To Investigate the Relationship between Stock Exchange Price and Exchange Rate－Taking Taiwan Stock Exchange Electronic Indexes as an Example
| Autor: | Chiann-Chiann Wu, 吳茜茜 |
|---|---|
| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 Taiwan itself is a shallow domestic economics and this district depends heavily upon international trade and investment flows to maintain its economic growth and standard of living. The main economic activity is engaged in international business. While involving with international economics closely, increasing link of district’s economics daily, and resulting in internationalization of Taiwan stock market rapidly, the external factors become more and more important to influence variation of Taiwan stock market. Stock market is an epitome of economic development and plays an important role. When the value of stock market is extensive, we assume economic development is growing fast. Since last few years, the government has permitted Securities Agent to apply establishment, relaxing foreign capital’s restrictions to invest domestic stock market and releasing foreign exchange control that helps the rate of domestic stock market investment going up. When foreign capital flows in or out, it brings a huge wave in the Taiwan stock market. So, Domestic and foreign investors and fund managers evaluate and conduct stock investment policy, and they try to avoid investment risk through exchange rate in foreign exchange market. Thus, the changeable waves between stock and foreign exchange market are very close. This study mainly takes Taiwan Weighted Stock Index, Taiwan Stock Exchange Electronic Indexes and Exchange Rate as an example, utilizes non-linear mode, and researches transmitting effect among Taiwan Weighted Stock Index Returns, Taiwan Stock Exchange Electronic Indexes Returns and Exchange Rate from January 1, 2001 to December 31, 2005. This research utilizes KSS, Unit Root Test to test non-linear qualitative relationship, and takes Threshold Autoregressive Model and Momentum-Threshold Autoregressive Model to process Threshold Cointegration Test. Moreover, using Threshold Error-Correction Model Test analyze long-term asymmetric relationship and transmitting effect among Taiwan Weighted Stock Index Returns, Taiwan Stock Exchange Electronic Indexes Returns and Exchange Rate Returns. The result of study is as follows: Taiwan Weighted Stock Index Returns, Taiwan Stock Exchange Electronic Indexes Returns and Exchange Rate Returns exist threshold Cointegration asymmetric relationship and this means three variations have non-linear relationship under long-term balance. In the threshold Error-Correction Model, the experimental result between three variations is roughly the same except the Taiwan Weighted Stock Index returns to Taiwan Stock Exchange Electronic Indexes Returns and Exchange rate Returns which did not have obvious influence. The strike of Taiwan Weighted Stock Index returns to Taiwan Stock Exchange Electronic Indexes Returns is negative; however, the strike of Taiwan Weighted Stock Index returns to Exchange rate Returns is positive. On the other hand, the strike of Exchange rate Returns to Taiwan Stock Exchange Electronic Indexes Returns is negative, and the strike of Exchange rate Returns to Exchange rate Returns is negative. In the long-term balance relationship, three variations deviate long-term balance, it will back to balance status automatically. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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