Abstract
Due to the arrival of global zoned economy, the fluent fund has promoted the intercommunication of international politics and economy. The multiple investments have become research focus in recent years, leading to the reasons of the relationship and fluctuation in various countries. Thus this research, taking Taiwan as a starting point, analyzes the relationship of stock price with one of our neighbor countries, South Korea, including their deep bid, four major type stocks ( plastics, transportation, steel, electronics), nine major personal shares( Taiwan Plastics and S.K. Chemical Industry, Evergreen Shipping and Han Jin Shipping Co., China Steel Co. and Posco, Taiwan Semiconductor Manufacturing Co. and Samsung Electronics, AUO and Samsung Electronics). By use of E-view software, it analyzes their closing price from June 2001 till June 2005, expecting to improve the investment performances of the government, investors and relevant industries.
The study shows that every stock price index has arrays of single root. Going on with Johansen Cointegration relationship with Granger Causality, it can get the following results:
I) Only short term relation exists for deep bid, other three major type stocks and nine main industries¡¦ personal shares between S. Korea and Taiwan, except electronic stocks.
II) No short term relation exists among deep bid, electronic type stock, Evergreen and Han Chin Shipping Co. personal shares. As for plastics, transportation, steel type stock, China and Posco, Taiwan Electronics and Samsung¡¦s personal shares, S. Korea is a leading indicator as it influences Taiwan¡¦s present situation. On the other hand, Taiwan influences S. Korea as a leading indicator for Taiwan Plastics and S.K. Chemical Industry. These mentioned above are mono-way cause and effect. Finally, research even shows that there¡¦s a mutual cause and effect relation between AUO and Samsung Electronics.
III) Taking a general view of weigh value of equity market and short term relation, it can sum up to the following results :
1) The results are the same comparing the leading and backward relation of type stocks to large proportion personal shares.
2) The leading and backward relation of small proportion does not have the same influence as type stocks.
3) The type stocks, that originally do not have cause and effect relation, will appear mutual influence relation if the personal shares take large proportion in type stocks, due to high similarity of production among industries.
Key Words: Taiwan stock market , South Korea stock market, Cointegration relationship.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0620106-095707 |
| Date | 20 June 2006 |
| Creators | Hong, Chih-Yuan |
| Contributors | David Shyu, Jen-Jsung Huang, Henry Y. Lo |
| 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-0620106-095707 |
| Rights | campus_withheld, Copyright information available at source archive |
Page generated in 0.0018 seconds