The relationship among Yen, NT exchange rate, stock price and foreign capital movements in Taiwan.
| Autor: | Ting-Kuo Liu, 劉定國 |
|---|---|
| Rok vydání: | 1999 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 87 This paper examines the relationship among Yen, NT exchange rate, stock price and foreign capital movements in Taiwan. Our sample spans the period from January 1993 to December 1998. First, We apply VAR models to investigate the Yen change rate impact among NT change rate, stockprice return rate, and foreign capital buy/sell change rate .Second, With Johansen cointegration technique and error-correction model（ECM）,we to investigate the long-run equilibrium relationship and short-run dynamic adjust process among Yen, NT exchange rate, stock index and foreign capital inflows/outflows. The study get the following results： 1.Both the Yen and NT exchange markets have information delivering efficiency and same impact direction. All of the Yen, NT change rate and stock price return rate have impact on the foreign capital buy/sell change rate. 2.The Yen exchange rate have most strongly exogen. If Yen and NT exchange rate could be maintained stably, the volatility between foreign capital buy/sell change rate should be reduced. 3. According to the influence of those variables, there exists long-run equilibrium relationship among Yen, NT exchange rate, stock index and foreign capital inflows/outflows. 4.Both the Yen and NT exchange rate have the phenomenon of one way causality to stock index, while there exists feedback effect between foreign capital inflows/outflows. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|