| Summary: | 碩士 === 明新科技大學 === 管理研究所碩士班 === 103 === This research is to investigate correlation between Stock market and oil prices, exchange rate: the effect of temperature. The monthly data of total 395 observations are from January, 1980 to November, 2012. This paper uses Unit Root tests, Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and KPSS, the variables are not stationary and went stationary when taken the first difference. Johansen's Co-integration test was taken to make sure if the variables are co-integrated , that is to make sure the variables have long run association relationship. Granger Causality test and application VECM, VAR model are done.
The findings showsunit root test variance of temperature is stationary, while oil, stock market and real exchange rate are non stationary, the variables become stationary when take first difference. Co-integration result show the variable have existence of long term stable equilibrium relationship between oil and stock market, Granger Causality result show only significant of oil and stock market. Further, the VECM, VAR model show the effect of short term dynamic adjustment between variables, the oil market impact positive way by oil market in the previous period and us stock market, stock market impact by oil market and the real exchange rate impact by real exchange rate in the previous period and the variance of temperature.
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