| Summary: | 碩士 === 國立成功大學 === 統計學系碩博士班 === 98 === The topic of this research is to study the relationship between Taiwan stock market and other important international stock markets. The study period from Jan. 3, 2005 to Dec. 28, 2009 weekly data analysis including a total of 20 international stock market index.
In this research contained two part of analysis. First part of analysis, using multivariate time series model confirm the relationship between Taiwan Stock Market and The International Stock Markets. Second part of analysis, carry on the first part of multivariate time series model, comparing the prediction with other method including univariate time series model and backward propagation network. Through the ICSS algorithm, it could split time series up on Aug. 6, 2007 since the change of variance detected.
We conclude that Europe and America Stock market have granger causality relationship with Taiwan stock market. The better forecasting method is backward propagation network, better than the others.
|
|---|
