A study of the Relationship between Taiwans Major Trade National Stock Market and Taiwans Weighted Stock Index

• Main Authors: Chun-Chia Chang, 張峻嘉
• Other Authors: Ching-Ping Wang
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/yhv756

碩士 === 國立高雄應用科技大學 === 財富與稅務管理系碩士在職專班 === 105 === This paper is mainly aimed at China SSE Composite Index、America Standard & Poor's 500、Nikkei Stock Average 225 Index、Singapore Straits Times Index and Taiwans Weighted Stock Index.For each of the Unit root test、Cointegration test and vector error correction model(VECM).Data sampling time of day information January 2,2012 to December 30,2016 data.The final result is that: The variables in the raw data include non-stationary time series data. Upon further analysis, the stock exchange of the five nations appear to be stable. After testing the relationship between the five stock exchanges, it was discovered that there exists a long run equilibrium relationship. Among these, the S&P 500 Index has the greatest effect on the Taiwans Weighted Stock Index.