Ấn phẩm:
The Relationship Among Gold, Crude Oil, The Us and Taiwans Stock Market
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This paper tries to explore the relationship between Taiwan stock market and commodity market and
American stock market. There are six variables with total 213 observations for each variable by using
monthly data from the periods of October 1997 to June 2015. Model 1 examines commodity market including
gold price?LLG?, crude oil price?WTI?, USD index ?USDX?and Taiwan stock market. Model 2 adds American
stock market, Dow Jones Industrial Average?DJIA?and NASDQA.
The results on Ordinary Least Squares?OLS?showed that USDX has significant negative impact on Taiwan
stock market in model 1. However, in Model 2 showed WTI and USDX have significant negative impact but NAS
DAQ has positive significant impact on Taiwan stock market. The results of Unit Root test demonstrated that all
variables are not stationary series in its original numbers, but they become I(1) stationary series after First
Difference. In addition, the results of Johansen Cointegration showed that there are no cointegration relationship
on both models, but there is on-way leading relationship for Taiwan stock market on WTI, DJIA and NASDAQ
from Granger Causality test.
From Impulse Response Analysis, the results showed that Taiwan stock market has negative impulse response
on USDX and WTI while it has positive impulse response on LLG, DJIA and NASDAQ, and the impulse lasted for
4 periods. Finally, the results of Forecast Error Variance Decomposition showed there are high self-explanation
powers for all variables on both models and NASDAQ has the most influence from DJIA and Taiwan stock mar
ket in model 2.
Mô tả
Năm xuất bản
2018
Tác giả
Lin, M. K.
Chen, H. F.
Chen, K. S.
Nhà xuất bản
Trường Đại học Thương mại
Bộ sưu tập
Tệp tin
v6n2-b6pdf-1731570911.pdf
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