全球八大工業國股市動態關聯之分析 -以近年重大事件發生為例;The relationship of the stock market at the G8 countries

NCUIR > School of Management at National Central University > Executive Master of Industrial Economics > Electronic Thesis & Dissertation > Item 987654321/65470

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Title:	全球八大工業國股市動態關聯之分析 -以近年重大事件發生為例;The relationship of the stock market at the G8 countries
Authors:	李俊謀;Lee,Chun-mou
Contributors:	產業經濟研究所在職專班
Keywords:	八大工業國;長期共整合;短期因果關係;衝擊反應;G-8;Cointegration;Causality;Impulse Responses
Date:	2014-07-28
Issue Date:	2014-10-15 15:32:10 (UTC+8)
Publisher:	國立中央大學
Abstract:	本研究以道瓊工業指數、加拿大指數、富時100指數、CAC40、DAX指數、FTSE Italia、RTS指數與Nikkei225指數之全球八大工業國(G-8)為研究標的，以美國發生金融海嘯與歐洲主權債危機之前、後股市動態關聯之研究，利用向量誤差修正模型 (VECM) 架構，分別研究在美、歐兩事件對八大工業國股市之長期共整合與短期因果關係變化。研究結果發現，在經過一階差分後，指數資料呈現定態。在長期共整合分析下，發現國際市場產生長期均衡的改變。短期因果關係中發現，金融海嘯後美國股市在市場上具有絕對的領導力量。衝擊反應分析也可以發現金融海嘯後，短期資訊傳導效率由弱轉強等結論。;The purpose of this study is to investigate the relationship of the stock market at the G8 countries, By employing the popular time series techniques, including unit root test, Johansen’s cointegration analysis, vector error correction model, as well as Granger causality test, and impulse response function, the empirical daily data from January 1 , 2003 to December 31, 2013. Data was collected from the Dow Jones, Canada, FTSE100, CAC40, DAX, FTSE Italia, RTS and Nikkei225. In conclusion, the results present the all series become stable after first difference. The G8 index from cointergration test after financial crisis is in a long-term integrated correlation. Causality test suggests that the Dow Jones stock market is leading as an indicator after financial crisis and information transmission has became stronger in the short-term.
Appears in Collections:	[Executive Master of Industrial Economics] Electronic Thesis & Dissertation

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