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題名：臺灣股票報酬率與匯率變動波動外溢效果之再探討--雙變量EGARCH模型的應用
書刊名：輔仁管理評論
作者：古永嘉 引用關係／孫瑞霙／張美玲 引用關係
作者(外文)：Goo, James Y. J.／Sun, Jui-ying／Chang, Mei-lin
出版日期：2003
卷期：10:3
頁次：頁139-162
主題關鍵詞：波動外溢效果；不對稱性；雙變量EGARCH；Volatility spillovers；Asymmetry；Bivariate-EGARCH
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(2) 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:2
  • 共同引用共同引用:20
  • 點閱點閱:30
期刊論文
1.Corhay, A.、Rad, A. T.(1994)。Statistical Properties of Daily Returns: Evidence from European Stock Markets。Journal of Business Finance & Accounting，21(2)，271-282。  new window
2.林建甫、張焯然(19960900)。ARCH族模型估計與檢定的問題。經濟論文叢刊，24(3)，339-355。new window  延伸查詢new window
3.Hekman, C. R.(1985)。A financial model of foreign exchange exposure。Journal of International Business Studies，16(2)，83-99。  new window
4.Solnik, B.(1987)。Using financing prices to test exchange rate models: A Note。Journal of Finance，42，141-149。  new window
5.Chiang, T. C.(1991)。International asset pricing and equity market risk。Journal of International Money and Finance，10(3)，349-364。  new window
6.Shalen, Catherine T.(1993)。Volume, volatility, and the dispersion of beliefs。Review of Financial Studies，6(2)，405-434。  new window
7.Dornbusch, R.、Fischer, S.(1980)。Exchange Rates and the Current Account。American Economic Review，70(5)，960-971。  new window
8.Gavin, Michael(1989)。The stock market and exchange rate dynamics。Journal of International Money and Finance，8(2)，181-200。  new window
9.古永嘉(19960800)。Forecast Ability among ARIMA, Vector AR and State Dependent Models: An Empirical Investigation on Taiwan's Stock Returns and Macroeconomic Variables。法商學報，32，561-588。  new window
10.Cheung, Y. W.、Lai, K. S.(1993)。Finite Sample Sizes of Johensen's Likelihood Ratio Test for Cointegration。Oxford Bulletin of Economics and Statistics，55，313-328。  new window
11.Engle, R.、Ito, T.、Lin, W. L.(1990)。Metro Showers or Heat Waves? Heteroskedastic Intra Daily Volatility in the Foreign Exchange Markets。Econometrica，58，525-542。  new window
12.Giovannini, A.、Jorion, P.(1987)。Interest Rates and Risk Premia in the Stock Market and in the Foreign Exchange Market。Journal of Financial Economics，14，217-236。  new window
13.Solnik, B. H.(1974)。An Equilibrium Model of International Capital Market。Journal of Economic Theory，8，500-524。  new window
14.康信鴻、劉靜芳(19960900)。股票市場報酬率總體外匯風險之衡量。企業管理學報，39，115-162。new window  延伸查詢new window
15.張宮熊、吳欽杉(19961000)。臺灣股票市場、貨幣市場與外匯市場資訊傳遞結構之研究。中國財務學刊，4(2)，21-40。new window  延伸查詢new window
16.Booth, L.、Rotenberg, W.(1990)。Assessing Foreign Exchange Exposure: Theory and Application Using Canadian Firms。Journal of International Financial Management and Accounting，2(1)，1-22。  new window
17.Booth, G.、Chowdhury, M.、Martikainen, T.、Tse, Y.(1997)。Intraday Volatility in International Stock Index Futures Markets: Meteor Showers of Heat Waves?。Management Science，43，1564-1576。  new window
18.Dzeng, S. C.、He, J.、Liu, C. Y.(1996)。The pricing of foreign exchange risk of Taiwan stock exchange companies。Advances in Pacific Basin Financial Markets，1A，183-193。  new window
19.Kanas, A.(2000)。Volatility spillovers between stock returns and exchange rate changes: International Evidence。Journal of Business Finance & Accounting，27(3/4)，447-467。  new window
20.Morley, B.、Pentecost, E. J.(1998)。Asset pricing and foreign exchange risk: econometric evidence for the G-7。Journal of International Money and Finance，17(2)，317-329。  new window
21.Sercu, P.、Vanhulle, C.(1992)。Exchange rate volatility, International Trade, and the Value of Exporting Firms。Journal of Banking and Finance，16(1)，155-182。  new window
