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題名:B股開放政策對中國大陸股票市場效率性有影響嗎?不對稱門檻共整合模型的應用
書刊名:財務金融學刊
作者:沈中華 引用關係陳建福
作者(外文):Shen, Chung-huaChen, Chien-fu
出版日期:2003
卷期:11:3
頁次:頁89-119
主題關鍵詞:不對稱門檻共整合不對稱門檻誤差修正模型中國大陸股票市場Asymmetric threshold cointegrationAsymmetric threshold error correction modelChinese stock markets
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(12) 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:11
  • 共同引用共同引用:0
  • 點閱點閱:39
期刊論文
1.Granger, C. W.、Lee, Tay-Hwy(1989)。Investigation of Production, Sales, and Inventory Relationships Using Multicointegration and Nonsymmetric Error-Correction Models。Journal of Applied Econometrics,4(1),S145-S159。  new window
2.Sarantis, N.(2001)。Nonlinearities, Cyclical Behaviour and Predictability in Stock Markets: International Evidence。International Journal of Forecasting,17(3),459-482。  new window
3.Stock, James H.(1987)。Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors。Econometrica,55(5),1035-1056。  new window
4.Sjoo, B.、Zhang, Jianhua(2000)。Market Segmentation and Information Diffusion in China's Stock Markets。Journal of Multinational Financial Management,10,421-438。  new window
5.蘇冬蔚、Fleisher, B. M.(1998)。Risk, Return and Regulation in Chinese Stock Markets。Journal of Economics and Business,50(3),239-256。  new window
6.Chan, K. S.(1993)。Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model。The Annals of Statistics,21(1),520-533。  new window
7.Shen, Chung-Hua、Hakes, David R.(1995)。Monetary policy as a decision-making hierarchy: the case of Taiwan。Journal of Macroeconomics,17(2),357-368。  new window
8.Anderson, H. M.(1997)。Transaction Costs and Non-Linear Adjustment Towards Equilibrium in the US Treasury Bill Market。Oxford Bulletin of Economics and Statistics,59(4),465-484。  new window
9.Chiang, M. H.(2001)。The Asymmetric Behavior and Spillover Effects on Stock Index Returns: Evidence on Hong Kong and China。Pan Pacific Management Review,4(1),1-21。  new window
10.Li, W. K.、Lam, Kin(1995)。Modelling Asymmetry in Stock Returns by a Threshold Autoregressive Conditional Heteroscedastic Model。The Statistician,44(3),333-341。  new window
11.Huang, B. N.、Yang, C. W.、Hu, John W. S.(2000)。Causality and Cointegration of Stock Market among the United States, Japan, and the South China Growth Triangle。International Review of Financial Analysis,9(3),281-297。  new window
12.Kasa, K.(1992)。Common Stochastic Trends in International Stock Markets。Journal of Monetary Economics,29(1),95-124。  new window
13.Shen, C. H.、Chiang, T. C. H.(1999)。Retrieving the Vanishing Liquidity Effect--A Threshold Vector Autoregressive Model。Journal of Economics and Business,51(3),259-277。  new window
14.Ma, X.(1996)。Capital Controls, Market Segmentation and Stock Prices: Evidence from the Chinese Stock Market。Pacific-Basin Finance Journal,4(2/3),219-239。  new window
15.Chui, A.、Kwok, C.(1998)。Cross-autocorrelation between A Shares and B Shares in the Chinese Stock Market。Journal of Financial Research,21(3),333-353。  new window
16.Koutmos, Gregory(1998)。Asymmetries in the Conditional Mean and the Conditional Variance: Evidence from Nine Stock Markets。Journal of Economics and Business,50(3),277-290。  new window
17.Balke, N. S.、Fomby, T. B.(1997)。Threshold Cointegration。International Economic Review,38(3),627-645。  new window
18.Enders, Walter、Siklos, Pierre L.(2001)。Cointegration and Threshold Adjustment。Journal of Business & Economic Statistics,19(2),166-176。  new window
19.Enders, W.、Granger, C. W. J.(1998)。Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates。Journal of Business and Economic Statistics,16(3),304-311。  new window
20.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
21.Laurence, M. M.、Cai, F.、Qian, S.(1997)。Weak-form efficiency and causality tests in Chinese stock markets。Multinational Finance Journal,1(4),291-307。  new window
22.Liu, Xiaming、Song, Haiyan、Romilly, Peter(1997)。Are Chinese Stock Markets Efficient? A Cointegration and Causality Analysis。Applied Economics Letters,4(8),511-515。  new window
23.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
24.Bailey, W.(1994)。Risk and Return on China's New Stock Markets: Some Preliminary Evidence。Pacific-Basin Finance Journal,2(2),243-260。  new window
25.Poon, P. H.、Firth, M.、Fung, H. G.(1998)。Asset Pricing in Segmented Capital Markets: Preliminary Evidence from China-domiciled Companies。Pacific-Basin Finance Journal,6,307-319。  new window
26.Chan, Kam C.、Cheng, Louis T. W.、Fung, Joseph K. W.(2001)。Ownership Restrictions and Stock-price Behavior in China。The Chinese Economy,34,29-48。  new window
27.Escribano, A.、Pfann, G. A.(1998)。Non-Linear Error Correction, Asymmetric Adjustment and Cointegration。Economic Modelling,15,197-216。  new window
28.Fernald, J.、Rogers, J. H.(2002)。Puzzles in the Chinese Stock Market。The Review of Economics and Statistics,84(3),416-432。  new window
29.Fung, Hung-Gay、Lee, Wai、Leung, Wai-Kin(2000)。Segmentation of the A- and B-Share Chinese Equity Markets。The Journal of Financial Research,23,179-195。  new window
30.Fung, H. G.、Leung, W. K.(2001)。Chinese Financial Liberalization: Implicationsfor Corporate Governance。The Chinese Economy,34(1),5-14。  new window
31.Garrett, I.、Spyrou, S.(1999)。Common Stochastic Trends in Emerging Equity Markets。Manchester School,67,649-660。  new window
32.沈中華、王儷容(1998)。Daily Serial Correlation, Trading Volume, and Price Limit: Evidence from the Taiwan Stock Market。Pacific-Basin Finance Journal,6,251-274。  new window
33.Siklos, P.、Granger, C. W.(1997)。Regime-sensitive Cointegration with an Application to Interest Rate Parity。Macroeconomic Dynamics,1(3),640-657。  new window
研究報告
1.史惠慈(2001)。大陸證券市場開放對臺灣資本市場的影響。沒有紀錄。  延伸查詢new window
2.Bohl, M. T.、Siklos, P.(2001)。The Bundesbank's Inflation Policy and Asymmetric Behavior of the German Term Structure。沒有紀錄。  new window
3.Harris, R.、Silverstone, B.(1999)。Asymmetric Adjustment of Unemployment and Output in New Zealand: Rediscovering Okun's Law。沒有紀錄。  new window
4.Marquez, M.、Villazon, C.(1999)。The Asymmetry of IBEX-35 Returns with TAR Models。沒有紀錄。  new window
圖書
1.Tong, H.(1990)。Non-Linear Time Series: A Dynamic System Approach。Oxford:Oxford University Press。  new window
2.康榮寶(2001)。深入中國股市。台北:天下文化出版社。  延伸查詢new window
3.World Bank(1995)。China: The Emerging Capital Market。Washington, D.C:The World Bank。  new window
圖書論文
1.Engle, R.、Yoo, S.(1991)。Forecasting and Testing in Co-integration Systems。Long-run Economic Relationships。Oxford University Press。  new window
 
 
 
 
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