ISSN 2167-0439
International Journal of Management and Business Studies ISSN 2167-0439 Vol. 10 (2), pp. 001-006, February, 2020. © International Scholars Journals
Full Length Research Paper
Appling new hybrid model to evaluate dynamic relationship in high-tech Industries
Yi-Hsien Wang
Department of Banking and Finance, Chinese Culture University, No.55, Hwa-Kang Road, Yang-Ming-Shan, Taipei, Taiwan 11114, Republic of China. E-mail: [email protected].
Accepted 19 May, 2019
Abstract
Investigating dynamic relationship among stock markets has received considerable attention by both academics and practitioners. Hence, this study presents new integrated model, Grey-VAR Model, to modify Granger causality test procedure that can investigate dynamic relationships of high-tech industries. These results provide evidences that there exist the short-term equilibrium relationship of high-tech industries and the investors can alter portfolio allocation.
Key words: VAR, grey model, dynamic relationship, impulse response.