The relationship of the stock market at the G8 countries

• Main Authors: Chun-mou Lee, 李俊謀
• Other Authors: Jiunn-rong Chiou
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/48527124011623026503

碩士 === 國立中央大學 === 產業經濟研究所在職專班 === 102 === The purpose of this study is to investigate the relationship of the stock market at the G8 countries, By employing the popular time series techniques, including unit root test, Johansen’s cointegration analysis, vector error correction model, as well as Granger causality test, and impulse response function, the empirical daily data from January 1 , 2003 to December 31, 2013. Data was collected from the Dow Jones, Canada, FTSE100, CAC40, DAX, FTSE Italia, RTS and Nikkei225. In conclusion, the results present the all series become stable after first difference. The G8 index from cointergration test after financial crisis is in a long-term integrated correlation. Causality test suggests that the Dow Jones stock market is leading as an indicator after financial crisis and information transmission has became stronger in the short-term.