Interdependence of International Stock Markets: Evidences from Taiwan, Hong Kong, Japan, Singapore, UK and U.S.

• Main Authors: Hsieh Wen Ting, 謝雯婷
• Other Authors: Lin Hsiao Feng
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/739ry2

碩士 === 大葉大學 === 會計資訊學系碩士班 === 103 === This study compares the relationship among Taiwan's Weighted Stock Index, Hong Kong Hang Seng Index, Tokyo Nikkei 225 index, Singapore Straits Times Index, Financial Times Stock Exchange 100 Index and NASDAQ Composite Index. We test the impact of relationship among Taiwan and the international stock markets with the Unit Root Test, Granger Causality Test, Vector Auto-regression Model, Impulse Responses and Variance Decompositions. Granger Causality Test results show the international stock index is explanatory to Taiwan’s stock index.VAR model results can tell national stock market fluctuations will affect the Taiwan stock market’s volatility and theUnited States stock markets for the greatest impact. Shock response analysis and forecast error variance decomposition, States to themselves stock market is the largest, financial times index in London and the United States NASDAQ index affected by external forces and changes in the short term, the impact on other countries more influence. Stock market movements can be found under the influence of the stock market itself is the largest, but its influence has decreased. Most international markets are subject to United Kingdom stock and United States stock markets most.