THE STUDY ON THE NON-LINEAR DYNAMIC CAUSAL RELATIONSHIPS BETWEEN CONSTRUCTION INDEX AND ITS MATERIALS INDEXES

Authors

Yih-Chang Wang, Department of Harbor and River Engineering, National Taiwan Ocean University, Keelung, Taiwan, R.O.C.Follow
Ran Huang, Department of Harbor and River Engineering, National Taiwan Ocean University, Keelung, Taiwan, R.O.C.
Chien-Chung Nieh, Department of Banking and Finance, Tamkang University, New Taipei, Taiwan, R.O.C.
Tsai-Lung Weng, Department of Institute of Engineering Management, Tatung University, Taipei, Taiwan, R.O.C.

Abstract

This paper aims to examine the short-run and long-run nonlinear dynamic relationship between indexes of construction and cement or steel in the Taiwan stock markets over the 1995- 2011 periods. In addition to traditional linear co-integration tests, the threshold co-integration and asymmetric threshold error-corrrection models (TECM) suggested by Enders and Siklos (2001) are used. Linear co-integration tests reveal no co-integration between the construction index and either of the cement and steel indexes, while threshold co-integration tests show existence of the co-integration relationship and asymmetric adjustment. Further analysis from TECM Granger causality tests finds evidence of a bi-directional causality between cement index and construction index, and a unidirectional causality going from steel index to construction index. These findings have important implications for the investors in the Taiwan stock markets

Recommended Citation

Wang, Yih-Chang; Huang, Ran; Nieh, Chien-Chung; and Weng, Tsai-Lung (2016) "THE STUDY ON THE NON-LINEAR DYNAMIC CAUSAL RELATIONSHIPS BETWEEN CONSTRUCTION INDEX AND ITS MATERIALS INDEXES," Journal of Marine Science and Technology: Vol. 24: Iss. 2, Article 15.
DOI: 10.6119/JMST-015-0818-2
Available at: https://jmstt.ntou.edu.tw/journal/vol24/iss2/15