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題名:股票市場動態關係之研究--以美、日、臺為例
書刊名:玄奘管理學報
作者:徐清俊吳明恒
作者(外文):Hsu, Ching-junWu, Ming-heng
出版日期:2004
卷期:1:2
頁次:頁17-40
主題關鍵詞:股價指數衝擊反應分析變異數分解Stock price indexImpulse response analysisVariance decomposition
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:15
  • 點閱點閱:22
高科技產業成了下一個世紀最被看好的明星產業之一,隨著這股擋不住的趨勢潮流,高科技類股在台灣的股市中,所佔市值比重與每日成交量也高居各類股的首位,從股市的相關報導中,投資人可以發現,台灣與國際股市的走勢似乎存有某種程度的相關,因此,針對此一課題探討,嘗試使用一些研究方法來探討台灣、美國與日本三個國家股市之間報酬因果關聯性。 經由實證分析,得知各國股價指數報酬間只有單向因果關係,並無回饋關係,且台灣與日本之股價指數報酬會受美國股價指數報酬的影響,且台灣又受日本股價指數報酬的影響;日本與台灣皆無法對美國有因果關係,可見代工關條可能影響了股價指數間的關係。各股價指數問衝擊反應分析,無論在多頭時期或者空頭時期,都會在短期內反應完畢。因此可以知道三個國家指數報酬的確存在相互影響的關係,但是並非是全面的,因各國廠商代工關係或者其他國際問共同相關因素,皆可能是短期內影響股價報酬的因素。
High-Tech. Industry will become a star industry which is one of the most look after in next century. Following this tide can not keep off, the high technology category in Taiwan stock market which the first of the percentage at every one category stock that to market price and day trading volume. Form the news relàte to equity market; Investors can find that the stock market of Taiwan has connected with intemational stock, therefore, we can use the methodology of time series to investigate the lag relationship linkage between the stock market of U.S. and the stock of Japan and the stock of Taiwan. According to the empirical results analysis, we can find the profitability of stock price index of every country only has single causality and does not have feedback relationship. Theprofitability of stock price index of U.S. would affect the profitability of stock price index of Taiwan and Japan. Then the profitability of stock price index of Japan also effect the profitability of stock price index of Taiwan. We can find the OEM/ODM relationship might affect each stock price index. Each stock price index rushes impulse reaction response analysis. No matter what the bull period and the bear period is, would finish to reaction in the short times. Therefore, finding that the index of the three country really have influence each and other, but is not overall Stability of the OEM/ODM relationship of each country would affect stock price index in short period.
期刊論文
1.Jeon, B. N.、Von Furstenberg, G. M.(1990)。Growing International Co-Movement in Stock Price Indexes。The Quarterly Review of Economics & Business,30(3),15-30。  new window
2.Grubel, H. G.(1968)。International diversified portfolio: Welfare gains and capital flows。American Economic Review,58,1299-1314。  new window
3.Solnik, B.(1974)。The international pricing: A empirical investigation of the world capital market structure。Journal of Finance,29,365-378。  new window
4.Bailey, W.、Stulz, R. M.(1990)。Benefits Of International Diversification: The Case Of Pacific Basin Stock Markets。Journal of Portfolio Management,16(4),57-61。  new window
5.Schwert, G. W.(1987)。Effect of Model Specification on Tests for Unit Roots in Macroeconomic Data。Journal of Monetary Economics,20(1),73-103。  new window
6.Granger, C. W. J.(1988)。Causality, Cointegration and Control。Economic Dynamics and Control,68,13-228。  new window
7.Maldonado, R.、Saunders, A.(1981)。International Portfolio Diversification and the Intertemporal Stability of International Stock Market Relationships。Financial Management,10,54-63。  new window
8.Markridakis, S. G.、Wheelwright, S. C.(1974)。An Analysis of the Interrelationships Among the Major World Stock Exchanges。Journal of Business, Finance, and Accounting,1(2),195-216。  new window
9.Liu, Y. Angela、Pan, Ming-Shiun、Fung, Hung-Gay(1996)。International Transmission of Stock Price Volatility: Evidence from the U.S. and Six Pacific Basin Markets。Journal of Multinational Financial Management,6(2),81-94。  new window
10.葉銀華(19911000)。國際股票市場股價指數共移型態與關聯性之研究。臺灣經濟金融月刊,27(10)=321,11-20。  延伸查詢new window
11.Fisher, K. P.、Palasvirta, A. P.(1990)。High Road to a Global Marketplace: the International Transmission of Stock Market Fluctuation。The Financial Review,25(3),371-394。  new window
12.Johansen, Soren(1994)。The Role of the Constant and Linear Terms in Cointegration Analysis of Nonstationary Variables。Econometric Reviews,13(2),205-229。  new window
13.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
14.Lessard, Donald R.、俞海琴、張錫杰(1974)。World, national and industry factors in equity returns。Journal of Finance,29(2),379-391。  new window
15.Granger, Clive W. J.(1986)。Developments in the study of co-integrated Economic Variables。Oxford Bulletin of Economics and Statistics,48(3),213-228。  new window
16.Hsiao, C.(1981)。Autoregressive Modeling and Money-Income Causality Detection。Journal of Monetary Economics,7(1),85-106。  new window
17.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
18.Granger, C. W. J.(1981)。Some Properties of Time Series Data and Their Use in Econometric Model Specification。Journal of Econometrics,16(1),121-130。  new window
19.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
20.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
21.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
22.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
23.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
24.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
25.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
26.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
學位論文
1.何彥慶(2001)。九零年前後,臺灣加權股價指數與美國道瓊工業指數、日本股價指數的聯動關係之研究(碩士論文)。國立成功大學。  延伸查詢new window
2.廖珮真(1993)。美、日、英、港、臺五國股市報酬率多元時間數列關聯性之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
3.楊筆琇(199906)。臺灣電子股指數與美國股價指數互動關係之實證研究(碩士論文)。國立成功大學。  延伸查詢new window
圖書
1.Markowitz, H. M.(1959)。Portfolio Selection: Efficient Diversification of Investments。New York:John Wiley and Sons。  new window
圖書論文
1.Akaike, H.(1973)。Information Theory and an Extension of the Maximum Likelihood Principle。Second International Symposium on Information Theory。Budapest, Hungary:Akademiai Kiado。  new window
 
 
 
 
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