碩士 / 國立雲林科技大學 / 財務金融系碩士班 / 101 / The purpose of this research is to compare the return inter-relationships among the stock indices of Taiwan, Japan, Hong Kong and Singapore, all of which experienced global financial crisis in 2007. The sample period of this study is from January 1, 2005 to December 31, 2011. Dividing into pre-crisis (January 1, 2005 to February 21, 2008) and post-crisis (February 22, 2008 to December 31, 2011). We use Unit Root Test, Granger Causality Test and Vector Autoregressive model (VAR). Empirical results show that Singapore stock market’s influence on the Asian stock markets does exist. Before the financial crisis, Taiwan, Japan, Hong Kong and Singapore stock markets generally exists two-way feedback, however, after the financial crisis, they do not exist. Nikkei 225 index affected by TAIEX and Straits Times Index tends to be smaller, but the affect by Hang Seng Index is increasing. TAIEX and Hang Seng Index are more affected by other stock markets, and the Straits Times Index''s influence has gradually strengthened, which is worthy of the continuous attention by the follow-up studies.
| Identifer | oai:union.ndltd.org:TW/101YUNT5304036 |
| Date | January 2013 |
| Creators | Lien-Fu Hsiao, 蕭連福 |
| Contributors | Jack J.W Yang, 楊踐為 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 86 |
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