The Impact of Financial Crisis on the Dynamic Relationship between Taiwan Stock and Bond Markets
| Autor: | Yung-Lin Chen, 陳泳霖 |
|---|---|
| Rok vydání: | 2010 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 98 This study examines the dynamic relationship between Taiwan stock and bond markets before and after the financial crisis in 2007. We employ volatility, return and liquidity datum of both stock and bond markets and analyze them by using Unit Root test, Johensen Co-integration test, VAR model, VECM model, Granger Causality test, and Impulse Response Function. Our empirical results are as below： 1. Co-intergration exits in Taiwan stock and bond markets before and after the financial crisis in 2007. 2. Both the characteristic of “flight-to-quality” and “volatility spillover effect “ exist in Taiwan stock and bond markets. 3. The more severe the financial environment is, the higher the correlations between stock and bond markets are. Evidence shows that there are three feedback relations in Taiwan stock and bond markets during the financial crisis. 4. When the economic growth is stable, the best selection for investors is to increase equity proportion in the portfolio. Otherwise, using stock-bond balanced strategy is a good way to hedge risk when markets are quite volatile. 5. According to the results of Impuslse Response Function, we conclude why stock and bond traders will take different actions under different market conditions. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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