A STUDY ON THE RELATIONSHIP BETWEEN STOCK INDEX, THE TURNOVER, FINANCING STOCKS AND THE IN/OUT OF LEGAL PERSONS IN TAIWAN USING THE VECTOR AUTOREGRESSION MODEL

Autor: Fuh-min Zeing, 曾富敏
Rok vydání: 2006
Druh dokumentu: 學位論文 ; thesis
Popis: 94
This article using the Vector Autoregression Model (VAR) to study the relationship between Stock Index, the Turnover, Financing stocks and the In/Out of Legal Persons after the rotation of political parties in Taiwan, expecting to provide investors with useful reference for their proposals of investment strategies. For the study result this article concluded as followings: 1.By using the simple root examination, the time sequence of the four items which are stock index, the turnover, number of financing shares and financing pieces present non-stationary state; while the time sequence of the changes in the stock index, the turnover, number of financing shares and financing pieces present stationary state. 2.By the Granger causality relationship examination, we may know the changes of stock index precede the changes in the turnover and financing shares and financing pieces; while the turnover, financing shares and financing pieces, and the sales and purchases of the three measure legal persons have the mutual feedback relationship. 3.Obtaining by the variation number decomposition, if the stock index varied unexpected, except for the influence by itself, the number of financing pieces explains the changes the most; while the unexpected variation occurred in the turnover, financing shares and financing pieces and the sales/purchases of the three measure legal persons, besides the influence by themselves, the stock index explains the changes the most. Among these seven variations, the possibility of inner produced change of turnover is the highest. 4.For the foreign investments in legal persons, their in/out situations compared to the investment and trust institutes and self-owned businesses are unlikely be influenced by the stock index. 5. By the Vector Autoregression model, may know stock index itself not easily other variable influences, but can affect other variables. Therefore the investor might refer the stock index past the trend to do for the turnover field target.
Databáze: Networked Digital Library of Theses & Dissertations
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