| Summary: | 碩士 === 國立成功大學 === 經濟學系 === 104 === This study focus on investigating the impact of RMB/TWD exchange rate on Taiwan stock return from 2008 to 2014. The data we are using in this study are extracted from TEJ database.
According to our results, we find that: (1) There was a significant impact between RMB/TWD exchange rate and Taiwan stock return. Our results support good market theory, RMB/TWD exchange rate have a positive impact on Taiwan’s stock return. (2) It do exist Monday effect in Taiwan stock market, but the regression results are not so similar between each industries. Besides the electronics industry and electrical machinery industry has a significant Monday effects, other industries are mostly not significant, and also, there are some industries have reverse Monday effects.
Concerning the Taiwan stock market may be affected by China stock market volatility and the stock market may change over time, we also put Shanghai Composite Index and dummy variable of each Year in our regression. The results support good market theory.
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