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題名:Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries
書刊名:International Journal of Business and Economics
作者:Yang, Sheng-YungDoong, Shuh-Chyi
出版日期:2004
卷期:3:2
頁次:頁139-153
主題關鍵詞:Exchange rateStock priceBivariate EGARCH modelAsymmetric volatility spillover
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(5) 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:5
  • 共同引用共同引用:0
  • 點閱點閱:24
This paper explores the nature of the mean and volatility transmission mechanism between stock and foreign exchange markets for the G-7 countries. Empirical evidence supports the asymmetric volatility spillover effect and shows that movements of stock prices will affect future exchange rate movements, but changes in exchange rates have less direct impact on future changes of stock prices. The implication is particularly important to international portfolio managers when devising hedging and diversification strategies for their portfolios.
期刊論文
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2.Nie, C.C.、Lee, C. F.(2001)。Dynamic Relationships between Stock Prices and Exchange Rates for G-7 Countries。Quarterly Review of Economics and Finance,41(4),477-490。  new window
3.Laopodis, N. T.(1998)。Asymmetric Volatility Spillovers in Deutsche Mark Exchange Rates。Journal of Multinational Financial Management,8(4),413-430。  new window
4.Bahmani-Oskooee, Mohsen、Sohrabian, Ahmad(1992)。Stock Prices and the Effective Exchange Rate of the Dollar。Applied Economics,24(4),459-464。  new window
5.黃柏農、Granger, Clive William John、楊慶偉(2000)。A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu。The Quarterly Review of Economics and Finance,40(3),337-354。  new window
6.So, R. W.(2001)。Price and volatility spillovers between interest rate and exchange value of the US dollar。Global Finance Journal,12(1),95-107。  new window
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15.Lee, T. H.、Tse, Y.(1996)。Cointegration Tests with Conditional Heteroskedasticity。Journal of Econometrics,73(2),401-410。  new window
16.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
17.Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement,3(4),653-665。  new window
18.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
19.Koutmos, Gregory、Booth, G. Geoffrey(1995)。Asymmetric Volatility Transmission in International Stock Markets。Journal of International Money and Finance,14(6),747-762。  new window
20.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
21.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
22.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics,72(3),498-505。  new window
23.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
24.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
25.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
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圖書
1.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
圖書論文
1.Branson, W. H.(1983)。Macroeconomic Determinants of Real Exchange Risk。Managing Foreign Exchange Risk。Cambridge:Cambridge University Press。  new window
2.Frankel, J. A.(1983)。Monetary and portfolio-balance models of exchange rate determination。Economic Interdependence and Flexible Exchange Rates。Cambridge, MA:MIT Press。  new window
 
 
 
 
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