The relationship among stock price, exchange rate and foreign investors in Taiwan
| Autor: | Chih-Ling Su, 蘇稚玲 |
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| Rok vydání: | 2011 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 99 This paper utilizes the time series methods which are Unit Root Test, Cointegration Test, Vector Error Correction Model, Vector Auto Regression, Causality Tests, Impulse Response Analysis, and Forecast Error Variance Decomposition. We used the data from 2003 to April, 2010 to investigate the long-term and short-term interaction between foreign investors import, foreign investors export, the Taiwan stock market and exchange rate around the financial crisis in 2008. Results showed that there was a long-term equilibrium relationship among these variables. Second, there was a one-way causal relationship in Taiwan stock index which ahead of the foreign investor import and foreign investor export. Two-way causal relationship between foreign investor import and foreign investor export were shown. However, no significant casual relationship between exchange rate, stock index, and foreign investor import, as well as export of foreign investor was revealed. When the stock index influenced by itself, exchange rate, and foreign investor import, as well as foreign investor export, not only has more impact on response, also showed the positive impact of foreign investor import, the exchange rate impact is negative, and the decreasing effects produced as time shown convergence phenomenon. The change of stock index has higher explained ability in explaining the reasons about fluctuations in exchange rate, foreign investors import and export. On the other hand, the variance of the exchange rate, foreign investor import and export on Taiwan stock index was weak and could not influence the trend of the stock. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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