The Study on the Bubbles of Asian Stock Markets and its Influencing Factors

• Main Authors: Lin, Yu-Hsiang, 林裕翔
• Other Authors: Chen, Cheng-Yu
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/12149650346780051293

碩士 === 國立屏東大學 === 財務金融學系碩士班 === 104 === The purpose of this thesis is to test the intrinsic bubble model developed by Froot and Obstfeld(1991) on Taiwan 50 Index, SSE 50 Index, SZSE 100 Price Index, Singapore-DS Market Index, Hang Seng Index and Korea Composite Stock Price Index .The sample period is from January 2000 to December 2014. Then we use the panel data analysis to test the relationship between the stock markets bubbles and macro-economic variables including CPI, real GDP, money supply, housing price index and interest rate. The empirical results found that Taiwan 50 Index, SSE 50 Index, Singapore-DS Market Index and Korea Composite Stock Price Index exist stock bubbles during the study period; but the others didn’t. From the panel data analysis, we also found that housing price index and interest rate had significantly positive effect on the stock bubbles in the model 1. The CPI had the significantly negative effect and the housing price index had the significantly positive effect on the stock bubbles in the model 2. The CPI and real GDP had the significantly negative effect, but the others had significantly positive effect on the stock bubbles in the model 3. From the results, when the CPI decreases or the housing price index, interest rate increases will lead to stock bubbles, investors can refer the change of these general economic variables and adjust the investment strategy in the stock market.