| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 95 === This study explores the relationship between the upper stream stock index,the middle stream stock index, and the lower stream stock index of the petro-chemical industry in Taiwan. Specifically, the relationship between these indexes respectively from Jan. 2nd, 2004 to Dec. 29th, 2006 will be examined.
Firstly, this study measures the stationarity of variables with traditional unit-root test method and nonlinear unit-root test by Bierens(1997) and Breitung(2002). Secondly, we examine the long-run equilibrium among variables via
Maximum Likelihood Estimation by Johansen(1988,1990,1992,1994) and nonlinear
Nonparametric cointegration test by Breitung(2002). The lead/lag relationship among variables is investigated by linear and nonlinear Granger Causality Test as well. By exerting traditional and nonlinear impulse response function, this study examines short-run interactive relationship among variables,too.The empirical results are as follow ：(1) After 1st difference,these variables become stable. (2)There is no long-run equilibrium relationship among variables. (3) There is no lead/lag relationship between the upper stream stock index versus the middle stream stock index and the middle stream stock index vs.the lower stream stock index in Granger Causality Test. The lead/lag relationship only exists between the lower stream stock index and the upper one.(4)The impulse response function exists between the upper stream stock index versus the middle one ,the upper one vs. the lower one and the middle one vs. the lower one.
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