The Study of the Interactions of Stock Indexes In North American Free Trade Agreement and Asian Countries

• Main Authors: jui-wen chiu, 邱瑞文
• Other Authors: Shyan-Rong Chou
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/62346100451472673344

碩士 === 國立高雄第一科技大學 === 金融營運系碩士班 === 89 === The purpose of this study is to examine the interactions of stock indexes in North American Free Trade Agreement and Asian countries.The research methods of the paper are Unit root、Cointegration 、Granger Causality Test、Error Correction Model、Impulse Response Analysis and Variance Decomposition six steps method. The study period is from July 1997 to Dec.2000. The findings are summarized as following: 1.There is none cointegration vector in stock markets of North American Free Trade Agreement and Asian countries while both of the regional economic systems are none cointegration vectors in Taiwan stock markets. 2.In addition, Granger’s causality test suggests that U.S. market’s dominant role in North American Free Trade Agreement and Korea instead of Japan to become the dominant role in the Asian countries during the period of Asian financial crisis. 3.The result of Impulse Response Analysis finds that the relation of the inter-actions of stock markets in North American Free Trade Agreement are stronger than Asian countries；the result of Variance Decomposition suggests that other countries can not influence Mexico stock market in North American Free Trade Agreement the same result in Asian countries are Taiwan and Korea ,but Canada、Singapore and Hong Kong are changed easily by other countries.