碩士 / 銘傳大學 / 財務金融學系碩士在職專班 / 103 / This study deploys time series models for the pre-and post-financial tsunami crisis samples, to explore the causal relationship between the rate of return and the dynamic effects of the process for the gold spot rate of return, the Taiwan weighted stock index return rate, crude oil spot rate of return and the NT to US dollar exchange rate.
The study find that the results of a single test ADF, raw sequence data for each variable were first-order differential treatment, all could reject the null hypothesis with a single root. The results show the impulse response analysis, and whether or not impacted by the financial tsunami, for the gold spot rate of return, return on Taiwan stock index, crude oil spot rate of return or the NT-US dollar rate of return, by the reaction for their maximum impact, short-term and forward reaction. Gold spot rate of return, return on Taiwan stock index, crude oil spot rate of return and the return rate of the NT-US dollar impact response rendered little change before or after the financial tsunami. From the forecast error variance decomposition results it can be seen that, before the financial tsunami, the Taiwan stock index rate of return was self explanatory at a ratio of about 99.18%; the New Taiwan-US Dollar exchange rate was self explanatory at a ratio of approximately 87.95%. After the financial tsunami TAIEX index rate of return was self-explanatory at a ratio of about 96.96%, indicating that the TAIEX stock index spontaneous/independent rates of return are very high, and are not easily affected by other variables. The New Taiwan Dollar exchange rate was self-explanatory at a ratio of approximately 77.28%, and was affected by the TAIEX stock index rate of return some 16.65%. The results show that regardless of whether the financial tsunami occurred, the TAIEX stock index had a very highly spontaneous/independent rate of return, which was not easily affected by other variables.
| Identifer | oai:union.ndltd.org:TW/103MCU05214004 |
| Date | January 2015 |
| Creators | Yi-Ming Wang, 王一銘 |
| Contributors | Tzu-Ping, Ho, 何祖平 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 71 |
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