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研究生:Jeffri Bundo
研究生(外文):Jeffri Bundo
論文名稱:U.S. Macro Economy Data, And Market Reactions: Evidence from the Major Stock Markets In 3 Continents Of The World (Asia, America, And Europe)
論文名稱(外文):U.S. Macro Economy Data, And Market Reactions: Evidence from the Major Stock Markets In 3 Continents Of The World (Asia, America, And Europe)
指導教授:羅德謙羅德謙引用關係
指導教授(外文):Te-Chien Lo
口試委員:蔡明宏翁培師
口試委員(外文):Min-Hung TsayPei-Shih Weng
口試日期:2019-12-13
學位類別:碩士
校院名稱:國立東華大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2019
畢業學年度:108
語文別:英文
論文頁數:56
外文關鍵詞:the Fed Funds Rate (FFR)U.S. Non-Farm PayrollU.S. CPIGold Pricethe Volatility Index (VIX)U.S. consumer confidenceNikkei Index (N225)Dow Jones Industrial Average IndexFinancial Times Stock Exchange 100 Index (FTSE)Interactionthe Fed Funds Rate (FFR)U.S. Non-Farm PayrollU.S. CPIGold Pricethe Volatility Index (VIX)U.S. consumer confidenceNikkei Index (N225)Dow Jones Industrial Average IndexFinancial Times Stock Exchange 100 Index (FTSE)Interaction
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This Thesis investigates how the several conditions (VIX, and U.S. consumer confidence) affect a positive (or negative) nexus of the Fed Funds Rate (FFR), and the U.S. Non-Farm Payroll to major stock markets in 3 continents of the world (Asia, America, and Europe). This Thesis find that Fed Funds Rate (FFR) has positive significant impact to Nikkei index (N225), Dow Jones Industrial Average Index (DJI) and Financial Times Stock Exchange 100 Index (FTSE) from 1997, January until 2018, December. While, U.S. Non-Farm Payroll has positive significant impact to Nikkei index (N225), Dow Jones Industrial Average Index (DJI) and Financial Times Stock Exchange 100 Index (FTSE) from 1997, January until 2018, December. But, during 2008 financial crisis, it present contrary result. This Thesis find that Fed Funds Rate (FFR) has negative significant impact to Nikkei index (N225), Dow Jones Industrial Average Index (DJI) and Financial Times Stock Exchange 100 Index (FTSE). As we known, during 2008 financial crisis, U.S. Central bank (the Federal Reserve) applied Quantitative Easing policy, in order to lift U.S. economy out of financial crisis. It might be the possible reason why Fed Funds Rate (FFR) has negative significant impact to Nikkei index (N225), Dow Jones Industrial Average Index (DJI) and Financial Times Stock Exchange 100 Index (FTSE) during 2008 financial crisis. In other hand, U.S. Non-Farm Payroll still has positive significant impact to Nikkei index (N225), Dow Jones Industrial Average Index (DJI) and Financial Times Stock Exchange 100 Index (FTSE).
List of Tables vi
List of Figures viii
Chapter 1: Introduction 1
Chapter 2: Literature Review 5
2.1 The Fear Gauge: the Volatility Index (VIX) 9
2.2 U.S. Consumer confidence 11
Chapter 3: Research Methodology 14
3.1 Data Sources 14
3.2 Methodology 14
3.2.1 Model specifications 15
3.2.1.1 Model 1 15
3.2.1.2 Model 2 15
3.2.1.3 Model 3 16
3.3 Framework 18
3.3.1 Model 1 18
3.3.1.1 Benchmark Model 18
3.3.1.2 Conditional Model 18
3.3.2 Model 2 19
3.3.2.1 Benchmark Model 19
3.3.2.2 Conditional Model 19
3.3.3 Model 3 19
3.3.3.1 Benchmark Model 19
3.3.3.2 Conditional Model 20
3.4 Conditional Hypotheses 20
Chapter 4: Emphasized Results 21
4.1 Descriptive Statistics 21
4.1.1 Summary Statistics 21
4.1.2 Correlation 21
4.1.2.1 Model 1 21
4.1.2.2 Model 2 22
4.1.2.3 Model 3 22
4.1.3 Normality test 22
4.2 Benchmark Model 23
4.3 Multicollinearity test 26
4.3.1 Model 1 26
4.3.2 Model 2 26
4.3.3 Model 3 26
4.4 Conditional Model 27
4.4.1 Model 1 27
4.4.2 Model 2 29
4.4.3 Model 3 31
4.5 Robustness test 32
4.5.1 During and after 1997 Asian financial crisis (1997 – 2007) 33
4.5.1.1 Benchmark model 33
4.5.1.2 Conditional Model 34
4.5.1.2.1 Model 1 34
4.5.1.2.2 Model 2 36
4.5.1.2.3 Model 3 37
4.5.2 During and after the 2008 financial crisis (2008-2018) 39
4.5.2.1 Benchmark model 39
4.5.2.2 Conditional Model 40
4.5.2.2.1 Model 1 40
4.5.2.2.2 Model 2 42
4.5.2.2.3 Model 3 43
4.5.2.2.4 Does FED really has negative effect to dependent variable
(N225, DJI, and FTSE) during 2008, January until 2018,
December? 45
4.5.2.2.4.1 From 2008, January until 2014, May 45
4.5.2.2.4.2 From 2014, June until 2018, December 48
Chapter 5: Conclusion 51
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