The study of stock price indices relationship among US, China, Hong Kong and Taiwan
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 da...
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ndltd-TW-098YUNT53040022015-10-13T18:58:56Z http://ndltd.ncl.edu.tw/handle/67746721375183441788 The study of stock price indices relationship among US, China, Hong Kong and Taiwan 美國與兩岸三地股價指數間關聯性之研究 Fu-Chun Lin 林福春 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. Ai-Chi Hsu 胥愛琦 2010 學位論文 ; thesis 79 zh-TW |
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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.
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Ai-Chi Hsu |
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Ai-Chi Hsu Fu-Chun Lin 林福春 |
author |
Fu-Chun Lin 林福春 |
spellingShingle |
Fu-Chun Lin 林福春 The study of stock price indices relationship among US, China, Hong Kong and Taiwan |
author_sort |
Fu-Chun Lin |
title |
The study of stock price indices relationship among US, China, Hong Kong and Taiwan |
title_short |
The study of stock price indices relationship among US, China, Hong Kong and Taiwan |
title_full |
The study of stock price indices relationship among US, China, Hong Kong and Taiwan |
title_fullStr |
The study of stock price indices relationship among US, China, Hong Kong and Taiwan |
title_full_unstemmed |
The study of stock price indices relationship among US, China, Hong Kong and Taiwan |
title_sort |
study of stock price indices relationship among us, china, hong kong and taiwan |
publishDate |
2010 |
url |
http://ndltd.ncl.edu.tw/handle/67746721375183441788 |
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