A study on the Impact of the Global Financial Crisis on the Taiwan Stock and Foreign Exchange Markets

[[abstract]]2007年7月美國次級房貸風暴的發生，影響全球經濟，造成2008年下半年度嚴重的全球金融危機，使各國股市及金融市場大幅下挫。本研究運用t檢定與F檢定以檢測全球金融危機對於台灣加權股價指數、台灣加權股價指數報酬、台灣加權股價指數成交量、台灣加權股價指數成交值，以及即期匯率、即期匯率報酬及即期匯率成交金額的影響。研究期間從2008年3月到2009年6月期間內共133筆樣本。 在實證結果方面，本研究發現在全球金融危機嚴重時期，台股投資人確實有看空未來股市走勢的現象。且股市處於大空頭時期，股市成交量、成交值圴顯示出現大幅減少現象。在美金對台幣而言，新台幣在全球金融危機嚴重時期之後持續出現貶值現象，外匯成交金額也減少。由此些實證結果得知，此次全球金融危機對於台灣股市與匯市確實造成顯著的影響。[[abstract]]The American subprime mortgage caused serious world economic recession and global financial crisis Hence the stock and financial markets dropped dramatically in the whole world This study examines the impact of the global financial crisis on the Taiwan stock and foreign exchange markets using t-test and F-test The study period is from March 2008 to June 2009 including the crucial period owing to the global financial crisis (a total of 133 observations) Empirical results indicate that investors expected that the Taiwan stock market would decline during the crucial period from September 2008 to December 2008 Additionally the New Taiwan dollar has continuously depreciated against the US dollar and foreign exchange trading volume decreased dramatically during the crucial period These results suggest that the global financial crisis has significant influence on the Taiwan stock and foreign exchange market