The Relationship between Taiwan Stock Market and the International Stock Markets after Financial Crisis
碩士 === 國立高雄第一科技大學 === 金融研究所 === 99 === This paper samples index data from January 1, 2007 through June 30, 2010, to validate the correlation between the Taiwanese stock market and international stock markets before and after the global financial crisis. The empirical results show that after first or...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/93911904502566070260 |
| Summary: | 碩士 === 國立高雄第一科技大學 === 金融研究所 === 99 === This paper samples index data from January 1, 2007 through June 30, 2010, to validate the correlation between the Taiwanese stock market and international stock markets before and after the global financial crisis. The empirical results show that after first order difference, all the variables become constant and there exist long-term equilibrium between variables. Granger’s causal relationship shows that NASDAQ leads all the other indexes. The impulse response suggests that NASDAQ and Shenzhen Composite index are the markets with transmission efficiency. They respond most strongly to the impulse on themselves. Meanwhile, TAIEX responds stronger to the impulse from NASDAQ and Shenzhen Composite index. Hang Seng Index and KOSPI respond stronger to the impulse from TAIEX.
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