碩士 / 真理大學 / 財經研究所 / 99 / Under the globalized and liberated external environment, investors are facing a sophisticated but highly integrated financial market. TWSE is often seen as one of the leading indicators in economic trends. However, it is correspondingly influenced by fluctuations of other finance markets. Hence, this study attempted to examine whether there is a correlation between TAIFEX, MSCI Taiwan Index Futures and the TWSE during the financial tsunami.
The author first constructed a GARCH model by using Unit-Root Test to see whether the data is stationary time series. Furthermore, the data gathered from daily trade price of three markets from Jan 1, 2000 to Oct 1, 2009 was tested for ARCH effect. The results showed that transfer effects do exist between TWSE, TAIFEX and MSCI Taiwan Index Futures.
| Identifer | oai:union.ndltd.org:TW/099AU000744011 |
| Date | January 2011 |
| Creators | Chih-Hao Tsai, 蔡志豪 |
| Contributors | Chun-Long Huang, 黃俊龍 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 55 |
Page generated in 0.007 seconds