| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 94 === This paper uses co-integration test , regression and vector auto-regression(VAR) models to analyze the asymmetry response , long-term and short-term interrelationship in stock market in Asia-Pacific Region from January 1 , 1996 through January 1 , 2006.
The main results are as follows:
1.magnitude asymmetry exists between the indices of South Korea and Hong Kong, Hong Kong and Singapore , Japan and Korea , Taiwan and Singapore. When the possibility of the US influence was included in the analysis , we found magnitude asymmetry does ndot exist between the indices of US and Asian countries.
2.According to the results of co-integration tests , we can conclude there is no integrating vectors among the indices of Taiwan , Hong Kong , Japan , South Korea and Singapore . On the other hand , we can learn that the indices of Hong Kong , Japan , South Korea and Singapore don’t have any long-term relationship with the stock market of Taiwan. Also , with the inclusion of the US index , the same result is obtained for the six stock indices.
3.Short-term linkage of international stock market—
First, according to the VAR analysis , we found that Japan stock market appears to dominate other markets in the region. Taiwan index is affected by the regional markets , but is does not have much influence on other markets. When we included possible US effects in the analysis , we can find the linkage among Asian indicesis stronger , we also find the feedback relationship between Taiwan index and Hong Kong index.
Second , by analyzing the impulse response function , we can find each index retrun rushes impulses reaction response analysis would finish to reaction in the short times about 3 or 4 days. The relationship linkage was found to exist between the indices of Hong Kong and Singapore. Also , with the inclusion of the indices among Japan , South Korea and Taiwan.When we included possible US effects in the analysis , we can learn the relationship linkage exists among the indices of Japan , Hong Kong and US.
Third , according to the variance decomposition of the forecast errors , the unexpected variation in the Singapore market was the most greatly explained by the innovations of other markets, while that of the Japan market was the least explained by those of other markets. When we included possible US effects in the analysis , we can learn the US index did lead the five Asian stock markets.
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