The effect of American Sub-prime Mortgage Loan on the integration of TWSE Index and the Shanghai Composite Index

• Main Authors: Yi-Shan Chang, 張亦姍
• Other Authors: Meng-Jang Lin
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/20488952138172532249

碩士 === 朝陽科技大學 === 企業管理系 === 102 === Taiwan and mainland China recently are getting closer through various trade agreements and exchanges. In terms of the current export volume, the mainland China has become the first largest trade exporter in Taiwan. In order to focus on the relationship between the two markets, the paper is going to discuss the effect of considering structural changes on the integration of TWSE Index and the Shanghai Composite Index by taking the TWSE index and the Shanghai Composite index from January 1, 1998 to April 10, 2014 as the research object. The results: Johansen co-integration results shows that there are a group of co-integration in both two markets before and after the considering structural changes, but the results cannot be get without considering structural changes. To observe whether the marketing behavior of two sample data changes according to considering structural changes by error correction model(ECM), we found that the time for the two markets’ short-term deviation to back to long-term trend must be stretched.