This study presents our attempt to examine the linkages and to investigate the linkage of stock price indexes among Taiwan, China and its major trading countries. Our empirical analysis employs daily data on stock price indexes over the period of January 2, 2000 to May 10, 2010. The total number of observations is about 2500.
This study employ a sequence of time-series methodologies, including unit root test, cointegration test, vector error correction model, Granger causality test, Criterion, autocorrelation test, heteroscedasticity test, GARCH and Bi-GARCH.
The findings of this study as follows. First, after first difference, every stock price indexes series all became stationary. Second, we found there has no long-run interrelationship among these stock markets. Third, we found that Taiwan¡¦s stock market exits leading role to China¡¦s stock market, but other countries¡¦ stock market lead Taiwan¡¦s stock market. For China, the stock market of United States, Japan, Taiwan and Hong Kong has a leading role to China¡¦s stock market. Only the rela-tionship between South Korea and China¡¦s stock market is independent. Forth, the result of autocorrelation test and ARCH test indicates that the influence of stock price indexes of major trading countries to Taiwan and China¡¦s stock price index has changed over time. Finally, the result of study indicates that every stock market can forecast its future trend by using its past stock data and investor can use the past stock data of stock market of major trading countries to forecast Taiwan and China¡¦s stock market.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0731112-123831 |
| Date | 31 July 2012 |
| Creators | Lin, Yu-feng |
| Contributors | Liang Gin-Shuh, Alex Chiang, Chu Chin-Peng, Lin Teh-Chang, Shih Cheng-Ping |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0731112-123831 |
| Rights | user_define, Copyright information available at source archive |
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