| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 102 === This paper studies of the Co-movement of the Asian major market, China, and the U.S. stock returns by time-varying regression during the period from 1992 to 2013. Total 6,360 weekly data is adopted as the research source.
The result shows that the U.S. market is the largest influential economy in the world. Regardless of the U.S suffers from the financial crisis, its power is still greater than China market.After the Asian financial crisis happened in 1997, the impact from China market steadily increases to the Asian major market. After 2008, the impact of the U.S. market is getting lower and which makes the gap between two markets becomes relatively closer.China market is insufficient to replace the U.S. market. However, IMF predicted its GDP ranking as second position, which is only one step behind the U.S. in 2013. Meanwhile, studying import and export data in the past five years, it reveals that China market is the strongest of the Asian major markets. The influence on Asia can compete with the U.S. In the study, the growth rate in China market is obviously expanding if compared with the U.S., who just survived after the subprime mortgage crisis. It also shows China will have further economic and create stronger influence.
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