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題名:The Macroeconomic Determinants of Stock Price Volatility: Evidence from Taiwan, South Korea, Singapore and Hong Kong
書刊名:環境與管理研究
作者:邱魏頌正 引用關係
作者(外文):Chiou-Wei, Song-zan
出版日期:2007
卷期:8:2
頁次:頁114-134
主題關鍵詞:Stock priceVolatilitySVARCointegrationECM
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)
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  • 共同引用共同引用:0
  • 點閱點閱:3
This paper investigates the roles of macroeconomic variables, i.e., money supply, oil price, exchange rate and inflation on the stock price using four Asia stock markets as samples (Taiwan, South Korea and Singapore and Hong Kong). A structural VAR model is applied to observe the differences of the structure of fluctuations after the 1997 financial crisis. Our results suggest that there exists no cointegrating relationship among variables during the pre-crisis period while exists one during the post-crisis period. Oil prices and exchange rate are found to be the main factors that would significantly and negatively affect stock returns throughout the period. Results also indicate that effect of inflation has increased substantially for Singapore and Hong Kong after the crisis.
期刊論文
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圖書
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