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題名：股價報酬與實質經濟活動的關聯性--跨國的實證研究
書刊名：臺灣銀行季刊
作者：陳仕偉 引用關係／陳續文
出版日期：2010
卷期：61:3
頁次：頁262-300
主題關鍵詞：股價報酬；實質經濟活動
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(2) 專書(0) 專書論文(0)
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  • 點閱點閱:7
本文旨在檢定實質國內生產毛額成長率與股價報酬率之因果關係，我們以十個經濟合作暨發展組織國家作為研究對象。在共整合的檢定過程中，我們採用Pesaran et al.(2001) 的邊界共整合檢定法進行實證研究，為了驗證邊界檢定結果的頑強性，我們同時配合Johansen (1988) 及Gregory and Hansen (1996) 的結果作為另一個參考依據。在因果關係檢定方法上，除傳統線性因果關係檢定，另採用Hiemstra and Jones (1994) 非線性因果檢定與Diks and Panchenko (2006) 修正後非線性因果關係檢定，以彌補線性檢定的不足。共整合檢定結果顯示，加拿大、芬蘭、義大利與美國共計四個國家存在長期均衡關係。線性因果關係檢定結果顯示：澳洲、加拿大、芬蘭、法國、瑞士、英國與美國的股價報酬率對實質GDP 成長率存在單向因果關係，義大利的兩個變數則互不相關，而韓國則存在線性的反饋因果關係。非線性因果關係結果顯示：加拿大、法國、韓國的股票報酬率對實質GDP 成長率存在單向非線性因果關係，芬蘭、瑞士、英國與美國皆檢定出存在反饋非線性因果關係。本文所得到的因果關係檢定結果與Mauro (2003) 所提出的四種假說相互呼應。
期刊論文
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4.Vishny, R. W.、Shleifer, A.、Morck, R.(1990)。The Stock Market and Investment: Is the Market a Sideshow?。Brookings Papers on Economic Activity，2，157-215。  new window
5.Hiemstra, C.、Jones, J. D.(1994)。Testing for linear and non-linear Granger causality in the stock price-volume relation。Journal of Finance，49，1639-1664。  new window
6.Gallegati, M.(2008)。Wavelet analysis of stock returns and aggregate economic activity。Computational Statistics & Data Analysis，52，3061-3074。  new window
7.Diks, C.、Panchenko, V.(2005)。A Note on the Hiemstra-Jones Test for Granger Non-Causality。Studies in Nonlinear Dynamics and Econometrics，9(2)，4。  new window
8.Mauro, P.(2003)。Stock Returns and Output Growth in Emerging and Advanced Economies。Journal of Development Economics，71，129-153。  new window
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17.Granger, C. W. J.(1969)。Investigating Causal Relations by Econometric Methods and Cross-Spectral Methods。Econometrica，34，424-438。  new window
18.Domian, D. L.、Louton, D. A.(1997)。A threshold autoregressive analysis of stock returns and real economic activity。International Review of Economics and Finance，6(2)，167-179。  new window
19.Gregory, A. W.、Hansen, B. E.(1996)。Residual-based tests for cointegration in models with regime shifts。Journal of Econometrics，70(1)，99-126。  new window
20.Binswanger, M.(2000)。Stock Returns and Activity: Is there Still Connection?。Applied Financial Economics，10，379-387。  new window
21.Canova, F.、Nicolo, G. D.(1995)。Stock Returns and Real Activity: A Structural Approach。European Economic Review，39，981-1015。  new window
22.Chaudhuri, I. K.、Smilies, S.(2004)。Aggregate Economic Activity: Evidence from Australia。Applied Financial Economics，14，12-129。  new window
23.Hassapis, C.、Kalyvitis, S.(2002)。Investigating the Links between growth and Real Stock Price Changes with Empirical Evidence from the G-7 economies。Quarterly Review of Economics and Finance，42，543-575。  new window
24.Hassapis, C.、Kalyvitis, S.(2002)。On the Propagation of the Fluctuations of Stock Returns on Growh: IS the Global Effect Important。Journal of Policy Modeling，24，487-502。  new window
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26.Merikas, A. G.、Merika, A. A.(2006)。Stock prices response to real economic variables: the case of Germany。Managerial Finance，32(5)，446-450。  new window
