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題名:海外存託憑證與標的股:匯率門檻變動下之日內訊息傳遞研究
書刊名:財務金融學刊
作者:王凱立李昭蓉 引用關係蕭孟柔
作者(外文):Wang, Kai-liLi, Jau-rongHsiao, Meng-jou
出版日期:2010
卷期:18:3
頁次:頁93-130
主題關鍵詞:存託憑證標的股匯率門檻隔夜報酬日間報酬DCC-GARCH模型DRsUnderlying securitiesExchange rate thresholdDaytime returnsOvernight returnsDCC-GARCH model
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(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:14
  • 點閱點閱:36
期刊論文
1.Zhong, Maosen、Darrat, Ali F.、Otero, Rafael(2004)。Price discovery and volatility spillovers in index futures markets: some evidence from Mexico。Journal of Banking & Finance,28(12),3037-3054。  new window
2.Tse, Y.(2000)。A test for constant correlations in a multivariate GARCH model。Journal of Econometrics,98(1),107-127。  new window
3.楊聲勇、董澍琦、王澤世、張德立(20050700)。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,1(2),119-141。new window  延伸查詢new window
4.Chen, S. Y.、Chou, L. C.、Yang, C. C.(2002)。Price Transmission Effect between GDRs and Their Underlying Stocks--Evidence from Taiwan。Review of Quantitative Finance and Accounting,19(2),181-214。  new window
5.Kim, M.、Szakmary, Andrew C.、Mathur, I.(2000)。Price Transmission Dynamics between ADRs and Their Underlying Foreign Securities。Journal of Banking and Finance,24(8),1359-1382。  new window
6.Wang, S. S.、Rui, O. M.、Firth, M.(2002)。Return and Volatility Behavior of Dually-Traded Stocks: The Case of Hong Kong。Journal of International Money and Finance,21(2),265-293。  new window
7.周冠男、徐之強、吳昭勳(20040300)。美國存託憑證報酬與風險傳遞之研究。中山管理評論,12(1),37-62。new window  延伸查詢new window
8.Jiang, C. X.(1998)。Diversification with American Depository Receipts: The Dynamics and the Pricing Factors。Journal of Business Finance and Accounting,25,683-699。  new window
9.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,第三十卷第四期,363-408 頁。  延伸查詢new window
10.沈中華(19980000)。海外存託憑證與普通股之間價格傳遞關係--臺灣之實驗研究。證券市場發展,10(2)=38,37-62。new window  延伸查詢new window
11.Bodart, V.、Reding, P.(1999)。Exchange Rate Regime, Volatility and International Correlations on Bond and Stock Markets。Journal of International Money and Finance,18,133-151。  new window
12.Chow, Gregory C.(1960)。Tests of Equality Between Sets of Coefficients in Two Linear Regressions。Econometrica,28(3),531-534。  new window
13.Ghosh, Asim(1993)。Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model。Journal of Futures Markets,13(7),743-752。  new window
14.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
15.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
16.Longin, Francois、Solnik, Bruno(1995)。Is the correlation in international equity returns constant: 1960-1990?。Journal of International Money and Finance,14(1),3-26。  new window
17.Engle, Robert F.(2002)。Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models。Journal of Business & Economic Statistics,20(3),339-350。  new window
18.Kim, Dongcheol、Kon, Stanley J.(1994)。Alternative Models for the Conditional Heteroscedasticity of Stock Returns。The Journal of Business,67(4),563-598。  new window
19.Baillie, Richard T.、Bollerslev, Tim(1990)。A Multivariate Generalized ARCH Approach to Modeling Risk Premia in forward Foreign Exchange Rate Markets。Journal of International Money and Finance,9(3),309-324。  new window
20.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
21.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
22.Patro, Dilip Kumar(2000)。Return Behavior and Pricing of American Depositary Receipts。Journal of International Financial Markets, Institutions and Money,10(1),43-67。  new window
23.Bera, A. K., and S. Kim,(2002)。Testing Constancy of Correlation and Other Specifications of the BGARCH Model with an Application to International Equity Returns。Journal of Empirical Finance,9,171-195。  new window
24.Choi, Y. K. and D. S. Kim,(2000)。Determinants of American Depositary Receipts and Their Underlying Stock Returns Implication for International Diversification。International Review of Financial Analysis,9,351-368。  new window
25.Tse, Y.,(1998)。International Transmission of Information: Evidence from the Euroyen and Eurodollar Futures Markets。Journal of International Money and Finance,17,909-929。  new window
26.Wang, K. L., C. Fawson, C. B. Barrett and J. McDonald,(2001)。A Flexible parametric GARCH Model with an Application to Exchange Rates。Journal of Applied Econometrics,16(4),521-536。  new window
研究報告
1.Hsiao, J.L., and H.H. Liu,(2002)。International Information Transmission of Stock Return and Volatility: The Case of ADRs and Their Underlying Stocks。  new window
2.Kim, D.S. and D. Kim,(2004)。Information Transmission between Dually-Traded Stocks of Asian Firms and Asian Financial Crisis。  new window
 
 
 
 
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