EXPLORE THE IMPACT OF THE TRADING VALUE , THE OIL PRICE AND QUANTITATIVE EASING POLICY ON THE TAIWAN AND KOREA STOCK MARKET RETURN WITH QUANTILE REGRESSION
Journal Title: Asian Economic and Financial Review - Year 2017, Vol 7, Issue 1
Abstract
This paper aims to apply the quantile regression analysis to explore the impacts of the stock market trading value, change in international oil prices, and the US implementation of Quantitative easing monetary policy on Taiwan?s and Korea?s stock index returns. This study is in accordance with the 2008 US implementation of quantitative policy to conduct research on 53-month data collected from April 2004 to February 2013 in order to explore the differences between before and after the US implementation of quantitative policy. The results find that under situations of high distribution of stock index returns, Taiwan?s and Korea?s stock markets reveal the same phenomenon of ?the stock price increases and the trading volume rises, the stock price declines and the trading volume descends?. Meanwhile, under situations of low distribution of stock index returns, the Korea?s increasing stock trading value will cause stock index returns to fall. Noteworthy, under situations of low distribution of stock index returns, oil price changes are found to have positive effects on Taiwan?s and Korea?s stock index returns. Finally, the US implementation of quantitative easing monetary policy is indicated to have non-significant influence on Taiwan?s and Korea?s stock index returns. Further investigating whether there are inconsistencies before and after the implementation of quantitative policy regarding the impacts between these two nations? stock trading values and oil price changes on stock index returns, the results show no differences.
Authors and Affiliations
Tzu-Kuang Hsu| Department of International Business, Chung Hua University 707, Sec. 2, WuFu Rd., Hsinchu 300, Taiwan R.O.C., Chin-Chang Tsai*| Ph.D. Program of Technology Management, Chung Hua University 707, Sec. 2, WuFu Rd., Hsinchu 300, Taiwan R.O.C.
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