A Study of the Relationship between Dow Jones Index And Asian Country Stock Market during the United States Quantitative Easing

• Main Authors: CHIEN,YUN-TENG, 錢育騰
• Other Authors: WANG, CHING-PING
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/5sw757

碩士 === 國立高雄應用科技大學 === 財富與稅務管理系碩士在職專班 === 106 === In November 2008, the United States announced its implementation of quantitative easing policies. In the wake of this quantitative easing, the present research aims to explore the correlation between the stock markets of six countries—the Dow Jones Industrial Average (DJI), the Hang Seng Index (HSI), the Korea Composite Stock Price Index (KOSPI), the Shanghai Stock Exchange A-Share Index (SHASHR), the Taiwan Stock Exchange Weighted Capitalization Index (TAIEX), and the Straits Times Index (STI). This research makes distinctions between three rounds of quantitative easing. The empirical analysis in this study uses the Augmented Dickey-Fuller Test (ADF Test), the Johansen Co-Integrating Test, and other tests. After conducting the ADF Test, results show that the source data of all the six variables of the DJI, the HSI, the KOSPI, the SHASHR, the TAIEX, and the STI were non-stationary and that only after going through first-order differencing did it demonstrate stationarity. During the first round of quantitative easing (QE1), there was a long-run equilibrium relationship between the DJI, the KOSPI, the SHASHR, and the HSI. Further, during the second round of quantitative easing (QE2), there was a long-run equilibrium relationship between the DJI, the TAIEX, and the STI. Lastly, during the third round of quantitative easing (QE3), when the debt purchasing period was the longest and the investment volume was the largest, there was a long-run equilibrium relationship between the HSI, the KOSPI, the SHASHR, the TAIEX, the STI, and the DJI, which has economic implications.