碩士 / 國立臺北大學 / 企業管理學系 / 98 / The main objectives of the study focus upon the impacts of Crude Oil, Gold price and Taiwan exchange rate on Taiwan stock index returns before and after the financial Tsunami period. There are a total of 724 daily data from July 1, 2004 to June 30, 2009. The research method include unit root test, Granger causality test and Vector autoregression model (VAR model). The major conclusions are summarized as follows:
１.Based on VAR causality estimation , Taiwan exchange rate and Crude Oil price have lead on Taiwan stock index returns; Taiwan stock index returns and Crude Oil have lead financial Tsunami Period .
2.Based on impulse response analysis, Taiwan exchange rate and Crude Oil have significant impacts on Taiwan stock index returns; Taiwan stock index returns and Crude Oil have significant impacts on Taiwan exchange rate after the finance Tsunami Period.
3.Based on Variance decomposition analysis, 97.96% of Taiwan stock index returns were mainly explained by itself; 81.61% of Taiwan exchange rate variation were explained by itself, while 16.44% of its variation was explained by Taiwan stock index returns.
| Identifer | oai:union.ndltd.org:TW/098NTPU0121017 |
| Creators | TSUI-JU YEH, 葉翠如 |
| Contributors | YEONG-JIA GOO, CHUN-HUI HSU, 古永嘉, 徐純慧 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 70 |
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