| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 101 === This study focus on relationship among Taiwan stock return, exchange rate, and the total export-import volume of TW to US. Most studies investigate the correlation of exchange rate and Taiwan stock return, but there are few to discuss about the effect of the total export-import volume previous to past studies. Most studies use Vector Autoregression Model (VAR) to investigate the relationship among variables, but this study uses not only VAR but also Bayesian Vector Autoregression Model (BVAR) to discuss the correlation of exchange rate and Taiwan stock return in short-term, and the correlation of these three variables.
The empirical results show that the BVAR is significantly more accurate than the VAR, and no matter in short-term or long-term, there are negative correlation between exchange rate and Taiwan stock return.
The total export-import volume of TW to US is negative affected by exchange rate, that is, when NT depreciates, the total export-import volume of TW to US will rise.
In short, there are significant relationships among Taiwan stock return, exchange rate, and the total export-import volume of TW to US.
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