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題名:通貨貶值對股市報酬與波動的衝擊:亞洲四小龍實證研究
書刊名:亞太管理評論
作者:方文碩 引用關係
作者(外文):Fang, Wen Shwo
出版日期:2000
卷期:5:4
頁次:頁451-465
主題關鍵詞:有價證券餘額模型通貨貶值股票報酬市場波動GARCH(1,1)模型Portfolio balance modelCurrency depreciationStock returnsVolatilityGARCH(1,1) 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(5) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:5
  • 共同引用共同引用:11
  • 點閱點閱:27
期刊論文
1.Koutmos, G.、Lee, U.、Theodossiou, P.(1994)。Time-Varying Betas and Volatility Persistence in International Stock Markets。Journal of Economics and Business,46(2),101-112。  new window
2.Scholes, M.、Williams, J.(1977)。Estimating Betas from Non-Synchronous Data。Journal of Financial Economics,5(3),309-327。  new window
3.Poon, S. H.、Taylor, S. J.(1992)。Stock Returns and Volatility: An Empirical Study of the UK Stock Market。Journal of Banking and Finance,16,37-59。  new window
4.Pagan, A.、Ullah, A.(1988)。The Econometric Analysis of Models with Risk Terms。Journal of Applied Econometrics,3(2),87-105。  new window
5.Koutoulas, G.、Kryzanowski, L.(1996)。Macrofactor Conditional Volatility, Time-Varying Risk Premia and Stock Return Behavior。Financial Review,31,169-195。  new window
6.Ratner, M.(1992)。A Cointegration Test of the Impact of Foreign Exchange Rates on U.S. Stock Market Prices。Global Finance Journal,4,93-101。  new window
7.Baillie, R. T.、DeGennaro, R. P.(1989)。The impact of delivery terms on stock return volatility。Journal of Financial Services Research,3,55-76。  new window
8.Campbell, J. Y.(1987)。Stock returns and the term structure。Journal of Financial Economics,18,373-399。  new window
9.Chou, R. Y.(1988)。Volatility persistence and stock valuations: some empirical evidence using GARCH。Journal of Applied Econometrics,3,279-294。  new window
10.Dickey, D. A.、Fuller, W. A.(1981)。Likelihood ratio statistics for auto-regressive time series with a unit root。Econometrica,49,1057-1072。  new window
11.Engle, C.、Rodrigues, A. P.(1989)。Tests of international CAPM with time-varying covariances。Journal of Applied Econometrics,4,119-138。  new window
12.Hardouvelis, G.(1990)。Margin requirements, volatility and the transitory component of stock price。American Economic Review,80,736-763。  new window
13.Mukherjee, T. K.、Naka, A.(1995)。Dynamic relations between macroeconomic variables and the Japaness stock market: an application of a vector error correction model。Journal of Financial Research,18(2),223-237。  new window
14.So, M. K. P.、Lam, K.、Li, W. K.(1997)。An empirical study of volatility in seven Southeast Asian stock markets using ARV models。Journal of Business Finance & and Accounting,24(2),261-275。  new window
15.徐守德、郭照榮、蔡明憲、江淑貞(19990600)。臺灣上市公司不同產業的外匯風險之實証研究。亞太管理評論,4(2),131-146。new window  延伸查詢new window
16.Ajayi, R. A.、Mougoue, M.(1996)。On the dynamic relation between stock prices and exchange rates。Journal of Financial Research,19(2),193-207。  new window
17.Ma, C. K.、Kao, G. W.(1990)。On Exchange Rate Changes and Stock Price Reactions。Journal of Business Finance and Accounting,17,441-449。  new window
18.Dombusch, R.、Fischer, S.(1980)。Exchange Rates and the Current Account。American Economic Review,70,960-971。  new window
19.方文碩(20000500)。金融危機期間股票報酬風險貼水與貶值效果。風險管理學報,2(1),39-68。new window  延伸查詢new window
20.Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimating time varying risk premia in the term structure: The ARCH-M model。Econometrica,55(2),391-407。  new window
21.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。  new window
22.Kearney, C.(1998)。The causes of volatility in a small, internationally integrated stock market: Ireland, July 1975-June 1994。Journal of Financial Research,21(1),85-104。  new window
23.Solnik, B.(1987)。Using financial prices to test exchange rate models: a note。Journal of Finance,42,141-149。  new window
24.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
25.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
26.Schwert, G. William、Seguin, Paul J.(1990)。Heteroskedasticity in stock returns。Journal of Finance,45(4),1129-1155。  new window
27.Jorion, Philippe(1990)。The Exchange Rate Exposure of U.S. Multinationals。Journal of Business,63(3),331-345。  new window
28.Jonon, Philippe(1991)。The Pricing of Exchange Rate Risk in the Stock Market。Journal of Financial & Quantitative Analysis,26(3),363-376。  new window
29.Khoo, Andrew(1994)。Estimation of foreign exchange exposure: an application to mining companies in Australia。Journal of International Money and Finance,13(3),342-363。  new window
30.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
31.Lo, Andrew W.、MacKinlay, A. Craig(1988)。Stock market prices do not follow random walks: Evidence from a simple specification test。Review of Financial Studies,1(1),41-66。  new window
圖書論文
1.Branson, W. H.、Henderson, D. W.(1985)。The specification and influence of asset markets。Handbook of International Economics。  new window
 
 
 
 
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