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題名:美國與臺灣總體經濟訊息對臺灣現貨與期貨市場之影響與不對稱波動傳遞之現象
書刊名:東海管理評論
作者:陳君達陳志鈞 引用關係李文雄
作者(外文):Chen, Chun-daChen, Chin-chunLee, Wen-shiung
出版日期:2007
卷期:9:1
頁次:頁65-90
主題關鍵詞:GJR-GARCH模型總體經濟訊息宣告現貨市場期貨市場GJR-GARCH modelMacroeconomic information announcementFutures marketStock market
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:76
  • 點閱點閱:32
期刊論文
1.王凱立、陳美玲(2002)。美國和台灣股票期貨市場之動態關聯:一般化多變量GARCH模型的應用。經濟論文,30(4),363-407。new window  延伸查詢new window
2.江明憲、陳英生(2001)。台灣股市日内報酬波動之研究。證券市場發展季刊,13(1),99-132。new window  延伸查詢new window
3.翁霓、盛瀚陞(200209)。股價指數期貨與股價指數現貨間領先落後關係之實證研究--以總體經濟資訊宣告為例。產業金融季刊,116,2-21。  延伸查詢new window
4.楊聲勇、董澍琦、王澤世、張德立(2005)。美國存託憑證與其標的股之報酬與波動性的日內動態傳遞研究--以亞洲四小龍為例。經濟與管理論叢,2(3),119-141。new window  延伸查詢new window
5.Crain, S. J.、Lee, J. H.(1995)。Intraday Volatility in Interest Rate and Foreign Exchange Spot and Futures Markets。Journal of Futures Markets,15(4),395-421。  new window
6.Engle, R. F.(1982)。Autoregressive Condition Heteroskedestivity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50,987-1007。  new window
7.Greg A.、Grant, M.、Robert, W.(2004)。The Effects of Inflation News on High Frequency Stock Returns。Journal of Business,77(3),547-574。  new window
8.Gwilym, O. A.、Buckle, M.(2001)。The Lead-lag Relationship between the FTSE100 Stock Index and its Derivative Contracts。Applied Financial Economics,11(4),385-393。  new window
9.Keamey, C.(2000)。The Determination and International Transmission of Stock Market Volatility。Global Finance Journal,11(1),31-66。  new window
10.Kim, S.、In, F.(2002)。The Influence of Foreign Stock Markets and Macroeconomic News Announcements on Australian Financial Markets。Pacific-Basin Finance Journal,10,571-582。  new window
11.Mun, Kyung-Chun(2005)。Contagion and Impulse Response of International Stock Markets around the 9-11 Terrorist Attacks。Global Finance Journal,16(1),48-68。  new window
12.Scheicher, M.(2001)。The Comovements of Stock Markets in Hungary, Poland and the Czech Republic。International Journal of Finance and Economics,6(1),27-39。  new window
13.Sim, A.、Zurbreugg, R.(1999)。International Volatility and Price Interactions between Australian and Japanese Spot and Futures Stock Index Markets。The Journal of Futures Markets,19(5),523-540。  new window
14.Shyy, G.、Vijayraghavan, V.、Scott, Q. B.(1996)。A Future Investigation of the Lead-lag Relationship between the Cash Market and Stock Index Futures Market with the Use of Bid/ask Quotes: The Case of France。Journal of Futures Markets,16(1),55-69。  new window
15.Frino, A.、Walter, T.、West, A.(2000)。The Lead-lag Relationship between Equities and Stock Index Futures Markets around Information Releases。Journal of Futures Markets,20(5),467-487。  new window
16.Ederington, Louis H.、Lee, Jae Ha(1993)。How Markets Process Information: News Releases and Volatility。Journal of Finance,48(4),1161-1191。  new window
17.Hunter, D. M.、Simon, D. P.(2005)。A Conditional Assessment of the Relationships between the Major World Bond Markets。European Financial Management,11(4),463-482。  new window
18.李顯儀、吳幸姬(20050900)。臺灣股票市場中訊息的反應與傳遞效果之研究。輔仁管理評論,12(3),71-94。new window  延伸查詢new window
19.Ng, Angela(2000)。Volatility Spillover Effects from Japan and the US to the Pacific-Basin。Journal of International Money and Finance,19(2),207-233。  new window
20.黃博怡、陳君達(20021200)。臺灣與美日兩國股市股價的關聯性--分類股價指數門檻GARCH模型分析。臺灣銀行季刊,53(4),67-88。new window  延伸查詢new window
21.Green, T. Clifton(2004)。Economic News and the Impact of Trading on Bond Prices。Journal of Finance,59(3),1201-1234。  new window
22.劉美纓、王甡、蔡美華(20010800)。臺股指數現貨與期貨日內報酬波動不對稱關聯性之研究。貨幣市場,5(4),17-40。  延伸查詢new window
23.Wang, P.、Wang, P.(1999)。Foreign Exchange Market Volatility in Southeast Asia。Asia-Pacific Financial Markets,6(3),235-252。  new window
24.Koutmos, G.、Tucker, M.(1996)。Temporal Relationships and Dynamic Interactions between Spot and Futures Stock Markets。Journal of Futures Markets,16(1),55-69。  new window
25.Antoniou, Antonios、Holmes, Phil、Priestley, Richard(1998)。The Effects of Stock Index Futures Trading on Stock Index Volatility: An Analysis of the Asymmetric Response of Volatility to News。Journal of Futures Markets,18(2),151-166。  new window
26.Wahab, Mahmoud、Lashgari, Malek(1993)。Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach。Journal of Futures Markets,13(7),711-742。  new window
27.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
28.Holthausen, R. W.、Verrecchia, R. E.(1988)。The Effect of Sequential Information Releases on the Variance of Price Changes in an Intertemporal Multi-Asset Market。Journal of Accounting Research,26(1),82-106。  new window
29.王甡(19950100)。報酬衝擊對條件波動所造成之不對稱效果--臺灣股票市場之實證分析。證券市場發展,7(1)=25,125-161。new window  延伸查詢new window
30.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
31.Kim, Oliver、Verrecchia, Robert E.(1991)。Trading Volume and Price Reactions to Public Announcements。Journal of Accounting Research,29(2),302-321。  new window
32.Foster, F. D.、Viswanathan, S.(1993)。The effect of public information and competition on trading volume and price volatility。Review of Financial Studies,6(1),23-56。  new window
33.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
34.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
35.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
36.Lin, Wen-Ling、Engle, Robert F.、Ito, Takatoshi(1994)。Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility。Review of Financial Studies,7(3),507-538。  new window
會議論文
1.林卓民、王凱立、王美智(2004)。美國與台灣跨國債券市場交互動態關係之研究。第八届經濟發展學術研討會。  延伸查詢new window
研究報告
1.Glosten, L.、Jagannathan, R.、Runkle, D.(1989)。Relationship between the Expected Value and the Volatility of the Nominal Excess Return and Stocks。Department of Finance, Columbia University。  new window
學位論文
1.徐鍵欣(2004)。定期總體經濟訊息之宣告效果--以台指現貨、期貨及台指選擇權VIX為例(碩士論文)。國立臺北大學。  延伸查詢new window
2.勵志雄(1999)。開放摩根台股指數期貨交易對台灣股市波動與資訊傳遞影響之研究(碩士論文)。國立高雄第一科技大學。  延伸查詢new window
3.張珍鳳(1995)。美國總體經濟消息宣告對亞洲股市影響之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
4.蔡垂君(2003)。臺灣股價指數期貨與現貨之實證研究(博士論文)。國立臺北大學。new window  延伸查詢new window
 
 
 
 
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