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題名：亞洲股市間的關係--動態過程的檢定
書刊名：亞太管理評論
作者：王毓敏／廖四郎 引用關係／徐守德 引用關係
作者(外文)：Wang, Yu-min／Liao, Szu-lang／Shyu, Sode
出版日期：2000
卷期：5:1
頁次：頁15-27
主題關鍵詞：Ito過程；共整合檢定；誤差修正模型；Ito process；Ito's lemma；Cointegration test；Error correction model
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(3) 博士論文(2) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:29
  • 點閱點閱:26
　　　　　本文的主要目的在於以動態過程討論國際股市間的關係，及決定報酬與波動性的 因素，並以亞洲股市的資料來檢定數個假說。本文的實證假說立基於國際股市間會相互影響 ，以 Ito 過程和隨機微積分導出， 強調股市間的動態關係，與以往以靜態為主的模型有很 大的差異。綜合本文的研究結果，可以歸納為下列幾點結論：(l) 經由共整合檢定，發現美 國和亞洲股市具有共整合的關係。(2) 由誤差修正模型的估計結果，發現股市間具有不同的 長短期關係。(3) 四個決定股市報酬的因素中，交互效果的影響力最大，波動性效果次之， 接著是報酬效果，影響力最小的是動態因素。(4) 股市間波動性會相互影響，但其影響的方 向，則不一致，且影響力也不同。
　　　　　The purpose of this paper is to test the relationships and the factors determining the returns among Asian stock markets through the dynamic process. We use lto processes and stochastic calculus to derive the empirical hypotheses based on the assumption of stock markets affect each other. The model emphasizes the dynamic relationships among stock markets that is different from the static model in the previous literature. We find the following results: (l)American and Asian stock markets are cointegrated from the cointegration test. (2)There exists long-run and short-run relationships among stock markets from error correction model. (3)There are four factors(interaction effect, volatility effect, return effect, dynamic factor) to determine the return of stock markets. (4)The volatility of stock markets affect each other.
期刊論文
1.Mukherjee, Tarun K.、Naka, Atsuyuki(1995)。Dynamic relations between Macroeconomic variables and the Japanese stock market: An application of a vector error correction model。The Journal of Financial Research，18(2)，223-237。  new window
2.Asprem, M.(1989)。Stock prices, asset portfolios and macroeconomic variables in ten European countries。Joutnal of Banking and Finance，13，589-612。  new window
3.Mok, Henry M. K.(1993)。Causality of interest rate, exchange rate and stock prices at stock market open and close in Hong Kong。Asia Pacific Journal of Management，10(2)，123-143。  new window
4.王毓敏、徐守德(19980700)。亞洲股市間報酬與波動性外溢效果之研究。Proceedings of the National Science Council. Part C, Humanities and Social Sciences，8(3)，450-460。  延伸查詢new window
5.Arshanapalli, B.、Doukas, J.、Lang, L. H. P.(1995)。Pre-and post-October 1987 stock market linkages between U. S. and Asian markets。Pacific Basin Finance Journal，3，57-74。  new window
6.Bertoneche, R.(1979)。Internationally diversified portfolio。Nebraska Journal of Economics and Business，58-72。  new window
7.Campbell, J. Y.、Hamao, Y.(1992)。Predictable stock returns in the United States and' Japan:A study of long-term capital market integration。Journal of Finance，47，43-70。  new window
8.Cheung, Yin-Wong、Lilian K. Ng.(1992)。Interactions between the U. S. and Japan stock market indices。Journal of International Financial Markets, Institutions and Money，2，51-70。  new window
9.Bachman, Daniel、Choi, Jongmoo Jay、Jeon, Bang Nam、Kopecky, Kenneth J.(1996)。Common factors in international stock prices: evidence from a cointegration study。International Review of Financial Analysis，5(1)，39-53。  new window
10.Hamao, Y.、Masulis, R. W.、Ng, V.(1990)。Correlations in price changes and volatility acoss international stock markets。Review of Financial Studies，3，281-308。  new window
11.Kim M. K.、Wu C.(1987)。Macroeconomic factors and stock returns。The Journal of Financial Research，10，87-98。  new window
12.Malliaris, A.、Urrutia, Jorge L.(1998)。Volume and price relationships: hypotheses and testing for agricultural futures。The Journal of Futures Markets，18(1)，53-72。  new window
13.Panton, D. B.、Lessig, V. P.、Joy, O. M.(1976)。Comovement of international equity markets:a taxonomic approach。Journal of Financial and Quantitative Analysis，11，415-432。  new window
14.Soenen L. A.、Hennigar E. S.(1988)。An analysis of exchange rates and stock prices--the U. S. experience between 1980 and 1986。Akron Business & Economic Review，19，7-16。  new window
15.Susmel, Raul、Engle, robert F.(1994)。Hourly volatility spillover between national equity markets。Journal of International Money and Finance，1994(Feb.)，3-25。  new window
16.Wei, K. C. J.、Liu, Y. J.、Yang, C. C.、Chaung, G. S.(1995)。Volatility and price change spillover effects across the developed and emerging markets。Pacific Basin Finance Journal，113-136。  new window
17.Granger, C. W. J.(1986)。Developments in the Study of Cointegrated Economic Variables。Oxford Bulletin of Economics and Statistics，48(3)，213-238。  new window
18.蘇永成、蔡玠施(19960100)。Volatility and Return Spillovers Among Asian Emerging Markets。證券市場發展，8(1)=29，67-88。new window  延伸查詢new window
19.Pearce, Douglas K.、Roley, V. Vance(1985)。Stock Prices and Economic News。Journal of Business，58(1)，49-67。  new window
20.徐守德(19951000)。亞洲股市間共整合關係之實證研究。證券市場發展，7(4)=28，33-57。new window  延伸查詢new window
21.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance，44(5)，1115-1153。  new window
22.Fischer, K. P.、Palasviria, A. P.(1990)。High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations。Financial Review，25(3)，371-394。  new window
23.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis，24(2)，241-256。  new window
24.Grubel, Herbert G.(1968)。Internationally Diversified Portfolios: Welfare Gains and Capital Flows。The American Economic Review，58(5)，1299-1314。  new window
25.Hilliard, J. E.(1979)。The relationship between equity indices on world exchanges。Journal of Finance，34(1)，103-114。  new window
26.沈中華、黃河泉(19940700)。股價波動性與結構性轉變之探討--不同漲跌幅限制下的分析。臺大管理論叢，5(2)，23-45。new window  延伸查詢new window
27.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。  new window
學位論文
1.錢盡忠(1988)。台灣地區匯率與股票價格關係之研究(碩士論文)。國立政治大學。  延伸查詢new window
圖書
1.Lutkepohl, H.(1981)。Introduction to multiple time series analysis。New York：Springer Verlag。  new window
2.Malliaris, A.、Brock, W.(1982)。Stochastic methods in economics and finance。Amsterdam：North Holland Publishing Company。  new window
3.Davidson, Russell、MacKinnon, James G.(1993)。Estimation and Inference in Econometrics。Oxford University Press。  new window
圖書論文
1.MacKinnon, J. G.(1991)。Critical values for cointegration test。Long-Run Economic Relationships: Readings in Cointegration。Oxford University Press。  new window
 
 
 
 
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