| Summary: | 碩士 === 國立臺灣大學 === 經濟學研究所 === 101 === The main purpose of this study is to focus on the correlations of MSCI Taiwan gross return index with certain international stock indexes (i.e. Brazil, Russia, India, China, or “BRIC”, and U.S.) and pre-defined factors. The type of factors under the scope of this study can be categorized into financial market factors, real business factors, and other factors and the study methodologies adopted within this paper are Unit root test, Vector Autoregression Model, Johansen’s cointegration model, and Granger Causality Test.
The findings of this study conclude that there was no correlation among the stock indexes in Taiwan, U.S., and BRIC prior to 2001, therefore investors can benefit from a diversified portfolio consisted of stock indexes of these markets. Since 2001, however, the stock markets among Taiwan, U.S., and BRIC have become more correlated and it appears that Taiwan’s stock index started to follow the stock index of China, according to the Granger Causality Test conducted in this study. With an increased degree of correlation; however, the benefit of diversification among these countries starts to diminish
This study also discovers that M1B has the most significant impact among financial market factors on the movement of Taiwan’s stock index even though certain degree of correlation does exist between Taiwan’s stock index and other financial market factors such as exchange rate, interest rate, WPI, or CPI.
Among the real business factors, the one with most significant impact on Taiwan’s stock index is the price of copper, and we can use industry production index as a good indicator to assess the overall economic condition.
Last but not least, for the other factors, we noted the reflection of asymmetric information through observing the change in the key controlling shareholders’ ownership in a publicly traded company, and it would take more than one month for the stock market to recover from the impacts caused by irrational market reactions. In addition, the yield of U.S. 10-year T-Note is a better indicator than gold’s price when investors want to gauge the degree of fear in Taiwan’s stock market.
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