The Long-Term and Short-Term Impacts of Exchange Rate Variation on Taiwan Stock Market Index - An Application of Transfer Function Time Series Model
| Autor: | HSU,YAO-WEN, 許耀文 |
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| Rok vydání: | 2018 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 In general, a change in exchange rate would affect imports and exports. Does such an effect has a significant impact on the rise or fall of market stock price? This study attempts to explore the long- and short-term effects of the changes of Taiwan dollar exchange rates on the Taiwan stock market index, electronic stock index, and financial stock index. The ultimate goal is to construct a most appropriate forecasting model for the stock market. The sample was from Jan. 2006 to Dec. 2016, a total of 132 monthly data. The transfer function ARIMA model (TFARMA) was adopted to estimate and verify the model parameters and the mean absolute percentage error (MAPE) is computed to evaluate the model accuracy. The findings are as follows: 1. The Taiwan dollar exchange rate has a significant impact on the stock market index in the short- and long-term. The model MAPE is 3.98% per month. 2. The Taiwan dollar exchange rate has a significant effect on the short- and long-term effects of the Taiwan electronic stock index. The model MAPE is 4.52% per month. 3. The Taiwan dollar exchange rate has no significant impact on the Taiwan financial stock index in the short term; it has a significant effect in the long term. The model MAPE is 5.22% per month. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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