An Empirical Study on the Dynamic Linkage between Taiwan Stock and Foreign Exchange Markets under the influence of China and U.S. Stock Markets.

• Main Authors: Ming- Huei Chen, 陳明輝
• Other Authors: Tzu-Wei Wang
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/35835203614932466639

碩士 === 樹德科技大學 === 金融與風險管理系碩士班 === 99 === This research, in contrast to previous literature such as Chang (2006), applies Rahbek and Mosconi (1998)’s cointegration test to investigate if there is a long-run equilibrium relationship between Taiwan stock and foreign exchange markets (NT dollar/U.S. dollar and NT dollar/RMB) in considering the influence of some important exogenous variables, such as U.S. and China stock markets. In addition to this, we also apply the Granger (1969)’s causality test to understand the short-run dynamic relationship between them statistically. Finally, we apply Pesaran and Shin (1998)’s generalized impulse response function to analyze the impact of the shock from one of he market on another one. Our empirical result shows that there is a cointegrating relationship between the market prices. Morever, there is also a causality relationship between them both in the long run and short run. At last, in view of the generalized response functions, Taiwan stock market index has a negative influence on both of the above foreign exchange rates. However, NT dollar/RMB dollar has a positive influence on the NT dollar/U.S. dollar , but negative for Taiwan stock market index. Finally, NT dollar/U.S. dollar has a positive influence on NT dollar/RMB, but negative for Taiwan stock market index. Most of the impacts decay to their long-run levels after 8 to 13 months. It seems that the influence is persistent.