A Research of the Relation between Exchange Rate Volatility and the Stock Price

• Main Authors: Chia-Lin Tsai, 蔡佳霖
• Other Authors: Shih-shen Chen
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/t42a7v

碩士 === 樹德科技大學 === 會展管理與貿易行銷碩士學位學程 === 107 === Taiwan is a small and open economy, foreign trade dependence is very high, under the policy of economic liberalization and internationalization, the domestic stock market is no longer a regional stock market, but an open international market. Therefore, the relationship between foreign exchange market and stock market is more closely related, whether exchange rate fluctuations affect the exchange rate compensation, or whether the performance of the stock price will attract foreign investment, and thus change the exchange rate, the correlation between the two become the research purpose of this thesis . The results of the ADF verification in this study can observe that once all the raw sequence data without difference slots can hardly reject the hypothesis that there is a single root, and when all variables are subject to a first-order differential, no pattern is available. At a significant level of 1%, hypothesis can be rejected. Shows that after the differential, these variables are all fixed I(1) time series. The Results of Granger''s cause and effect, the results of the inspection found that exchange rate fluctuations, in addition to a two-way causal relationship with the stock price index, also have a two-way causal relationship for most stocks, and in the case of stocks where there is no two-way causal relationship, exchange rate fluctuations remain the leading index. That is, the exchange rate will affect the stock prices , but the performance of the above-mentioned industrial stocks can not affect the trend of exchange rates. A careful discussion of its concerns may be that the above-mentioned industries are more biased towards domestic demand-oriented industries, so the performance of domestic demand-oriented industries can not have a decisive impact on the exchange rate.