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題名:開放外資與股市對總體經濟訊息的效率性
書刊名:證券市場發展季刊
作者:劉宗欣賴美穎
作者(外文):Liu, Steven ZongshinLai, Sophia Meiying
出版日期:2002
卷期:14:1=53
頁次:頁77-110
主題關鍵詞:股價總體變數訊息效率性共整合向量誤差修正模型Stock priceMacroeconomic variablesInformational efficiencyCointegrationVector 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(4) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:4
  • 共同引用共同引用:27
  • 點閱點閱:29
期刊論文
1.Kwan, Felix B.、Reyes, Mario G.(1997)。Price Effects of Stock Market Liberalization in Taiwan。The Quarterly Review of Economics and Finance,37(2),511-522。  new window
2.Cheung, Yin-Wong、Ng, Lilian Kheng(1998)。International Evidence on the Stock Market and Aggregate Economic Activity。Journal of Empirical Finance,5(3),281-296。  new window
3.Kwon, C. S.、Shin, T. S.(1999)。Cointegration and Causality between Macroeconomic Variables and Stock Market Returns。Global Finance Journal,10(1),71-81。  new window
4.Pearce, D. K.、Roley, V. V.(1983)。The Reaction of Stock Prices to Unanticipated Changes in Money: A Note。The Journal of Finance,38,1323-1333。  new window
5.Culter, David M.、Poterba, James M.、Summers, Lawrences H.(1989)。What moves stock prices?。Journal of Portfolio Management,15(3),4-12。  new window
6.Cheung, Yin-Wong、Lai, Kon S.(1993)。Finite-Sample Size of Johansen's Likelihood Ratio Tests for Cointegration。Oxford Bulletin of Economics and Statistics,55(3),313-328。  new window
7.王儷容、沈中華(1999)。Do Foreign Investments Affect Foreign Exchange and Stock Markets - The Case of Taiwan。Applied Economics,31(11),1303-1314。  new window
8.Patelis, Alex D.(1997)。Stock return predictability and the role of monetary policy。Journal of Finance,52(5),1951-1972。  new window
9.Maysami, R. C.、Koh, T. S.(2000)。A Vector Error Correction Model of the Singapore Stock Market。International Review of Economics and Finance,9(1),79-96。  new window
10.Hardouvelis, Gikas A.(1987)。Macroeconomic Information and Stock Prices。Journal of Economics and Business,39(2),131-140。  new window
11.Thorbecke, Willem(1997)。On Stock Market Returns and Monetary Policy。Journal of Finance,52(2),635-654。  new window
12.Homa, K. E.、Jaffee, D. M.(1971)。The Supply of Money and Common Stock Prices。The Journal of Finance,26(5),1045-1066。  new window
13.鄒孟文(19931200)。臺灣股價指數與貨幣供給之因果關係檢定。臺灣經濟金融月刊,29(12)=347,26-34。  延伸查詢new window
14.Fama, Eugene F.(1981)。Stock Returns, Real Activity, Inflation, and Money。The American Economic Review,71(4),545-565。  new window
15.黃柏農(1998)。臺灣的股價與總體變數之間的關係。證券市場發展,10(4)=40,89-109。new window  延伸查詢new window
16.黃柏農(19940700)。股價新聞效果的研究-VAR-VECM模型之應用。中國財務學刊,2(1),57-73。new window  延伸查詢new window
17.Fleming, J.、Kirby, C.、Ostdiek, B.(1998)。Information and Volatility Linkages in the Stock, Bond, and Money Markets。Journal of Financial Economics,49,111-137。  new window
18.林哲鵬、郭慧玲、李麗秋、容珮蘭、蔡詩凡(19970400)。臺灣宣告外資開放與股價之變動--產業別之觀察。證券市場發展,9(2)=34,59-81。new window  延伸查詢new window
19.Mookerjee, R.(1987)。Monetary policy and the informational efficiency of the stock market: The evidence from many countries。Applied Economics,19,1521-1532。  new window
20.Granger, C. W. J.(1988)。Some Recent Development in a Concept of Causality。Journal of Econometrics,39,199-211。  new window
21.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
22.王瑪如、蘇永成(19980000)。臺灣股票市場與總體經濟變數之因果關係研究:二元VAR模型網狀檢定。證券市場發展,10(3)=39,65-95。new window  延伸查詢new window
23.Chen, Nai-Fu(1991)。Financial Investment Opportunities and the Macroeconomy。Journal of Finance,46(2),529-554。  new window
24.Pearce, Douglas K.、Roley, V. Vance(1985)。Stock Prices and Economic News。Journal of Business,58(1),49-67。  new window
