A STUDY OF RELATIONSHIPS OF INDUSTRIAL STOCK INDICES OF THE TEXTILE AND ELECTRIC APPLIANCE, MACROECONOMIC VARIABLES, AND FOREIGN STOCK INDICES.

• Main Authors: Chiao-Yun Chen, 陳巧芸
• Other Authors: HSIAO, WEN-TZONG
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/92235773934375374589

碩士 === 國立臺北大學 === 經濟學系 === 93 === 　　Both of the textile and electric appliance industries are important export industries in Taiwan, but their industrial characters are different. In view of that, this study is to take domestically macroeconomic variables, and foreign stock indices as factors of affecting stock indices of the textile and electric appliance industries and to compare this two industries. 　　The periods are divided into two parts by the Asian Financial Crisis. One period is from 1993/11 to 1997/6, and the other period is from 1997/7 to 2004/12. Based on Johansen cointegration methodology, there are long-run relationships between stock indices of the textile and electric appliance industries, M1b annual growth rate, exchange rate, American stock index, and Japan stock index in both two periods. Before Asian Financial Crisis, the two industrial stock indices relate positively to M1b annual growth rate, American stock index, and Japan stock index. And after Asian Financial Crisis, M1b annual growth rate and Japan stock index relate positively with the two industrial stock indices. Moreover, when New Taiwan dollars appreciate, the stock prices of the textile and electric appliance industries decrease. 　　This literature also conducts Weak Exogeneity Test and Exclusion Test to cull better models and estimates Error Correction models. Evidences show that in the short run, the stock price of the textile industry lasts to increase or decrease and exists significant correlation with the exchange rate after Asian Financial Crisis. Furthermore, both of the stock indices of the textile and electric appliance industries are negatively related to Japan stock index. And after Asian Financial crisis, the stock index of the electric appliance industry keeps arising or falling and the stock index of the textile industry has significant and positive relationship with the American stock index.