碩士 / 雲林科技大學 / 財務金融系碩士班 / 99 / This study examines the correlations among the index of A shares, H shares, Dow Jones, Taiwan, United States dollar exchange rate, petroleum and gold. The research data comprise 2276 daily closing prices of the ten-year period, January 1, 2000 to June 30, 2010, of the seven markets. Granger causality test and vector autoregression (VAR) model are employed to investigate the dynamic relationship among the markets. The empirical results demonstrate that: (1) petroleum price, U.S. dollar, and Dow Jones Industry Average Index affect Taiwan stock ; (2) crude price and Gold price affect Hong Kong stock index: (3) Dow Jones Industry Average Index and Hong Kong stock index affect petroleum price: (4) petroleum price, U.S. dollar exchange rate, Dow Jones Industry Average Index , and Shanghai index affect gold price;(5) Taiwan stock index, petroleum price, gold price, and Dow Jones affect US dollar. Moreover, this study find out that Dow Jones Industry Average index is not affected by any other markets. Neither is Shanghai stock index affected by other markets because the highly independence of Chinese stock market.
| Identifer | oai:union.ndltd.org:TW/099YUNT5304036 |
| Date | January 2011 |
| Creators | Chih-pin Chang, 張志賓 |
| Contributors | Chin-Sheng Huang, 黃金生 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 66 |
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