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28.Schmidt, P.、Phillips, C. B.(1992)。LM Test for a Unit Root in the Presence id Deterministic Trends。Oxford Bulletin of Economics and Statistic，54(3)，257-276。  new window
29.Silvapulle, P.、Silvapulle, M.(1999)。Testing for Asymmetry in the Relationship between the Malaysian Business Cycle and the Stock and the Stock Market。Quarterly Journal of Business and Economics，38，16-25。  new window
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31.Phillips, P. C. B.(1987)。Time series regression with a unit root。Econometrica: Journal of the Econometric Society，55(2)，277-301。  new window
32.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control，12(2/3)，231-254。  new window
33.Engle, Robert F.、Granger, Clive W. J.(1987)。Co-integration and Error Correction: Representation, Estimation, and Testing。Econometrica: Journal of the Econometric Society，55(2)，251-276。  new window
34.Pesaran, M. Hashem、Shin, Yongcheol、Smith, Richard J.(2001)。Bounds testing approaches to the analysis of level relationships。Journal of Applied Econometrics，16(3)，289-326。  new window
35.Binswanger, M.(2004)。Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?。The Quarterly Review of Economics and Finance，44，237-252。  new window
36.Elliott, Graham、Rothenberg, Thomas J.、Stock, James H.(1996)。Efficient tests for an autoregressive unit root。Econometrica，64(4)，813-836。  new window
37.Kwiatkowski, Denis、Phillips, Peter C. B.、Schmidt, Peter、Shin, Yongcheol(1992)。Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?。Journal of Econometrics，54(1-3)，159-178。  new window
38.Zivot, Eric、Andrews, Donald W. K.(1992)。Further Evidence on the Great Crash, the Oil-price Shock, and the Unit-root Hypothesis。Journal of Business and Economic Statistics，10(3)，251-270。  new window
39.Fama, E. F.(1990)。Stock Returns, Expected Returns, and Real Activity。The Journal of Finance，45(4)，1089-1108。  new window
40.Lee, Bong-Soo(1992)。Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation。Journal of Finance，47(4)，1591-1603。  new window
41.Schwert, G. William(1990)。Stock Returns and Real Activity: A Century of Evidence。The Journal of Finance，45(4)，1237-1257。  new window
42.Huang, B. N.、Yang, C. W.(2004)。Industrial Output and Stock Price Revisited: An Application of the Multivariate Indirect Causality Model。The Manchester School，72(3)，347-362。  new window
43.Aylward, A.、Glen, J.(2000)。Some International Evidence on Stock Prices as Leading of Economic Activity。Applied Financial Economics，10，1-14。  new window
44.Hassapis, C.(2003)。Financial Variables and Real Activity in Canada。Canadian Journal of Economics，36(2)，421-444。  new window
會議論文
1.Chen, P. F.、Lee, C. C.、Wong, S. Y.(2006)。Is Rate of Stock Returns a Leading Indicator of Output Growth? In the Case of Four East Asian Countries。The 5th International Conference on Computational Intelligence in Economics and Finance。  new window
研究報告
1.Baek, E.、Brock, W.(1992)。A General Test for Nonlinear Granger Causality: Bivariate Model。Iowa State University。  new window
2.Stock, J. H.、Watson, W. M.(1990)。Business cycle properties of selected U.S. economic time series, 1959-1988。Cambridge, MA：NBER。  new window
其他
1.Siliverstovs, B.，Duong, M. H.(2006)。On the Role of Stock Market for Real Economic Activity: Evidence for Europe。  new window
 
 
 
 
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