:::

詳目顯示

回上一頁
題名:美國存託憑證與其標的股之報酬與波動性的日內動態傳遞研究--以亞洲四小龍為例
書刊名:經濟與管理論叢
作者:楊聲勇 引用關係董澍琦 引用關係王澤世 引用關係張德立
作者(外文):Yang, Sheng-yungDoong, Shuh-chyiWang, Alan T.Chang, Te-li
出版日期:2005
卷期:1:2
頁次:頁119-141
主題關鍵詞:美國存託憑證外溢效果亞洲金融風暴911恐怖攻擊事件ADRSpillover effectAsian financial crisisSeptember 11 attacks
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(6) 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:6
  • 共同引用共同引用:0
  • 點閱點閱:25
本研究主要在探討亞洲四小龍的美國存託憑證與其標的股之間報酬與波動性的日內動態傳遞關係,並研究亞洲金融風暴與911恐怖攻擊事件對美國存託憑證與其標的股的影響。實證研究結果發現,美國存託憑證與其標的股在報酬的傳遞上具有雙向的報酬外溢效果,且標的股影響美國存託憑證的程度較大;而在波動的傳遞方面,則大多具有至少單方向的波動外溢效果,也就是標的股影響美國存託憑證者較多且較顯著,顯示本國市場為支配市場,而美國市場則為跟隨市場。在資訊傳遞的效率上,我們發現美國存託憑證有落後一期的報酬外溢效果,顯示美國存託憑證無法立即完全反映來自本國市場的價格資訊而有延遲反映的現象。
期刊論文
1.Lieberman, O.、Ben-Zion, U.、Hauser, S.(1999)。A characterization of the price behavior of international dual stocks: an error correction approach。Journal of International Money and Finance,18(2),289-304。  new window
2.Kim, M.、Szakmary, Andrew C.、Mathur, I.(2000)。Price Transmission Dynamics between ADRs and Their Underlying Foreign Securities。Journal of Banking and Finance,24(8),1359-1382。  new window
3.Theodossiou, P.、Lee, U.(1993)。Mean and Volatility Spillovers across Major National Stock Market: Further Empirical Evidence。The Journal of Finance Research,16(4),337-350。  new window
4.Wang, S. S.、Rui, O. M.、Firth, M.(2002)。Return and Volatility Behavior of Dually-Traded Stock: The Case of Hong Kong。Journal of International Money and Finance,21,265-293。  new window
5.Pagan, A.、Schwert, G.(1990)。Alternative Models for Common Stock Volatility。Journal of Econometrics,45,267-290。  new window
6.Kim, S. W.、Rogers, J. H.(1995)。International Stock Price Spillovers and Market Liberalization: Evidence from Korea, Japan, and the United States。Journal of Empirical Finance,2,117-133。  new window
7.Lamoureux, C. G.、Lastrapes, W. D.(1990)。Heteroskedasticity in Stock Return Data: Volume verses GARCH Effects。Journal of Finance,45,221-229。  new window
8.Lau, S. T.、Diltz, J. D.(1994)。Stock Returns and the Transfer of Information between the New York and Tokyo Stock Exchanges。Journal of International Money and Finance,13,211-222。  new window
9.Kato, Kiyoshi、Linn, Scott、Schallheim, James(1991)。Are There Arbitrage Opportunity in the Market for American Depository Receipt?。Journal of International Financial Market, Institutions and Money,1,73-89。  new window
10.Ely, D.、Salehizadeh, M.(2001)。American Depositary Receipt: An Analysis of International Stock Price Movements。International Review of Financial Analysis,10,343-363。  new window
11.Errunza, V.、Losq, E.(1985)。The Behavior of Stock Prices on LDC Markets。Journal of Banking and Finance,9,561-575。  new window
12.French, K. R.(1980)。Stock Returns and Weekend Effect。Journal of Financial Economics,8,55-69。  new window
13.Chen, S. Y.、Chou, L. C.、Yang, C. C.(2002)。Price Transmission Effect between GDRs and their Underlying Stocks-Evidence from Taiwan。Review of Quantitative Finance and Accounting,19,181-214。  new window
14.Connolly, R. A.(1989)。An Examination of the Robustness of the Weekend Effect。Journal of Financial and Quantitative Analysis,24,133-169。  new window
15.Bae, K. H.、Karolyi, A. G.(1994)。Good News, Bad News and International Spillovers of Stock Return Volatility between Japan and the US。Pacific-Basin Finance Journal,2,405-438。  new window
16.Susmel, R.、Engel, R. F.(1994)。Hourly volatility spillovers between international equity markets。Journal of International Money and Finance,13(1),3-25。  new window
17.Neumark, D.、Tinsley, P. A.、Tosini, S. S.(1991)。After Hours Stock Prices and Post Crash Hangovers。Journal of Finance,46,159-178。  new window
18.von Furstenberg, G.、Jeon, B. N.(1989)。International Stock Price Movements: Links and Messages。Brookings Papers on Economic Activity,1,125-167。  new window
19.Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis,25(2),307-327。  new window
20.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
21.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
22.Bekaert, G.、Harvey, C. R.(1995)。Time-Varying World Market Integration。The Journal of Finance,50(2),403-444。  new window
23.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
24.Hamao, Yasushi、Masulis, Ronald W.、Ng, Victor K.(1990)。Correlations in Price Changes and Volatility across International Stock Markets。The Review of Financial Studies,3(2),281-307。  new window
25.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
26.Kim, Dongcheol、Kon, Stanley J.(1994)。Alternative Models for the Conditional Heteroscedasticity of Stock Returns。The Journal of Business,67(4),563-598。  new window
27.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
28.Bollerslev, Tim、Wooldridge, Jeffrey M.(1992)。Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances。Econometric Reviews,11(2),143-172。  new window
29.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
30.Christie, Andrew A.(1982)。The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。  new window
31.Lin, Wen-Ling、Engle, Robert F.、Ito, Takatoshi(1994)。Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility。Review of Financial Studies,7(3),507-538。  new window
32.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
33.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
會議論文
1.Black, Fisher(1976)。Studies of Stock Price Volatility Changes。The 1976 Meeting of Business and Economic Statistics Section。American Statistical Association。177-181。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top