全球股市波動對台灣的影響

The Impact Of The Global Stock Market Fluctuations On Taiwan

黃詩惠(Shih-Hui Huang)

指導教授 ： 鎮明常

國立中正大學/管理學院/企業管理學系/碩士(2012年)

並列摘要

The study chose 23 countries’ stock price of Asia, Europe and America to do the empirical analysis. This research study the six months before and after the financial tsunami, the six months before and after the European debt crisis.

The study find the correlation coefficient after the financial tsunami between Taiwan and other countries are significantly higher than the correlation coefficient before the financial tsunami. Besides, the interaction of the rate of the return between Taiwan and other countries all over the world increases significantly, but the debt crisis in Europe affect the interaction of stock markets no significantly. According to the Granger causality test, the relationship between countries increases after the financial tsunami. However, there is no a dramatic change after the debt crisis in Europe.

並列關鍵字

the stock market fluctuations ； financial tsunami ； debt crisis in Europe ； correlation coefficient ； VAR ； Granger causality test

參考文獻

Chiu, Lee & Tzon, 2005, “Impacts of Asian Financial Crisis on the co-movements across stock markets volatility in ARJI model”, Tamsui Oxford Journal of Economics and Business, vol.13, pp.1-22.

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Cheng & Mak, 1992, “ The international transmission of stock market fluctuation between the developed markets and the Sian-Pacific markets”, Applied Financial Economics, vol.2, pp.43-47.

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