A Study on Interactive, Systematic and Industrial Effect among Taiwan Stock Exchange Sector Index of Electronic, Financial and Construction Industry
| Autor: | Chang-Di Lin, 林常棣 |
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| Rok vydání: | 2018 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 This paper researched systematic, industrial effect and interaction between electronic, financial and construction stock exchange sector index in Taiwan. We can learn more about efficiency of financial market and features of sector stock price index. Empirical results of this paper can also be used to do economic analysis and investment decision-making. This research used monthly data ranging from March 1999 to August 2017. This paper used unit root test, cointegration test, vector autoregression model, vector error correction model, Granger causality test, impulse response function and variance decomposition to do empirical study. Empirical results showed that electronic sector index isn’t influenced by any explanatory variable. Financial sector index is negatively influenced by lag2 of itself and positively influenced by lag1 of construction sector index, lending rate of five major banks and new loan of five major banks. Construction sector index is positively influenced by lag1 of itself and electronic stock. Based on results of Granger causality test, all the explanatory variables don’t have leading electronic sector index, while construction sector index and lending rate of five major banks have leading effect financial sector index. Electronic sector index has leading effect on construction sector index. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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