A study of the relationships between the NBI Index and the stock prices of Chinese, Hong Kong and Taiwanese BioPharm Firms

• Main Authors: Su-mei Lin, 林肅梅
• Other Authors: Jen-Tsung Huang
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/74529112758367873191

碩士 === 國立中山大學 === 財務管理學系研究所 === 103 === This study analyzes the relationships between the NBI Index and the stock prices of BioPharm firms in China, Hong Kong and Taiwan. 147,924 seasonal and daily stock market returns are used to represent major stock markets from January 2009 to December 2014. As the result shows that there is no structural break in stock market returns in America, China, Hong Kong, and Taiwan when the countries started to adopt quantitative easing in 2009 after the financial tsunami. The VAR model pointed out that (1) stock market returns in Hong Kong (HK) are influenced by HK( lag 1) and HK( lag 2), (2) stock market returns in China (SS) are influenced by NBI( lag 1) and SS( lag 1) and (3) stock market returns in Taiwan(TW) are influenced by NBI( lag 1), NBI( lag 2), TW( lag 1) and TW( lag 2). In addition, the following results are found in Granger Causality Test : (1) HK is independent with NBI, SS and TW (2) NBI, which is independent with HK, leads SS and TW and there is only one-way relationship, (3) SS is independent with HK and TW, (4) TW is independent with HK and SS and (5) NBI is influential to SS and TW. According to the impulse response and Forecast Error Variance Decomposition, the stock market returns of each market have the biggest influence on themselves. Meanwhile, NBI has influence on SS and TW and it is decreasing through time. Lastly, there is no seasonal effect in ANOVA analysis.