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Taiwan is a country oriented by exporting which occupies aggregate demand more than 30%.We can agree with it, the changing of domestic economic is connecte close economicof global industrial countries, especially for USA and HK.And also the investment growth rate between Taiwan and Mainland China grows with a high speed. Invest environment in Mainland China have already became one of the popular abroad investing area of Taiwan. The aim of this paper is to explore the causality correlation among these equity markets shows the strong trading connection with Taiwan. And the correlation of stock index of high tech. Industrial between Taiwan and America is the second point to explore in our study. Owing to the relationship of supply and demand, the causality between upstream and downstream of the same electric industrial is also our purpose to explore by using new model and methodology of VARMA and conditional correlation.. The empirical result are as following: (1) There exist unidirectional causality relationship between stock index of TWN and USA. However, the conditional correlation does not strong enough. There exist the feedback causality correlation between stock index of TWN and HK; and there do not exist any relationship in stock markets between TWN and M. China. (2) There exist causality relationship between stock index of high tech. Industrial in TWN and USA, especially between NASDAQ Electric Stock Index and Taiwan Electric Stock Index. (3) There have causality relationship between midstream stock index and downstream stock index in semicondusto. There also have causality relationship between upstream stock index and downstream stock index and downstream stock index in Desk-Computer industrial and Note Book industrial.
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