Interactions and investment strategy of the Pacific basin stock markets

• Main Authors: Shih-Jui Yang, 楊世瑞
• Other Authors: Ai-Chi Hsu
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/11838574906421722980

博士 === 雲林科技大學 === 管理研究所博士班 === 98 === This article examines the causality and cointegration relationship of US, Taiwan, Hong Kong, Japan, Korea and China stock markets. But according to our empirical analysis, US stock market still resides in the dominant position to the East Asian economy. In sample period also has experienced Asia Financial Crisis, the Burst of Internet Bubbles and 911 and so on big events. Therefore also makes the structural breakpoint test to check whether to have the constitutive problem. Finally Hong Kong has the constitutive change at the Asia Financial Crisis and Taiwan after 911 has presents the constitutive change. In addition we will discuss the US stock market rise (drop) for 3 days, 4 days and 5 days in succession to have any change again to the East Asia stock market reward and also around aims at has constitutive question Hong Kong and Taiwan makes the comparison, and found the investment strategy to be possible to do for the investment reference. Although present stage China has many limits to the foreign capital, is unable to explain the foreign capital in China''s investment strategy. Taiwan which, Hong Kong and China contains by “the Greater China area” discuss China''s influence. Many articles mentioned Hong Kong stock market played a very important role in the Greater China area before Asia Financial Crisis. This paper proves China stock market has gained a leading position in the Greater China area gradually after Asia Financial Crisis.