The Empirical Evidences of the Relationships among Dim Sum Bonds, Foreign Exchange Rate and Stock Market Index

• Main Authors: Ching-Fen Wu, 吳靜芬
• Other Authors: Shen Wang
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/19306390585570274515

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 102 === Mainland China has been developing rapidly to be the second largest economy during recent years. Meanwhile, the Renminbi-denominated financial products also become one of the most popular tools in the financial markets. In this thesis, statistical analyses focus on dim-sum bonds to explore of their relationship with foreign exchange market, stock market and macroeconomic variables。 This thesis applies Vector Error Correction Model (VECM) to discuss the long-run linear equilibrium and the short-term dynamic adjustment among variables. In addition, this thesis also uses Granger causality test to judge the relationship among dim-sum bonds, foreign exchange rate, stock market index, labor market participance ratio and purchasing managers index. The main empirical evidences and implications can be summarized as follows: 1.According to the unit root test, the variables used in this thesis cannot reject the variables unit-root property. This means that they are all non-stationary series。 2.Because the cointegration order of the all variables is I(1), we apply Johansen maximum eigenvalue test and VECM to explore the long-term equilibrium relationship and the effect of long-term and short-term dynamic adjustment among variables. The results of cointegration test indicate that there is a long-term equilibrium relation among all variables used in this thesis. 3.Moreover, the results of Granger causality tests show that the exchange rate, stock index and labor market participance Granger cause the dim-sum bonds. This also implies that those variables can be used for predicting the price movements of dim-sum bonds, and could be important considerations when designing a computer-based trading system。