碩士 / 嶺東科技大學 / 財務金融研究所 / 100 / This research uses AR(1)-GRACH(1,1) model to analyze the impacts of the stock market, from Europe and America, on Taiwan, uses Zivot and Andrews structural changes test to find out the timing points of the structural changes in each country, and investigates the dynamic impacts on European, American and Taiwan stock markets due to the structural changes. It also shows the dynamic relationships between pre-financial-crisis andpost-financial-crisis, based on the stock market activities in Taiwan, America, German, and England, from Jan 1, 2000 to Dec 31, 2011, by selecting the stock market indexes on the dates of common trading from each country, with total 2820 data of daily remuneration.
This study shows that the stock market in America, German or England does impact the Taiwan stock market extreme-positively, which means either country plays a leading role. Secondly, the co-relationship between America and Taiwan, German and Taiwan, or England and Taiwan, separately keeps Taiwan stock market in a long-term balance. Moreover, the impacts on Taiwan stock market from USA, German or England seem
raised since the financial crisis occurred.
| Identifer | oai:union.ndltd.org:TW/100LTC00304012 |
| Date | January 2012 |
| Creators | Cheng,Ching-Hsin, 鄭晶心 |
| Contributors | Yang,Yung-Lieh, 楊永列 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 41 |
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