| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 89 === Abstract
This paper, applying various time series model, investigates the long-run and short-run dynamic relationship among those seemingly related market factors (stock indices, interest rates, and GDP) and the number of initial public offerings (IPOs). We find that, from both cointegration and VECM results, the IPOs has an equilibrium relationship together with market factors considered in the long-run; however, in the short-run, the IPOs is only affected by GDP and themselves. The Impulse Response finds that the response of GDP to shock of IPOs is relatively high; whereas, IPOs are strongly affected by the shock of itself more than the market factors. The oscillatory impulse response of IPOs shows that the IPOs are negatively related to the previous numbers of IPOs. We also observe from the Variance Decomposition that the forecast error variance of IPOs is explained more proportional by its own variance, especially in the short-run. However, the forecast error variances of GDP are gradually influenced by the variance of the IPOs. This again supports the relatively stronger relationship between IPOs and GDP. The final findings from causality tests show that the IPOs are preceded by GDP and stock indices.
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