The Relationship of Oil Price and Consumer Price Index (CPI) with Taiwan Stock Market.

• Main Authors: Julie Chang, 張筱嵐
• Other Authors: Shih-Jen Liao
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/28204660803868400118

碩士 === 樹德科技大學 === 金融與風險管理所 === 97 === The purpose of our research is to use Johansen Cointegration Test(1990)、Granger causality test(1969)、GARCH and TGARCH models to discuss how stronger of the connection between oil price、consumer price index (CPI) and Taiwan stock index (TAIEX Index). We also use these models to look for the relation between oil price、consumer price index (CPI) and Taiwan stock index (TAIEX Index) which is in long-term. From the analysis, we have empirical results as below: 1. Cointegration test： In long-term, the estimated value imply that the relation between oil price and stock index is negative；CPI and stock index is positive. 2. Granger causality： We could use oil price information to forecast CPI and using CPI information to forecast stock index is better than using oil price information. 3. GARCH Model： Two variables, oil price and CPI, will not affect each other. TGARCH Model：The Volatility Spillover effect of CPI to stock index is significant, it shows that the fluctuations of stock index will be effected by the fluctuation of CPI. But the Volatility Spillover effect of oil price to stock index is not significant.