The Lead-Lag Relationship in the Return of Major TSE Industrial Indexes

• Main Authors: Zheng,Shi-Xian, 鄭世賢
• Other Authors: Yang,Jien-Wei
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/03732586868314096821

碩士 === 國立雲林科技大學 === 財務金融系 === 104 === This report studies the interaction between the Taiwan stock market index in seven of the index stocks among the rewards. I selected plastic industrial stocks, textile fibers stocks, the steel industry stocks, electronic stocks, building materials stocks, shipping industry stocks and financial insurance stocks to make a relevance of the discussion. The study sample was daily stock price index closed price during January 1, 1995 to December 31, 2015, a total of 5386 pen day data. Using Granger causality test and Vector Autoregression model to comparative the interaction between national stock markets remuneration. The empirical results found that the plastic industry leading electronic and shipping industry, textile fibers leading shipping industry, steel industry leading electronic and building materials, shipping industry leading steel industry and building materials, financial insurance leading textile fibers, electronic and building materials. Plastic industrial stocks occupied a considerable influence among the seven Index of stocks. Electronic stocks may be Taiwan's leader, occupies most of the overall market position, but it is not a leading indicator linked to other stocks.