The Connectedness among the Exchange Rates between RMB and NTD, Yuanta/P-shares S&P Custom China Play 50 ETF, and TAIEX

• Main Authors: HSIEH CHIH HSING, 謝志行
• Other Authors: 諾木汗
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/65q8yy

碩士 === 東吳大學 === 國際經營與貿易學系 === 105 === In view of the changes in the stock market and the foreign exchange market in the past, most scholars have found that there is a significant reverse relationship between the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and the US dollar exchange rate. However, if the exchange rate of RMB/TWD exchange rate to replace USD/TWD exchange rate, to explore the foreign exchange market impact on the Taiwan stock market, whether the difference between the underlying exchange rate and the difference is worthy of our discussion.The information in this study is derived from the CMoney, which includes daily information, including: RMB/TWD, USD/TWD, ETF, TAIEX. The study period is between August 1, 2007 and July 31, 2013The methods of this study are Unit Root test, Johensen Co-integration test, VAR model, VECM model and Granger Causality test.Our empirical results are as below：（1）The correlation between RMB / TWD and TAIEX is more significant than RMB / TWD and ETF;（2）The USD / TWD, ETF and TAIEX correlation between RMB / TWD, ETF and TAIEX significant.