碩士 / 大葉大學 / 國際企業管理學系碩士班 / 102 / The study analyzed that the effect of stock market within Hong Kong, China, and Taiwan and the long run equilibrium relationship after signing ECFA. The studied method adopt VAR(Vector Autoregression Model) and the studied targets are individually Shanghai Synthesis Index, Shenzhen Synthesis Index, Hang Seng Index-Hong Kong, and TAIEX. The studied period is Jun.29, 2010 to Mar. 31, 2014. After signing ECFA, Discussion related to long-run equilibrium relationship for, found between Taiwan and the Chinese stock market, Hong Kong and Taiwan stock market, Hong Kong and Shanghai between two stock market, both long-term equilibrium relationship.
Unidirectional causality, the Hong Kong stock market also affected Taiwan's stock market the previous period's negative impact; Shanghai stock market only by the negative impact of the previous period the Taiwan stock market; Shenzhen stock markets were negatively affected by the former Taiwan and Hong Kong stock market; Taiwan stocks were subject to the previous period of negative effects Shanghai and Shenzhen stock markets.
Bi-directional causality,Hong Kong and Taiwan stock market exists bidirectional causality, the study found positive effects on the Hong Kong stock market in Taiwan, and Hong Kong stock market has negatively affected the Taiwan stock market, the reverse of this two-way relationship, also appears in the Shanghai and Shenzhen stock market, Shenzhen stock market positively influence Shanghai stock market, while the Shanghai stock market has a negative impact Shenzhen stock market, this part deserves special attention of investors.
| Identifer | oai:union.ndltd.org:TW/102DYU00321028 |
| Date | January 2014 |
| Creators | LO, CHEN-YI, 羅振益 |
| Contributors | Chen, Mei-Ling, 陳美玲 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 51 |
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