The relationship between markets of stock and bonds with different maturities in Taiwan before and after the subprime mortgage crisis

• Main Authors: Tzu-wei Lee, 李子薇
• Other Authors: Yin-feng Gau
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/63028876117898648065

碩士 === 國立中央大學 === 財務金融學系在職專班 === 101 === This study mainly focuses on the stock and bond markets in Taiwan. Before and after the financial crisis of American subprime mortgage in 2007, we examine the dynamic interaction and co-integration between Taiwan Weighted Stock Index and government bonds with different maturities. The results can provide valuable suggestions for investors in portfolio decision. The data of the stock and bond markets span from 2002 to 2012. After a series of comparison and analysis, the empirical findings could be concluded as follows: firstly, stock index and bond yields all are no stationary. Secondly, from analysis of co-integration, we find that relationship between stock and bond markets is really close. Thirdly, according to the error correction model (ECM), not only the stock market, but also the bond market exist short-term cross markets’ dynamic adjustment. Fourthly, one-way leading, one-way lagging and two-way feedback relationship in stock and bond markets could be observed in periods before, during, and after the subprime mortgage crisis. Finally, shocks of Taiwan Weighted Stock Index can strongly influence government bonds with different maturities.