22.Smith, C. E.(1992)。Stock Markets and the Exchange Rate: A Multi-Country Approach。Journal of Macroeconomics，14(4)，607-629。  new window
23.Zapatero, F.(1995)。Equilibrium Asset prices and exchange rates。Journal of Economic Dynamics and Control，19(4)，787-811。  new window
24.Lee, T. H.、Tse, Y.(1996)。Cointegration Tests with Conditional Heteroskedasticity。Journal of Econometrics，73(2)，401-410。  new window
25.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
26.Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement，3(4)，653-665。  new window
27.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance，48(5)，1749-1778。  new window
28.French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics，19(1)，3-29。  new window
29.Roll, Richard(1992)。Industrial structure and the comparative behavior of international stock market indices。Journal of Finance，47(1)，3-42。  new window
30.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
31.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics，72(3)，498-505。  new window
32.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
33.Ross, Stephen A.(1989)。Information and Volatility: The No-arbitrage Martingale Approach to Timing and Resolution Irrelevancy。The Journal of Finance，44(1)，1-17。  new window
34.Bodnar, Gordon M.、Gentry, William M.(1993)。Exchange rate exposure and industry characteristics: Evidence from Canada, Japan and USA。Journal of International Money and Finance，12(1)，29-45。  new window
35.Jorion, Philippe(1990)。The Exchange Rate Exposure of U.S. Multinationals。Journal of Business，63(3)，331-345。  new window
36.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。  new window
37.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。  new window
38.Mok, H. 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，21(4)，603-612。  new window
會議論文
1.王毓敏、徐守德(1998)。台灣地區股票市場與外匯市場間報酬與波動性外溢效果之研究。中國財務學會年會暨學術研討會，601-612。  延伸查詢new window
2.Black, F.(1976)。Studies in Price Volatility Change。The 1976 Meeting of the Business and Economics Statistics Section。American Statistical Association。177-181。  new window
3.Poon, S. H.、Taylor, S.(1990)。Stock Returns and Volatility: An Empirical Study of the UK Stock Market。The 17th European Finance Association Meeting。Athens。  new window
4.Correia, E.、Perman, B. R. J.、Rees, W. P.(1993)。An empirical analysis of the sensitivity of UK company stock returns to exchange rate fluctuations。1993 European Finance Association Annual Meeting。Copenhagen。  new window
研究報告
1.Giovannini, A.(1988)。The Time-Variation of Risk in the Foreign Exchange and Stock Market。  new window
2.曹添旺、朱美麗(1993)。股價與匯率的互動關係--臺灣的實證研究 (計畫編號：NSC81-0301-H001-029)。  延伸查詢new window
學位論文
1.陳俊宏(1996)。總體經濟因素與股價指數關聯性之分析(碩士論文)。國立台灣大學。  延伸查詢new window
2.蔡佳宏(1999)。台灣股市與匯市間報酬及波動性之外溢效果--GARCH及GMM之應用(碩士論文)。國立政治大學。  延伸查詢new window
3.鄭如芳(2000)。股市、匯市報酬及波動性之外溢效果分析(碩士論文)。淡江大學。  延伸查詢new window
4.楊東曉(1998)。匯率與股市指標間因果關係之探討(碩士論文)。國立中正大學。  延伸查詢new window
5.吳嘉豐(1998)。匯率與股價報酬率及其波動性之關係(碩士論文)。淡江大學。  延伸查詢new window
6.黃姿榮(1996)。臺灣地區匯率與股價關係之實證研究(碩士論文)。淡江大學。  延伸查詢new window
7.楊正文(2000)。匯率變動對台灣上市公司營業利潤與股票報酬率影響的實證分析--全部產業與個別產業(碩士論文)。國立成功大學。  延伸查詢new window
8.尤義明(1997)。兩岸三地資本市場波動性外溢效果及因果關係之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書論文
1.Palm, F. C.(1996)。GARCH Models of Volatility。Handbook of Statistics。Elsevier Science B. V.。  new window
2.Branson, W. H.(1983)。Macroeconomic determinants of real exchange rate risk。Managing Foreign Exchange Risk。MA：Cambridge University Press。  new window
3.Frankel, J. A.(1983)。Monetary and portfolio-balance models of exchange rate determination。Economic Interdependence and Flexible Exchange Rates。Cambridge, MA：MIT Press。  new window
 
 
 
 
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