| Summary: | 碩士 === 中國文化大學 === 國際企業管理研究所 === 88 === The GARCH (1,1) model is adopted in the paper to examine the relation among Taiwan stocks, exchange, interest, and money markets over the Asian financial crisis. The daily data form 1995/1/1 to 1999/12/31 is used to analyze the relation. The study sample of the Taiwan stocks market includes the Taiwan stocks index, OTC index and eight kind of stocks index. There are some empirical results as the follows:
1.The evidence for the autoregressive conditional Heteroskedastic (ARCH) effectts is in the Taiwan stocks market. It means that it is useful to predict the variance by conditional variance function.
2.In exchange rate, the explanation of the Cement-Kiln stock index is better and the fit of model is higher before the Asian financial crisis. The explanation of the Plastics-Chemical stock index is better and the fit of model is higher after the Asian financial crisis.
3.In interest rate, in front and behind Asian financial crisis, the explanation of the long-term interest rate have the negative relationship with Paper-Making stock index.
4.In money supply, M2 have stronger relation than M1A and M1B. By observing the change of money supply, we can get profit in stock market.
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