25.Osterwald-Lenum, M.(1992)。A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics。Oxford Bulletin of Economics and Statistics,54(3),461-471。  new window
26.Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society,37(3),424-438。  new window
27.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
28.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
29.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
30.Kwiatkowski, Denis、Phillips, Peter C. B.、Schmidt, Peter、Shin, Yongcheol(1992)。Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?。Journal of Econometrics,54(1-3),159-178。  new window
31.Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika,71(3),599-607。  new window
32.Fama, E. F.(1990)。Stock Returns, Expected Returns, and Real Activity。The Journal of Finance,45(4),1089-1108。  new window
33.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
34.Lee, Bong-Soo(1992)。Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation。Journal of Finance,47(4),1591-1603。  new window
35.Rogalski, Richard J.、Vinso, J. D.(1977)。Stock Returns, Money Supply and the Direction of Causality。The Journal of Finance,32(4),1017-1030。  new window
36.Schwert, G. William(1990)。Stock Returns and Real Activity: A Century of Evidence。The Journal of Finance,45(4),1237-1257。  new window
37.林師模(1995)。臺灣股市報酬與貨幣供給之關聯性:頻譜分析與向量自我迴歸結果探討。管理科學學報,12(3),437-463。  延伸查詢new window
38.Mookerjee, R.、Yu, Q.(1997)。Macroeconomic Variables and Stock Prices in a Small Open Economy: The Case of Singapore。Pacific-Basin Finance Journal,5(3),377-388。  new window
39.Wasserfallen, Water(1989)。Macroeconomics News and the Stock Market: Evidence from Europe。Journal of Banking & Finance,13(4/5),613-626。  new window
40.歐雲蘭、李存修(1995)。外資與股市波動性關係之探討。基層金融,31,45-75。  延伸查詢new window
41.Serletis, A.(1993)。Money and Stock Prices in the United States。Applied Financial Economics,3,51-54。  new window
42.Sorenson, E. H.(1982)。Rational Expectations and the Impact of Money upon Stock Prices。Journal of Financial and Quantitative Analysis,17(5),649-662。  new window
43.方文碩、張富豪、林治邦(1998)。臺灣地區貨幣數量、通貨膨脹與股票市場活動。臺灣銀行季刊,49(2),37-57。new window  延伸查詢new window
44.林師模、王治平(1998)。股市報酬與總體經濟變數跨頻譜帶之動態因果關聯。管理學報,15(2),207-229。new window  延伸查詢new window
45.張麗蕙(1990)。臺灣股價波動之總體經濟因素分析(上)。證券管理,8(3),16-20。  延伸查詢new window
46.張麗蕙(1990)。臺灣股價波動之總體經濟因素分析(下)。證券管理,8(4),3-12。  延伸查詢new window
47.Campbell, J. Y.、Ammer, J.(1993)。What Moves the Stock and Bond Markets? A Variance Decomposition for Long-term Asset Returns。The Journal of Finance,48,3-37。  new window
48.Darrat, A. F.(1987)。Money and Stock Prices in West Germany and the United Kingdom: Is the Stock Market Efficient?。Quarterly Journal of Business and Economics,26,20-35。  new window
49.Hamburger, M. J.、Kochin, L. A.(1972)。Money and Stock Prices: The Channels of Influence。The Journal of Finance,27,231-249。  new window
50.Jain, P. C.(1988)。Response of Hourly Stock Prices and Trading Volume to Economic News。The Journal of Business,61,219-231。  new window
51.Keran, M. W.(1971)。Expectations, Money and the Stock Market。Review, Federal Reserve Bank of St. Louis,January,16-31。  new window
52.Strauss, J.、Nasseh, A.(2000)。Stock Prices and Domestic and International Macroeconomic Activity: A Cointegration Approach。Quarterly Review of Economics and Finance,40,229-245。  new window
圖書
1.Greene, W. H.(2000)。Econometric Analysis。New York:Macmillan。  new window
圖書論文
1.Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。  new window
 
 
 
 
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