer confidence index. Taiwan stock index and "the next six months time to invest stocks “Granger” cause each other. Second, Taiwan consumer confidence index is correlated with Taiwan stock index in long-term, "the next six months time to invest stocks" is correlated with both of Taiwan stock index and Taiwan consumer confidence index. Third, Both changes of Taiwan stock index and Taiwan consumer confidence index affect "the next six months time to invest stocks". Between these two variables, Taiwan stock index shows higher explanatory power. The fourth, the study finds that VIX associated with the Taiwan stock market is not as high as conventional think when the monthly data is used in the study.