부산대학교 도서관

In the impact of global financial tsunami, it has influenced the global finance and economy severely, global stock market also suffered a blow in 2008, the index falls like 'Free-Falling Objects', of course it’s inevitable for Taiwan Stock Market. However, what actually the factors are inseparable between the stack market volatility? In this study, it researched on background of our familiar Taiwan's financial markets. Different from the past studied method, after completing whole section during the studied period. The data have divided into “Stock up Section” and “Stock down Section”, and then implement respectively of the same steps. Furthermore, to cross validation with the results of these sections. There are 1777 data in the whole sections, 1512 data in the stock up section, and 266 data in the stock down section. Some of sections have definite data, and also have some reference on the individual results of the analysis. However, after crossing validation, there are some discrepancies of these sections. *Studying Period (Day): 1. Whole section (Data 1): 2. Stock up Section (Data 2): 3. Stock down Section (Data 3) *Studying Variable – TAIEX (T) 、Interest Rate (I)、Exchange Rate (E)、Money Supply (M)、Trading Volume(V) 。 It used the statistical method of ADF test、Granger test、VAR(Vector Autoregression Model) to proceed of study the relevance on TAIEX (T)、Interest Rate (I)、Exchange Rate (E)、Money Supply (M)、Trading Volume(V) , in order to comprehend all data for influence on Taiwan Stock Market. In this study, the implementation by individual real diagnosis of analysis with 3 sections, it proceeds the cross validation eventually, all tests have diverse consequence; “Overnight Interbank Call-Loan Rate” has no any obvious influence on Taiwan Stock Market, However, both of “Exchange Rate” and “Trading Volume” have distinct and positive effects, and impact on the incoming Stage 1 ＆ Stage 2, “Money Supply” –MIB has a clear effect as well for the incoming Stage 2 and Stage 3. Even it affects the incoming Stage 4 ~Stage 6.