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    題名: THE STUDY ON THE NON-LINEAR DYNAMIC CAUSAL RELATIONSHIPS BETWEEN CONSTRUCTION INDEX AND ITS MATERIALS INDEXES
    作者: Wang, Yih-Chang;Huang, Ran;Nieh, Chien-Chung;Weng, Tsai-Lung
    關鍵詞: asymmetric threshold co-integration model;stock market;construction index;cement index;steel index
    日期: 2016-06-01
    上傳時間: 2016-11-26 02:10:36 (UTC+8)
    出版者: 臺灣海洋大學
    摘要: This paper aims to examine the short-run and long-run nonlinear dynamic relationship between indexes of construction and cement or steel in the Taiwan stock markets over the 1995- 2011 periods. In addition to traditional linear co-integration tests, the threshold co-integration and asymmetric threshold error-corrrection models (TECM) suggested by Enders and Siklos (2001) are used. Linear co-integration tests reveal no co-integration between the construction index and either of the cement and steel indexes, while threshold co-integration tests show existence of the co-integration relationship and asymmetric adjustment. Further analysis from TECM Granger causality tests finds evidence of a bi-directional causality between cement index and construction index, and a unidirectional causality going from steel index to construction index. These findings have important implications for the investors in the Taiwan stock markets.
    關聯: Journal of Marine Science and Technology 24(2), pp.210-221
    DOI: 10.6119/JMST-015-0818-2
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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