Applying VECM Model to explore Relationship among ETF50 and SCI300.

• Main Authors: Ya-Ting, Yu, 游雅婷
• Other Authors: Chuang-Min Chao
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/82x9w8

碩士 === 國立臺北科技大學 === 經營管理系碩士班 === 104 === This purpose is to investigate the correlation between ETF50 and SCI300, closing price and turnover. The period is between January, 2011to December, 2015.Unit root test、Cointegration test、Granger causality test and the VECM are use in this study . The results of this study could ( i ) show that each variables are Non-Stationary before first-difference, and there are some co-integration relationship between closing price and turnover variables; ( ii ) have co-integration for two closing price and turnover between ETF50 and SCI300; ( iii ) in VECM, when variable is price and ETF50 deviation from long- term equilibrium; ( iv ) it will be effect by long- term positively of VECM and it will adjust to long- term equilibrium in specific rate. ; ( iv )when variables are closing price and turnover, we can find closing price and turnover of SCI300 will adjust to long- term equilibrium in specific rate ; (vi ) in granger test, there is a exhibit bi-directional causality between the closing price and turnover of SCI30.