匯率引導股價或股價引導匯率？G-7的實證研究__臺灣人文及社會科學引文索引資料庫

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題名：	匯率引導股價或股價引導匯率？G-7的實證研究
書刊名：	經濟與管理論叢
作者：	陳仕偉／陳姿君
作者(外文)：	Chen, Shyh-wei／Chen, Tzu-chun
出版日期：	2011
卷期：	7:1
頁次：	頁101-133
主題關鍵詞：	匯率；股價；共整合；因果關係；Exchange rate；Stock price；Cointegration；Causality
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(1) 博士論文(1) 專書(0) 專書論文(0) 排除自我引用:1 共同引用:6 點閱:50

We examine the nexus of stock prices and exchange rates for the G-7 countries by using the vector error correction model, the bounds testing methodology and linear and non-linear Granger causality methods. The empirical results substantiate that a long-run level equilibrium relationship exists among the exchange rates and stock prices for the UK and France. The results from the linear causality tests indicate significant short-run and long-run causal relations between the two financial markets. In the results of the non-linear Granger causality, there are unidirectional and bidirectional non-linear causal relations between stock prices and exchange rates in six of the G-7 countries. Therefore, the causal relations between stock prices and exchange rates are not only linear but are also non-linear.

以文找文

期刊論文
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研究報告
1.	Baek, E.、Brock, W.(1992)。A General Test for Nonlinear Granger Causality: Bivariate Model。

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其他
1.	Alagidede, P.，Panagiotidis, T.，Zhang, X.(2010)。Causal Relationship between Stock Prices and Exchange Rates。

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