185927
博碩士論文
Chih-pin Chang, 張志賓
碩士 / 雲林科技大學 / 財務金融系碩士班 / 99 / This study examines the correlations among the index of A shares, H shares, Dow Jones, Taiwan, United States dollar exchange rate, petroleum and gold. The research data comprise 2276 daily closing prices of the ten-year period, January 1, 2000 to June 30, 2010, of the seven markets. Granger causality test and vector autoregression (VAR) model are employed to investigate the dynamic relationship among the markets. The empirical results demonstrate that: (1) petroleum...