碩士 / 嶺東科技大學 / 財務金融研究所 / 98 / This paper period from January 1, 2000 to September 18, 2009, using date information, variables include Taiwan weighted stock price index, MSCI Taiwan Index Futures and Taiwan Index Futures of the date of shipment information as this sample, using multivariate GARCH for the empirical model,to analyze the relationship among Taiwan's Weighted Price Index, MSCI Taiwan Index Futures and Taiwan Index Futures under the Financial Tsunami . According to empirical results ,the three variables have the transfer effects. Empirical results found that, Taiwan's Weighted Price Index, MSCI Taiwan Index Futures and Taiwan Index Futures of unit root test and panel unit root test, with I (1) of the feature. Second, By a multivariate GARCH-test, Taiwan weighted stock price index, MSCI Taiwan Index Futures and Taiwan Index Futures of affecting each other.
| Identifer | oai:union.ndltd.org:TW/098LTC00304003 |
| Date | January 2010 |
| Creators | WANG,PING-KUEI, 王柄貴 |
| Contributors | Dr. YUNG-LIEH YANG, Dr. YU-FONG SUN, 楊永列博士, 孫鈺峯博士 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 61 |
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