The Research on the Study of the Exchange Market Pressures, Stock Markets and Bond Markets

• Main Authors: HE,WEI-CHI, 賀偉棋
• Other Authors: WANG,KAI-LI
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/01399196466158594433

碩士 === 東海大學 === 財務金融學系 === 103 === Focusing on the relationship between exchange market pressure (EMP) and stock market by most previous studies, few of such studies has focused on the relationship between EMP with bond market and above all, almost none of such studies has focused on the relationship among exchange market pressure, stock market and bond market. As a result, this thesis intends to research on the co-relationship among exchange market pressure, stock and bond markets in South Korea, Taiwan, Singapore and India, via the analysis of VAR Model and Multivariate GARCH Model. Our results are as followings, first, in conditional mean equation: (1) There is a two-way negative reciprocal effect between EMP and stock market; (2) The reciprocal effect between EMP and bond market is mostly insignificant; (3) There is a two-way positive reciprocal effect between stock market and bond market. Second, in condition variance equations: (1) There exists a volatility spillover effect for the relationship among exchange market pressure, stock market and bond market; (2) For the four nations, there exists a two-way cross market effect for asymmetric volatility transmission across EMP and stock market. In addition, there exists a cross market effect for asymmetric volatility transmission across EMP and bond market. However, for Taiwan and South Korea, the effect is one-way. The empirical study also indicates that in most cases, stock market exhibits unidirectional cross market effect for asymmetric volatility transmission across bond market.