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題名:臺灣股票及外匯市場價量非線性因果關係之探討
書刊名:經濟與管理論叢
作者:陳仕偉 引用關係陳俊偉
作者(外文):Chen, Shyh-weiChen, Chun-wei
出版日期:2006
卷期:2:1
頁次:頁21-51
主題關鍵詞:股票市場外匯市場非線性Granger因果關係波動群聚性Stock marketForeign exchange marketNonlinear granger causalityHeteroscedasticity
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)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:10
  • 點閱點閱:29
期刊論文
1.Aggarwal, R.(1981)。Exchange Rates and Stock Prices: A Study of U.S. Capital Market under Floating Exchange Rates。Akron Business and Economic Review,12,7-12。  new window
2.Denker, M.、Keller, G.(1983)。Rigorous Statistical Procedures for Data from Dynamical Systems。Journal of Statistical Physics,44,67-93。  new window
3.Epps, T.、Epps, M.(1976)。The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for Mixture-of-Distribution Hypothesis。Econometrica,44,305-321。  new window
4.Franck, P.、Young, A.(1972)。Stock Price Reaction of Multinational Firms to Exchange Realignments。Financial Management,1,66-73。  new window
5.Granger, C. W. J.、Morgenstem, O.(1963)。Spectral Analysis of New York Stock Market Prices。Kyklos,16,1-27。  new window
6.Granger, C. W. J.、Yang, C. W.、Huang, B.(2000)。Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu。The Quarterly Review of Economics and Finance,40,337-354。  new window
7.Hsieh, D.(1991)。Chaos and Nonlinear Dynamics: Application to Financial Markets。Journal of Finance,46,1839-1877。  new window
8.Issam, S.、Murinde, V.、Abdalla, A.(1997)。Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India. Korea, Pakistan and the Philippines。Applied Financial Economics,7,25-35。  new window
9.Ong, L.、Izan, H. Y.、Clements, K.(1999)。The World Real Interest Rale: Stochastic Index Number Perspectives。Journal of International Money and Finance,18,225-249。  new window
10.Osborne, M. F. M.(1959)。Brownian Motion in the Stock Marke。Operation Research,7,145-173。  new window
11.Phillips, P. C. B.(1986)。Understanding Spurious Regressions in Econometrics。Journal of Econometrics,33,311-340。  new window
12.Soenen, Luc A.、Hennigar, Elizabeth S.(1988)。An Analysis of Exchange Rates and Stock Prices--The U.S. Experience between 1980 and 1986。Akron Business and Economic Review,19(4),7-16。  new window
13.Ying. C. C.(1966)。Market Prices and Volume of Sales。Econometrica,34,676-686。  new window
14.Yu, Q.(1997)。Stock Prices and Exchange Rates: Experience in Leading East Asian Financial Countries: Tokyo, Hong Kong and Singapore。Singapore Economic Review,41,47-56。  new window
15.Lakonishok, J.、Smidt, S.(1989)。Past Price Changes and Current Trading Volume。Journal of Portfolio Management,15(4),18-24。  new window
16.Grassberger, P.、Procaccia, I.(1983)。Measuring the Strangeness of Strange Attractors。Physica D.,9,189-208。  new window
17.Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica,41(1),135-155。  new window
18.Jennings, R. H.、Starks, L. T.、Fellingham, J. C.(1981)。An Empirical Model of Asset Trading with Sequential Information Arrival。Journal of Finance,36,143-161。  new window
19.Harris, L.(1987)。Transaction data tests of the mixture of distributions hypothesis。Journal of Financial and Quantitative Analysis,22,127-141。  new window
20.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
21.Brock, W. A.、Dechert, W. D.、Scheinkman, J. A.、LeBaron, Blake(1996)。A Test for Independence Based on the Correlation Dimension。Econometric Reviews,15(3),197-235。  new window
22.Gallant, A. R.、Rossi, P. E.、Tauchen, G.(1992)。Stock Prices and Volume。The Review of Financial Studies,5(2),199-242。  new window
23.許溪南、黃文芳(19970600)。臺灣股市價量線性與非線性關係之研究。管理學報,14(2),177-195。new window  延伸查詢new window
24.蕭文宗、陳乙銘(19980300)。匯率及其波動對我國出口產業的影響。臺灣銀行季刊,49(1),47-66。new window  延伸查詢new window
25.Copeland, T. E.(1976)。A model of asset trading under the assumption of sequential information arrival。Journal of Finance,31,1149-1168。  new window
26.Rogalski, R. J.(1978)。The dependence of prices and volume。Review of Economics and Statistics,60(2),268-274。  new window
27.Hiemstra, C.、Jones, J. D.(1994)。Testing for linear and nonlinear granger causality in the stock price-volume relation。The Journal of Finance,49(5),1639-1664。  new window
28.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
29.Campbell, John Y.、Grossman, Sanford J.、Wang, Jiang(1993)。Trading volume and serial correlation in stock returns。The Quarterly Journal of Economics,108(4),905-939。  new window
30.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
31.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  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
研究報告
1.Brock, W. A.、Dechert, W.、Scheinkman, J.(1987)。A Test for Independence Based on the Correlation Dimension。University of Wisconsin at Madison。  new window
2.Baek, E.、Brock, W.(1992)。A General Test for Nonlinear Granger Causality: Bivariate Modle。Madison:Iowa State University:University of Wisconsin。  new window
學位論文
1.陳永茂(1993)。臺灣證券市場股票價格與成交量關係之實證研究(碩士論文)。國立臺灣科技大學。  延伸查詢new window
2.殷惠緡(2001)。股價與匯價關聯性分析---多變量GARCH模式運用(碩士論文)。淡江大學。  延伸查詢new window
3.彭素玲(1997)。新台幣兌美元價量關係之研究(碩士論文)。國立暨南國際大學。  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.劉永欽(1996)。臺灣股票市場價量之線性與非線性Granger因果關係之研究(碩士論文)。國立交通大學。  延伸查詢new window
6.蘇英谷(1999)。匯率波動對股價報酬之影響--條件變異數不對稱模型實證研究(碩士論文)。淡江大學。  延伸查詢new window
7.陳東明(1991)。臺灣股票市場價量關係之實證研究(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書
1.Anderson, P. W.、Arrow, K. J.、Pines, D.(1988)。The Economy as an Evolving Complex System。Addison-Wesley Publishing。  new window
2.Brock, W. A.、Hsieh, D. A.、LeBaron, B.(1991)。Nonlinear Dynamics, and Instability。Cambridge, MA:MIT Press。  new window
3.Jones, C. K.(1992)。Portfolio Management: New Models for Successful Investment Decisions。London:Mc-Graw HiLL Inc.。  new window
單篇論文
1.Jaditz, T.,Jones, J.(1992)。Granger Causality behveen the Consumer and Wholesale Price Indices,Washington:Bureau of Labor Statistics and Securities and Exchange Commission。  new window
圖書論文
1.Branson, W. H.、Henderson, D. W.(1985)。The Specification and Influence of Asset Markets。Handbook of International Economics。Amsterdam:Elsevier Science Publishers。  new window
2.Brock, W. A.(1991)。Causality,Chaos, Explanation and Predication in Economics and Finance。Beyond Belief: Randomness, Prediction and Explanation in Science。Boca Raton, Fla:CRC Press。  new window
 
 
 
 
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