| Summary: | 碩士 === 國立臺灣大學 === 經濟學研究所 === 105 === This paper discusses the relationship between Taiwan Electronics, Financial and Construction Industry. This research collected monthly data ranging from January 2009 to December 2016. We use the vector autoregression (VAR) model to analyze what variables can affect the stock index of these three industries and the interaction of the performance of these three industries. Also, we create well-predicted model by the ordinary least squares (OLS) model. Via the empirical test, we summarize four conclusions:
(1) BB ratio of lag 2, export orders for electronic products of lag 6 and US dollars Exchange rate of lag 5 have positive influence on electronic stock index.
(2) Financial stock index of lag 5 and real estate loans of lag 2 have negative influence on financial stock index. Taiwan stock price index futures of lag 5 and industrial production index of lag 7 have positive influence on financial stock index.
(3) Financial stock index of lag 3 and real estate loans of lag 2 have negative influence on construction stock index. Sinyi house price index (Taipei area) of lag 6 has positive influence on construction stock index.
(4) Financial stock index has influence on construction stock index. However, there isn’t significant relevance between electronic stock index and financial stock index. Financial stock index of lag 1 has influence on Taiwan stock exchange, but electronic stock index doesn’t because of its coincidence with Taiwan stock exchange.
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