The Interaction among Taiwan Stock Market, Taiwan Exchange Market, and American Stock Market：An Analysis in a Trivariate GJR GARCH-X Framework
碩士 === 義守大學 === 財務金融學系碩士班 === 93 === We provide evidence of interaction among Taiwan stock market, Taiwan currency, and American Stock market. A trivariate GJR GARCH-X model is developed that includes a cointegrating residual as an explanatory variable for both the conditional mean and the condition...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/97959513007071050494 |
| Summary: | 碩士 === 義守大學 === 財務金融學系碩士班 === 93 === We provide evidence of interaction among Taiwan stock market, Taiwan currency, and American Stock market. A trivariate GJR GARCH-X model is developed that includes a cointegrating residual as an explanatory variable for both the conditional mean and the conditional variance equation. The stock market and currency market are the most important financial market in Taiwan. Besides, adding American Market, the most powerful financial market in the world and leading the world economy. We try to integrate the above three markets in a trivariate GJR GARCH-X framework to survey their relationship of interaction. The results reveal the three markets are integrated, and American stock market is the leader among markets. And the relationship between stock market and currency market in Taiwan are negative toward. The situation of volatility asymmetry exist three markets. The three markers conditional variances are significantly influenced by the error correction term.
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