An Investigation of Correlation between Stock Price and Factors during the Period of Pre and Post American Quantitative Easing Policy-A Case Study of Taiwan Stock Index
碩士 === 國立成功大學 === 企業管理學系碩博士班 === 101 === This study mainly investigates how the Quantitative Easing Policy affects Taiwan Stock Weighted Index and compares the relationship among Taiwan, Chinese mainland, the United States, Hong Kong and Japan stock market during the period of pre- and post- U.S. QE...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/5jrx38 |
| Summary: | 碩士 === 國立成功大學 === 企業管理學系碩博士班 === 101 === This study mainly investigates how the Quantitative Easing Policy affects Taiwan Stock Weighted Index and compares the relationship among Taiwan, Chinese mainland, the United States, Hong Kong and Japan stock market during the period of pre- and post- U.S. QE policy.
We use the multiple regression analysis model to estimate whether this policy cause the relationship of these factors change and the structure of regression model if have significant different. The monthly data that are used in this paper were collected from January 2004 to February 2013.
Consequently, this study shows that U.S. QE policy affected Taiwan Stock Index. U.S and Hong Kong Stock Index have significant correlation to Taiwan Stock Index in the period of before QE policy, and Japan Stock Index have significant relation to Taiwan Stock Index in the period of after QE policy. Meanwhile, U.S M2 is stronger effect to the Taiwan Stock Index than Taiwan M2. Mainland China Stock Index seemly have no significant relationship with Taiwan Stock Index.
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