Abstract
This paper tries to explore the relationship between Taiwan stock market and commodity market and American stock market. There are six variables with total 213 observations for each variable by using monthly data from the periods of October 1997 to June 2015. Model 1 examines commodity market including gold price? LLG?, crude oil price?WTI?, USD index ?USDX?and Taiwan stock market. Model 2 adds American stock market, Dow Jones Industrial Average? DJIA? and NASDQA.The results on Ordinary Least Squares? OLS? showed that USDX has significant negative impact on Taiwan stock market in model 1. However, in Model 2 showed WTI and USDX have significant negative impact but NASDAQ has positive significant impact on Taiwan stock market. The results of Unit Root test demonstrated that all variables are not stationary series in its original numbers, but they become I (1) stationary series after First Difference. In addition, the results of Johansen Cointegration showed that there are no cointegration relationship on both models, but there is on-way leading relationship for Taiwan stock market on WTI, DJIA and NASDAQ from Granger Causality test.From Impulse Response Analysis, the results showed that Taiwan stock market has negative impulse response on USDX and WTI while it has positive impulse response on LLG, DJIA and NASDAQ, and the impulse lasted for 4 periods. Finally, the results of Forecast Error Variance Decomposition showed there are high self- explanation powers for all variables on both models and NASDAQ has the most influence from DJIA and Taiwan stock market in model 2.