The analysis of Taiwan stock index,Hang Seng China Stock index and China-concept Stock index
| Autor: | Po-Jen Tsai, 蔡博任 |
|---|---|
| Rok vydání: | 2005 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 93 The China Concept Stock is the popular issue in the stock market. The purpose of this study was to explore (1) the relationship between Taiwan Chinese stock index (TW) ､Hang Seng China stock index （HK）and China-concept stock index. To find the lead-lag relation and the efficiency of the market. The research period is from 2002/1/1 to 2004/12/31，725 daily data was calculated. Empirical results are summarized ac follows： 1.The finding form unit root test and cointegration test is the three index is no long-run relationships. 2.In addition, Granger''s Casuality test suggests that the Taiwan stock index is the dominant role in the three collected index. 3.The result of Impulse Response Analysis finds the relations of the Taiwan stock index is stonger than Hang Seng China index and Taiwan China-concept index. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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