The Comparison of the Interactive Relationship for both US Dollar Index and Exchange Rate Respectively with Taiwan Stock Price.
碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 100 === This paper will compare and analyze the interactive relationship of both US dollar Index and exchange rate respectively with Taiwan stock price with the daily closing date from 2005 to 2011. It is empirically employed as the method of a full exploration that...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/53120289554435682220 |
| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 100 === This paper will compare and analyze the interactive relationship of both US dollar Index and exchange rate respectively with Taiwan stock price with the daily closing date from 2005 to 2011. It is empirically employed as the method of a full exploration that the threshold error-correction model( TECM) is elaborated by Enders and Granger(1998) 、Enders and Siklos(2001) and assume that it’s relative nature between the variables is on the basis of non-linearity.
This empirical evidence suggests that it has an asymmetric threshold cointegration relationship that exists only between of the US index and Taiwan stock with a long-term equilibrium relationship. In addition, the results of TECM Granger-Causality tests show that there is a causal relationship from the USDX and US exchange rate to the Taiwan stock either in short run or the long run but the former running more positive. The traditional approach is obviously supported by these findings, therefore domestic stock prices in Taiwan would be strongly influenced by the US index and it is readily available for individual investors.
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