| Summary: | 碩士 === 嶺東科技大學 === 財務金融研究所 === 102 === The purpose of this research is to apply the VAR model to analyze the relationship between Taiwan stock indices, Financial industrial stocks indices and two stocks price indices. Data are collected from TEJ database. The research period from Jan. 1, 2009 to Jan. 1, 2014 , which includes 1245 daily data.
In this research, the models (ARIMA, Granger causality test, VAR Model, Cointegration test, Variance decomposition and Impulse response) are used to analyze the relationship between Taiwan stock indices, Financial industrial stocks indices and two stocks price Indices. The empirical findings as fellows:
1.By Co-integration test, stock indices do not have long-term equilibrium. Differently, the impulse response will disappear during 1 th to 3th when the items have spontaneous interference individually by impulse response theory.
2.The result of Granger causality test show that there exists Granger Causality among the underlying stock indices. By using the forecast error variance decomposition to analyze the interaction relationship of all the models, the results generally confirm to the results of the Granger causality tests.
|
|---|
