Analysis of the Impact of Subprime Mortgage Event on the US and Taiwan Stock Markets

• Main Authors: SUNG, SHI-YI, 宋詩怡
• Other Authors: Mong-Hong Lee
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/19901682866114490465

碩士 === 國立臺北大學 === 統計學系 === 96 === On the end of July, 2007, the subprime mortgage crisis was broke out in the U.S. The crisis quickly spread throughout the world and cause a tremendous impact to international financial market. At the same time, the Taiwan stock market was also affected by the subprime mortgage crisis and the market declined on the second half year of 2007. The purpose of this research is to discuss the volatility impulse responses of the returns of Taiwan Capitalization Weighted Stock Index and Dow Jones Industrial Index due to the subprime mortgage crisis. This study adopts the Conditional Moment Profiles (GRT) method, proposed by Gallant, Rossi, Tauchen (1993), and the Volatility Impulse Response Function (VIRF) method, proposed by Hanfer & Herwartz (2006), to evaluate the dynamic impact of shocks on volatility respectively. The effects of subprime mortgage crisis on the volatility of return of Taiwan Capitalization Weighted Stock Index and Dow Jones Industrial Index are analyzed. The dynamic relation of the return of these two indices is also discussed in this study.