A Study on The Relationship of NASDAQ Composite＆ DOWJONES Industrial Index and TAIWAN Electronics Index

• Main Authors: Hsing-Fen Tsai, 蔡幸芬
• Other Authors: Ai-Chi Hsu
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/53656716390150482514

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 94 === The thesis uses the Multivariate GARCH model to investigate the volatility transmission effect among Taiwan Electronics Stock Index, American NASDAQ Stock Index, American Dow Jones Industrial Stock Index before and after the government abolish the QFII REGULATION.In general,after the lifting of the restriction,the transmission effect is more significant than ever. From constant correlation estimate, the correlation of daily return between American NASDAQ Stock Index and Taiwan Electronics Stock Index is significantly higher than that between American Dow Jones Industrial Stock Index and Taiwan Electronics Stock Index.However ,after the lifting of the QFII REGULATION,the correlation between NASDAQ Stock Index and Taiwan Electronics Stock Index has declined dramatically.While at the same time still remains higher than the effect between American Dow Jones Industrial Stock Index and Taiwan Electronics Stock Index.Meanwhile,after the lifting of the restriction ,the correlation of NASDAQ Stock Index to Taiwan Electronics Stock Index has also declined significantly. The thesis also use Multivariate GARCH model(Tse,Y. K. 2000) to test the correlation of daily return between Taiwan Electronics Stock Index vs NASDAQ Stock Index and Taiwan Electronics Stock Index vs American Dow Jones Industrial Stock Index.We found that after the lifting of QFII REGULATION ,the daily return of Taiwan Electronics Stock Index and American NASDAQ Stock Index has stronger co-movement.On the contrary, Taiwan Electronics Stock Index vs American Dow Jones Industrial Stock Index tells a totally different story,and the stability of such co-movement is verified by the low statics figure of LMC value.