The study of stock price indices relationship among US, China, Hong Kong and Taiwan

• Main Authors: Fu-Chun Lin, 林福春
• Other Authors: Ai-Chi Hsu
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/67746721375183441788

碩士 === 雲林科技大學 === 財務金融系碩士班 === 98 === This study examines the impact of 2008 financial tsunami on Taiwan, China, Hong Kong and the United States stock indices. We use unit root test (ADF), Granger Causality test and vector autoregression model (VAR) to these markets’ relationships. The study uses daily data and covers from Jan. 2005 till Nov. 2009. The empirical results show that: 1. Instead of two-way causality, there only exists one-way relationship between a pair of markets of concern. 2. There is a coefficient between the markets that affected by the American Stock. that impacts from individual self–disturbances occurred between two variants will disappear in couple days. 3. Each market is affected not only by domestic factors but also by global issues. 4. The Chinese stock market has qained its leading role due to its economic growth in affecting the Great China area.