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題名:股票市場的報酬與波動性外溢效果之探討--以亞洲地區為例
書刊名:國立屏東商業技術學院學報
作者:王毓敏邱炳乾 引用關係林家妃 引用關係郭于綉
作者(外文):Wang, Yu-minChiou, Bing-chyanLin, Cha-feiKuo, Yu-hsiu
出版日期:2011
卷期:13
頁次:頁35-68
主題關鍵詞:波動外溢效果GARCH模型GJR-GARCH模型馬可夫狀態轉換模型Spillover effect of volatilityGARCH modelGJR-GARCH modelMarkov regime-switching 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(1) 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:1
  • 共同引用共同引用:103
  • 點閱點閱:100
期刊論文
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4.林楚雄、劉維琪、吳欽杉(20001200)。臺灣股票店頭市場股價報酬與波動之分析。亞太管理評論,5(4),435-449。new window  延伸查詢new window
5.馬毓駿、林秋瑾(2009)。房地產景氣特性之再確認--多變量馬可夫轉換之應用。住宅學報,1(18),23-37。new window  延伸查詢new window
6.邱建良、姜淑美、翁百郁(20060600)。期間利差、股票報酬與景氣循環關聯性之探討。華岡經濟論叢,5(2),69-95。  延伸查詢new window
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10.葉銀華、蔡麗茹(20000900)。不同波動期間之期望報酬與風險關係的實證研究--不對稱GARCH-M模型之應用。輔仁管理評論,7(2),161-179。new window  延伸查詢new window
11.Poon, W. P. H.、Fung, H. G.(2000)。Red chips or H shares: which China-backed securities process information the fastest?。Journal of Multinational Financial Management,10,315-343。  new window
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13.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
14.Gray, S. F.(1996)。Modeling the Conditional Distribution of Interest Rates as a Regime Switching Process。Journal of Financial Economics,42(1),27-62。  new window
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16.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance,44(5),1115-1153。  new window
17.Ang, Andrew、Bekaert, Geert(20021001)。International Asset Allocation with Regime Shifts。Review of Financial Studies,15(4),1137-1187。  new window
18.邱建良、李命志、徐泰瑋(19990600)。臺灣股市報酬率波動性行為之探討。臺灣經濟金融月刊,35(6)=413,43-53。  延伸查詢new window
19.Christie, A. A.(1982)。The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。  new window
20.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
21.French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics,19(1),3-29。  new window
22.Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。  new window
23.聶建中、林景春、詹凱婷(20040900)。兩岸三地股價聯動性研究。輔仁管理評論,11(2),63-82。new window  延伸查詢new window
24.胥愛琦、吳清豐(20030900)。臺灣股市報酬與匯率變動之波動性外溢效果--雙變量EGARCH模型的應用。臺灣金融財務季刊,4(3),87-103。new window  延伸查詢new window
25.Lamoureux, Christopher G.、Lastrapes, William D.(1990)。Persistence in Variance, Structural Change, and the GARCH Model。Journal of Business and Economic Statistics,8(2),225-234。  new window
26.Lastrapes, William D.(1989)。Exchange rate volatility and U.S. monetary policy: an ARCH application。Journal of Money, Credit and Banking,21,66-77。  new window
27.Wu, Guojun、Bekaert, Geert(2000)。Asymmetric Volatility and Risk in Equity Markets。Review of Financial Studies,13(1),1-42。  new window
28.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。  new window
29.Diebold, Francis X.、Yilmaz, Kamil(2009)。Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets。Economic Journal,119(534),158-171。  new window
30.Pindyck, Robert S.(1984)。Risk, Inflation, And The Stock Market。American Economic Review,74,334-351。  new window
31.洪萬吉、王雅瑜(2008)。香港股價報酬波動對上海綜合股票市場報酬之衝擊:雙門檻-GARCH模型之應用。德明學報,30,15-30。  延伸查詢new window
32.林楚雄(2005)。個股波動不對稱性之實證研究:以台灣股票市場為例。中山管理評論,13(3),811-836。new window  延伸查詢new window
33.姜淑美、陳明麗、蔡佩珊(2005)。國際股價指數現貨與期貨報酬外溢性及不對稱性效果之研究。經營管理論叢,1(2),23-39。new window  延伸查詢new window
34.柏婉貞(2008)。東京外匯市場日內報酬波動不對稱行為之驗證。亞太經濟管理評論,11(2),87-105。new window  延伸查詢new window
35.董澍琦、楊聲勇、蔡佳宏(2004)。大陸資本市場受美、日股市報酬與波動性外溢效果之研究。台灣金融財務季刊,5(3),15-35。new window  延伸查詢new window
36.黎明淵(2002)。高、低股市波動狀態下之雙重貝它係數檢測--美國、日本與亞洲四小龍股市實證研究。台灣管理學刊,2(2),99-118。new window  延伸查詢new window
37.周明道、林仕展(2010)。波羅的海運價綜合指數與鋼價指數相關性之分析--以VAR模型之應用。運輸學刊,22(2),211-232。new window  延伸查詢new window
38.洪萬吉、陳進士、王天福(2007)。匯率波動對台灣股票市場報酬不對稱性之研究:雙門檻-GARCH模型之應用。美和技術學院學報,26(1),85-99。  延伸查詢new window
39.陳仕偉、林金龍(2000)。臺灣景氣循環之探討:變動移轉機率馬可夫轉換模型之應用。經濟論文,28(1),17-42。  延伸查詢new window
40.黃明棋(2007)。成交量與匯率波動率對股票市場報酬之衝擊:以南韓股票市場報酬為例。東亞論壇,458,67-84。new window  延伸查詢new window
