The effect of U.S.A. quantitative easing monetary policy on the stock markets in Taiwan、China、Hong Kong

• Main Authors: Chun-Nan Chang, 張俊男
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/77505381942225134399

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 101 === This study is to discuss the effect of three quantitative easing monetary policy that U.S.A. FED declares and implements on the stock markets in Taiwan‚ China‚Hong Kong from the financial crisis that the subprime mortgage spread out until now . The study adopts the Event Study Approach that Grace, Rose and Karafiath referred in(1995) ‚to test the information effect of the three quantitative easing monetary policy on TSE Weigh. Stk.Indx ‚Shang Hai Stk.Indx ‚Seng Zeng Stk.Indx ‚Hang Seng Stk.Indx ‚and test the efficiency of the four stock market . The results of study are： 一、The effect of the same event declaration on the stock index of four stock markets： 1.The event declaration of「 quantitative easing monetary policy；QEI」is the most significant effect on the Seng Zeng Stk.Indx during the event.The volatility of CAR is 21.707% . 2. The event declaration of「 quantitative easing monetary policy；QEII」is the most significant effect on the TSE Weigh. Stk.Indx during the event. The volatility of CAR is 1 . 9 0 8 0 % . 3. The event declaration of「 quantitative easing monetary policy；QEIII」is the most significant effect on the Hang Seng Stk.Indx during the event. The volatility of CAR is 4 . 5 8 1 0 % . 二、The stock index of the same area reacts to the different event declaration: 1.TSE Weigh. Stk.Indx reacts obviously to「 quantitative easing monetary policy； QEIII」. The volatility margin of CAR is 3 . 3 3 7 % . 2 Shang Hai Stk.Indx reacts obviously to「 quantitative easing monetary policy； QEI」. The volatility margin of CAR is 1 0 . 4 8 2 % . 3. Seng Zeng Stk.Indx reacts obviously to「 quantitative easing monetary policy； QEI」. The volatility margin of CAR is 2 1 . 7 0 7 % . 4 Hang Seng Stk.Indx reacts obviously to「quantitative easing monetary policy； QEIII」The volatility margin of CAR is 4 . 5 8 1 % .. 三、The efficiency test of four stock markets： 1.Taiwan stock market corresponds with「efficient market - semi-strong efficiency hypothesis」 2.Shang Hai stock market does not correspond with「efficient market - semi-strong efficiency hypothesis」 3.Shen Zhen stock market corresponds with「efficient market - semi-strong efficiency hypothesis」 4.Hong Kong stock market corresponds with「efficient market - semi-strong efficiency hypothesis」