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題名:臺灣與主要貿易國的股市關聯性:一般化IRF實證分析
書刊名:東海管理評論
作者:劉宗欣林恭正 引用關係賴美穎
作者(外文):Liu, Zong-shinLin, Kung-chengLai, Mei-ying
出版日期:2006
卷期:8:1
頁次:頁1-32
主題關鍵詞:股市報酬率貿易關係一般化變異數分解衝擊反應Rates of returnTrade relationsGeneralized variance decompositionImpulse response
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(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:15
  • 點閱點閱:53
期刊論文
1.Friedman, J.、Shachmurove, Y.(1997)。Co-Movements of Major European Community Stock Markets: A Vector Autoregression Analysis。Global Finance Journal,8(2),257-277。  new window
2.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
3.Chen, N. F.、Zhang, F.(1997)。Correlations, Trades and Stock Returns of the Pacific-Basin Markets。Pacific-Basin Finance Journal,5(5),559-577。  new window
4.Bracker, K.、Docking, D. S.、Koch, R. D.(1999)。Economic determinants of evolution in international stock market integration。Journal of Empirical Finance,6,1-27。  new window
5.Chen, Gong-meng、Firth, Michael、Rui, Oliver Meng(2002)。Stock market linkages: Evidence from Latin America。Journal of Banking and Finance,26(6),1113-1141。  new window
6.Elyasiani, Elyas、Perera, Priyal、Puri, Tribhuvan N.(1998)。Interdependence and dynamic linkages between stock markets of Sri Lanka and its trading partners。Journal of Multinational Financial Management,8(1),89-101。  new window
7.Chowdhury, A. R.(1994)。Stock Market Interdependencies: Evidence from the Asian NIEs。Journal of Macroeconomics,16(4),629-651。  new window
8.Von Furstenberg, G.、Jeon, B. N.(1989)。International Stock Movements: Links and Messages。Brookings Papers on Economic Activity,1,125-167。  new window
9.Said, S. E.、Dickey, D. A.(1984)。Testing for Unit Root in Autoregressive Moving Average Series of Unknown Order。Biomertrika,71,599-607。  new window
10.Rogers, J.(1994)。Entry Barriers and Price Movements between Major and Emerging Stock Markets。Journal of Macroeconomics,16,221-241。  new window
11.Janakiramanan, S.、Lamba, A. S.(1998)。An Empirical Examination of Linkages between Pacific-Basin Markets。Journal of International Financial Markets, Institutions and Money,8,155-173。  new window
12.Dekker, A.、Sen, K.、Young, M. R.(2001)。Equity Market Linkages in the Asia Pacific Region: A Comparison of the Orthogonalised and Generalised VAR approach。Global Finance Journal,12,1-33。  new window
13.Sims, C. A.(1988)。Bayesian Skepticism on Unit Root Econometrics。Journal of Economic Dynamics and Control,12,463-474。  new window
14.Osterwald-Lenum, M.(1992)。Practitioner's Corner - A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics。Oxford Bulletin of Economics and Statistics,54,461-472。  new window
15.Leachman, L. L.、Francis, B.(1995)。Long-run Relations among the G-5 and G-7 Equity Markets: Evidence on the Plaza and Louvre Accords。Journal of Macroeconomics,17,551-577。  new window
16.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
17.Sheng, H. C.、Tu, A. H.(2000)。A Study of Cointegration and Variance Decomposition among National Equity Indices before and during the Period of the Asian Financial Crisis。Journal of Multinational Financial Management,10(3),345-365。  new window
18.Cha, B.、Oh, S.(2000)。The Relationship between Developed Equity Markets and the Pacific Basin's Emerging Equity Markets。International Review of Economics & Finance,9(4),299-322。  new window
19.Kasa, K.(1992)。Common Stochastic Trends in International Stock Markets。Journal of Monetary Economics,29(1),95-124。  new window
20.Masih, R.、Masih, A. M. M.(2001)。Long and short term dynamic causal transmission amongst international stock markets。Journal of International Money and Finance,20(4),563-587。  new window
21.Kwiatkowski, D.、Phillips, P. C. B.、Schmidt, P.、Shin, Y.(1992)。Testing the null hypothesis of stationarity against the alternative of an unit root: How sure are we that economic time series have a unit root?。Journal of Econometrics,54,159-178。  new window
22.Pesaran, M. H.、Shin, Y.(1998)。Generalised Impulse Response Analysis in Linear Multivariate Models。Economics Letters,58(1),17-29。  new window
23.Cheung, Y. W.、Lai, K. S.(1999)。Macroeconomic determinants of long-term stock market comovements among major EMS countries。Applied Financial Economics,9,73-85。  new window
24.Hall, Alastair R.(1994)。Testing for a Unit Root in Time Series with Pretest Data-based Model Selection。Journal of Business and Economic Statistics,12(4),461-470。  new window
25.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
26.Soydemir, Gökçe(2000)。International Transmission Mechanism of Stock Market Movements: Evidence from Emerging Equity Markets。Journal of Forecasting,19(3),149-176。  new window
27.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
28.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
29.Pretorius, E.(2002)。Economic Determinants of Emerging Stock Market Interdependence。Emerging Markets Review,3(1),84-105。  new window
30.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
31.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
圖書論文
1.Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。  new window
 
 
 
 
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