| dc.description.abstract | Taiwan is an island state which relies heavily on foreign trade. The market of the foreign exchange plays an important role in Taiwan. However, there are many uncertainties in the foreign exchange market. Investors are hardly to predict the exchange rate and it will affect related industries by major fluctuations in the exchange rate. Therefore, this research focus on the dynamic interactions among the inter-relationships among the rate of changes in USD/TWD exchange rate（TWDP）, the rate of changes in USD/KRW exchange rate（KRWP）, the rate of changes in TWSE Capitalization Weighted Stock Index（TWSIP）, the rate of changes in U.S. Dollar Index（USDIP）, and the rate of changes in Net Buy/Sell of Foreign Investors（FBSP）. A total of 240 monthly observations, ranging from January 2001 to December 2020, are collected. Data analytical methods include unit root test, Granger causality test, and vector autoregressive model, and impulse response function. The empirical findings are summarized as follows:
The Granger causality tests show that FBSP would affect TWDP and TWSIP; KRWP would affect TWDP；TWSIP would affect KRWP. And there is an interaction between KRWDP and USDIP. From the aspect of Vector Autoregression model, the results show KRWP will have negative effect on TWDP; TWSIP will have negative effect on KRWP; USDIP will have positive effect on KRWP; FBSP will have positive effect on TWSIP, and KRWP will have negative effect on USDIP. | en_US |