| Summary: | 碩士 === 國立交通大學 === 經營管理研究所 === 104 === Traditional portfolio management stated that international portfolio can reduce the risk of portfolio with the effect of diversification to reduce. However, in recent years, due to the economic integration and the openness of financial system, the degree of interdependence among international stock market grow continuously, which cause the effect of diversification worsening than before, becoming an opportunity to arbitrage. And the recent global financial crisis in 2008, which affected all the world including Europe and emerging market, showing the the Interactive relationship between different stock market really existed.
This study uses a Ventor autoregression to conduct analysis, and includes U.S., Japan, Korea, India, Taiwan and China as research objects to analyze the interdependence in these stock market. The results indicate that the Interdependence of international stock market become stronger after the financial crisis. And except U.S., India stock market performs a leading relation with all the Asia-Pacific country in this study. Finally, we find that Taiwan stock market is easy to influence by foreign countries.
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