Correlation of the Stock Price Index between Taiwan, the U.S., Japan, China and Hong Kong

• Main Authors: Yung-Yun Wu, 吳詠筠
• Other Authors: 陳思寬
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/g38f2f

碩士 === 國立臺灣大學 === 國際企業學研究所 === 107 === This study investigated the correlation between five stock markets including Taiwan, the U.S., China, Hong Kong and Japan during 2010 to 2018. The study used Taiwan Stock Exchange Index (TAIEX), Standard and Poor’s 500 Index, CSI 300 Index, Hong Kong Hang Seng Index and Tokyo Stock Price Index, these five stock price indexes to analyze. These stock indexes are chosen from the five regions and are representative. This study tried to find out the interactions between stock markets in order to improve the portfolio of investors. Empirical findings showed that there existed some positive or negative effects between stock markets. The Granger Causality test showed the U.S. stock market can granger cause the stock markets in Taiwan, China and Hong Kong. China stock market can also granger cause the stock markets in Taiwan and Hong Kong. The impulse response functions implied that most of the stock indexes would converge after 3 or 4 periods but the stock markets shocked by the U.S. would converge after 5 periods. The Variance Decomposition Tests pointed out all the stock market indexes were influenced most by themselves. In the end, there’s only one cointegration between China and Hong Kong To conclude, the U.S. is in a leading position between the stock markets. And Taiwan as a country living on international trade seemed not has a dominant position between its four main trade partners. For investors, they can achieve investment portfolio diversification by building their portfolio across countries.