| dc.description.abstract | The purpose of this study is to find out the relationships among the four indexes of pre-and-post Economic Advisory Conference (EDAC) : Taiwan Weighted Stock Index (TAIEX) , Taiwan Index Futures (TX), Taiwan Stock Exchange Electronic Sector Index and Taiwan Stock Exchange Finance Sector Index. We would try to investigate the Cointegration Test and Granger Causality Test by Econometric methodology. The data was from weekly data of July 24, 1998 to December 29, 2006. With the Economic Advisory Conference held in August 2001, this study divided the data into three sets: the whole data (July 24, 1998 to December 29, 2006), pre-EDAC (July 24, 1998 to August 31, 2001) and post-EDAC (September 7, 2001 to December 29, 2006) to examine. The empirical results are described as follows:
1. Unit root results: The null hypothesis of unit root can’t be rejected at the 1% significant level for all indexes series. The unit root analysis implies that the index series are individually integrated of order one, I(1). Therefore, we ascertain that the series of TAIEX, TX, Taiwan Stock Exchange Electronic Sector Index and Taiwan Stock Exchange Finance Sector Index are same as I(1) which matches the random walk.
2. Cointegration results: No matter which period we chose, the variables of TAIEX and TX are with cointegration relationship. It presents that the investors can’t gain the extra profits from the index co-movement as well as reflects the lead-lag relationship between two indexes.
3. Error correction results: TAIEX and TX exist the non-balance effect in the short run. However, after the adjustment from the error correction model, it becomes balance.
4.Granger Causality Test results: No mater which period we chose, it is significantly with Causality relationship between TAIEX and TX. While Taiwan Stock Exchange Finance Sector Index and Taiwan Stock Exchange Electronic Sector Index are more significant in Causality relationship while the number of lag is extended. | en_US |