Study on Taiwan’s Stock Market Bubbles and Its Influencing Factors
碩士 === 東海大學 === 經濟系 === 106 === This article uses the theoretical model constructed by Pavlidis et al. (2017) and combined with the GSADF test proposed by Phillips, Wu, and Yu (2015) to verify whether there are bubbles in the Taiwan stock market from July 1998 to December 2017. The empirical results...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/9v6y95 |
| Summary: | 碩士 === 東海大學 === 經濟系 === 106 === This article uses the theoretical model constructed by Pavlidis et al. (2017) and combined with the GSADF test proposed by Phillips, Wu, and Yu (2015) to verify whether there are bubbles in the Taiwan stock market from July 1998 to December 2017. The empirical results confirm that there are three signs of bubbles in Taiwan stock market during this sample period. This study further explores the impact of the overall economic variables on the bubble. The empirical results show that there are statistical characteristics of the self-related and heterogeneous variations in the bubble index. The interest rate has a significant negative effect on the bubble and volatility. When interest rate increase, will inhibit the form of bubble. Without considering the inflation rate, the industrial production index has a significant negative effect on the bubble and volatility, which means that increase the output will also reduce the inflation rate of the bubble.
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