41.黎明淵、林修葳、郭憲章、楊聲勇(2003)。美、日股市巨幅波動下的股市連動效果--美國、日本與亞洲四小龍股市實證效果。證券市場發展季刊,15(1),117-145。new window  延伸查詢new window
42.黃健銘、蘇欣玫、黃麗萍、鄭婉秀(2008)。貨帶政策之預期衝擊對經濟成長的影響--馬可夫轉換模型之應用。中原企管評論,6(1),31-52。new window  延伸查詢new window
43.黃博怡、邱哲修、林卓民、陳建宏(2005)。短期利率之動態條件變異與預測績效之探討。金融風險管理季刊,1(2),17-32。  延伸查詢new window
44.Bae, J.、Kim, C. J.、Nelson, C. R.(2007)。Why are stock returns and volatility negatively correlated?。Journal of Empirical Finance,14(1),41-58。  new window
45.Aloui, C.、Jammazi, R.(2009)。The effects of crude oil shocks on stock market shifts behaviour: A regime switchong approach。Energy Economics,31,789-799。  new window
46.Bahng, J.、Shin, S.(2003)。Do stock price indices respond asymmetrically? Evidence from China, Japan and South Korea.。Journal of Asian Economics,14,541-563。  new window
47.Cheung, Y.、Ng, L.(1992)。Stock price dynamics and firm size: An empirical investigation。Journal of Finance,47,1985-1997。  new window
48.Kitazawa, Y.(2000)。Estimating the leverage effect using panel data with a large number of stock issues over a short-run daily period focus on the Tokyo stock exchange。Journal of Financial Management and Analysis,13,21-27。  new window
49.Lee, S.(2009)。Volatility spillover effects among six Asian countries。Applied Economics Letters,16,501-508。  new window
50.Leon, M. Y.(2007)。Volatility state and international diversification of international stock markets。Applied Economics,39,1867-1876。  new window
51.Li, Y. D.、Iscan, T. B.、Xu, K.(2010)。The impact of monetary policy shocks on stock prices: Evidence from Canada and the United States。Journal of International Money and Finance,29,876-896。  new window
52.Pagan, J.、Soydemir, G.(2001)。Response asymmetries in the Latin American equity markets。International Review of Financial Analysis,10,175-185。  new window
53.Mayfield, S.(2004)。Estimating the market risk premium。Journal of Financial Economics,73,465-496。  new window
54.Ramchand, L.、Susmel, R.(1998)。Volatility and cross correlation across major stock markets。Journal of Empirical Finance,5,397-416。  new window
55.Song, H.、Liu, X.、Romilly, P.(1998)。Stock returns and volatility: An empirical study of Chinese stock markets。International Review of Applied Economics,12,129-139。  new window
56.Turner, C.、Startz, R.、Nelson, R.(1989)。A Markov model of heteroscedasticity, risk, and learning in the stock market。Journal of Financial Economics,25,3-22。  new window
57.Wu, G.(2003)。The determinant of asymmetric volatility。Review of Financial Studies,14,837-859。  new window
58.Hamilton, J.(1989)。A new approach to the economic analysis of nonstationary time series aud the business cycle。Econometrica,57,357-384。  new window
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60.Maria, K. H.、Price, S.(2002)。Volatility in the transition markets of Central Europe。Applied Financial Economics,11,93-105。  new window
61.Kasman, A.(2009)。The impact of sudden changes on the persistence of volatility: evidence the BRIC countries。Applied Economics Letters,16,759-764。  new window
62.Kim, C.、Morley, J.、Nelson, C.(2004)。Is there a positive relationship between stock market volatility and the equity premium?。Journal of Money, Credit and Banking,36,339-360。  new window
會議論文
1.陳元保(1997)。股市波動與經濟波動的因果關係。中國經濟學會年會。臺北市:臺灣經濟學會。1-22。  延伸查詢new window
2.Black, Fisher(1976)。Studies of Stock Price Volatility Changes。The 1976 Meeting of Business and Economic Statistics Section。American Statistical Association。177-181。  new window
3.林楚雄、劉維琪、吳欽杉(1999)。GJR與Volatility-Switching GARCH模型的比較:台灣股票市場條件波動不對稱性的研究969-993。  延伸查詢new window
4.洪國哲(2006)。狀態轉換模型應用--台灣加權股票市場牛市、熊市、盤整界定與緩衝作用133-145。  延伸查詢new window
研究報告
1.Hashmi, A.、Liu, X.(2001)。Inter-linkages among South East Asian stock markets。  new window
學位論文
1.鄒嘉育(2008)。國際股市關聯性--緩長記憶與狀態轉換模型的應用。嘉義大學。  延伸查詢new window
2.黎明淵(1999)。馬可夫轉換模型應用性與合用性探討。國立政治大學。new window  延伸查詢new window
圖書
1.林茂文(2006)。時間數列分析與預測:管理與財經之應用。臺北:華泰文化事業股份有限公司。  延伸查詢new window
2.楊奕農(2005)。時間序列分析--經濟與財務上之應用。臺北:雙葉書廊有限公司。  延伸查詢new window
 
 
 
 
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