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外文摘要
引文資料
題名:
亞洲金融危機前後匯率波動不對稱現象之比較與政策意涵
書刊名:
臺灣管理學刊
作者:
楊踐為
/
胥愛琦
/
吳清豐
作者(外文):
Yang, Jac, J. W.
/
Hsu, Ai-chi
/
Wu, Ching-feng
出版日期:
2005
卷期:
5:2
頁次:
頁187-207
主題關鍵詞:
波動率不對稱
;
亞洲金融危機
;
匯率
;
Asymmetric volatility
;
Asian financial crisis
;
Exchang rate
原始連結:
連回原系統網址
相關次數:
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:
2
共同引用:
5
點閱:20
金融資產報酬波動率的不對稱現象近年來受到相當的重視,唯其形成原因在股票市場與匯率市場各有不同解釋,仍未能達成一致共識。本文主要探討亞洲七個國家與地區在經歷金融危機後,其匯率波動率之不對稱程度是否有所不同,並瞭解危機前後政府的匯率干預政策是否有所改變,來觀察匯率波動率不對稱程度與政策干預程度間的互動關係。實證資料涵蓋七個國家地區近五年的日匯率資料,透過EGARCH模式分別探討其波動率不對稱程度,結果顯示除了泰國外,其他六個國家地區的匯率報酬率都呈現波動率不對稱之現象。將樣本期間分為金融危機前後兩個子期,再比較其不對稱程度時,則發現不對稱之強弱似乎與政策干預程度之間具有正向變化關係。
以文找文
The asymmetric volatility of financial asset returns has attracted much interest in recent years. The causes of it, however, have not reached a consensus for both the stock and exchange rate markets. This paper mainly investigates if there is differential degree of volatility asymmetry before and after government’s intervention policy change in weathering through Asian financial crisis and the association between asymmetric volatility and policy change for seven Asian markets. An EGARCH model is applied to the five years’ daily exchange rates to examine the degree of asymmetric volatility. The results show that the asymmetric volatility is present in six markets, with the exception of Thailand. In addition, a positive relationship between the magnitude of asymmetry and degree of policy intervention is affirmed in exchange rate markets.
以文找文
期刊論文
1.
Koutmos, Gregory、Saidi, Reza(1995)。The Leverage Effect in Individual Stocks and the Debt to Equity Ratio。Journal of Business Finance & Accounting,22,1063-1075。
2.
Amin, K. I.、Ng, V. K.(1993)。Option Valuation with Systematic Stochastic Volatility。Journal of Finance,48,881-910。
3.
Hafner, C. M.(1998)。Estimating high-frequency foreign exchange Rate volatility with nonparametric ARCH models。Journal of Statistical Planning and Studies,3(2),281-307。
4.
Dominguez, K. M.(1998)。Central bank intervention and exchange rate volatility。Journal of International Money and Finance,17,161-190。
5.
Hsieh, David A.(1993)。Implications of Nonlinear Dynamics for Financial Risk Management。Journal of Financial and Quantitative Analysis,28(1),41-64。
6.
Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。
7.
Schwert, G. William(1990)。Stock Volatility and the Crash of '87。Review of Financial Studies,3(1),77-102。
8.
Christie, A. A.(1982)。The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。
9.
Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。
10.
Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。
11.
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。
12.
楊踐為(20000500)。The Leverage Effect and Herding Behaviour in Taiwan's Stock Market。風險管理學報,2(1),69-86。
13.
Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。
14.
Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。
圖書
1.
International Monetary Fund(1997)。World Economic Outlook。Washington, D.C.:IMF Publication Services。
2.
International Monetary Fund(1998)。World Economic Outlook: May and October 1998。
其他
1.
Aguilar, J. and S. Nydahl(2000)。Central Bank Intervention and Exchange Rates: the Case of Sweden。
2.
Black, F.(1976)。Studies in Stock Price Volatility Changes。
3.
Boorman, J., T. Lane, M. Schulze-Ghattas, A. Bulir, A. R. Ghosh, J. Hamann, A. Mourmouras, and S. Phillips(2000)。Managing Financial Crises: The experience in East Asia,IMF。
4.
Chelley-Steeley, P. L. and J. M. Steeley(1996)。Volatility, Leverage and Firm size: The U.K. Evidence。
5.
Chen, A. S. and M. T. Leung(1998)。Stochastic Properties and Predictability of Intraday Taiwan Exchange Rates。
6.
Episcopos, A.(1996)。Stock Return Volatility and Time-Varying Betas in the Toronto Stock Exchange。
7.
Hogan, Jr. K. C. and M. T. Melvin(1994)。Sources of Meteor Showers and Heat Waves in the Foreign Exchange Market。
8.
Hopper, G. P.(1997)。What Determines the Exchange Rate: Economic Factors or Market Sentiment?。
9.
Hu, M. Y., C. X. Jiang and C. Tsoukalas(1997)。The European Exchange Rates Before and After the Establishment of the European Monetary System。
10.
Hung, J.(1997)。Intervention Strategies and Exchange Rate Volatility: A Noise Trading Perspective。
11.
Kim, S. J.(1998)。Do Australian and the US Macroeconomic News Announcements Affect the USD/AUD Exchange Rate? Some Evidence from E-GARCH Estimations。
12.
Kim, S. J., T. Kortian and J. Sheen(2000)。Central Bank Intervention and Exchange Rate Volatility - Australian Evidence。
13.
Laopodis, N. T.(1997)。U.S. Dollar Asymmetry and Exchange Rate Volatility。
14.
Lindgren, C., T. J. Balino, C. Enoch, A. Gulde, M. Quintyn, and L. Teo(1999)。Financial Sector Crisis and Restructuring: Lessons from Asia,IMF。
15.
Lo, A. and C. MacKinlay(1987)。An Econometric Analysis of Nonsynchronous Trading。
16.
Morana, C. and A. Beltratti(2000)。Central Bank Interventions and Exchange Rates: An Analysis with High Frequency Data。
17.
Pierre, E. F. St.(1998)。The Impact of Option Introduction on the Condition Return Distribution of Underlying Securities。
18.
Sentana, E. and S. Wadhwani(1992)。Feedback Traders and Stock Return Autocorrections: Evidence from a Century of Daily Data。
19.
Siriwardana, M. and D. Schulze(2000)。Singapore and the Asian Economic Crisis: An Assessment of Policy Responses。
20.
Skinner, D.(1989)。Open Markets and Stock Return Volatility。
21.
Theodossiou, P.(1994)。The Stochastic Properties of Major Canadian Exchange Rates。
22.
Tse, Y. K. and K. C. Tsui(1997)。Conditional Volatility in Foreign Exchange Rates: Evidence form the Malaysian Ringgit and Singapore Dollar。
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