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題名:中國加入WTO之後與主要貿易往來國家的動態股市關聯性之研究
書刊名:創新與管理
作者:陳立斌崔可欣劉亞秋 引用關係
作者(外文):Chen, Li-pingTswei, KeshinLiu, Angela Ya-chiu
出版日期:2012
卷期:9:2
頁次:頁53-92
主題關鍵詞:股市關聯性資本管制自由化政策衝擊反應函數預測誤差變異數分解Stock market interdependenceCapital flow controlLiberalization policyImpulse response functionForecast error variance decomposition
原始連結:連回原系統網址new window
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  • 排除自我引用排除自我引用:0
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  • 點閱點閱:48
期刊論文
1.Phillips, P. C. B.、Perron, P.(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
2.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
3.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica,49(4),1057-1072。  new window
4.Bekaert, G.、Harvey, C.R.(2000)。Foreign speculators and emerging equity markets。Journal of Finance,55(2),565-613。  new window
5.Chow, G.C.、Liu, C.、Niu, L.(2011)。Co-movements of Shanghai and New York stock prices by time-varying regressions。Discussion Paper,16。  new window
6.Grubel, H.G.(1968)。Internationally diversified portfolios: Welfare gains and capital flows。American Economic Review,58(5),1299-1314。  new window
7.Huang, B.N.、Yang, C.W.、Hu, W.S.(2000)。Causality and cointegration of stock markets among the United States, Japan, and the south China growth triangle。International Review of Financial Analysis,9(3),281-297。  new window
8.Johansen, S.、Juselius, K.(1990)。Maximum likelihood estimation and inference on cointegration: With applications to the demand for money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
9.Li, H.(2007)。International linkages of the Chinese stock exchanges: A multivariate GARCH analysis。Applied Financial Economics,17(4),285-297。  new window
10.Liu, Y.A.、Pan, M.S.(1997)。Mean and volatility spillover effects in the U.S. and Pacific-Basin stock markets。Multinational Finance Journal,1(1),47-62。  new window
11.Liu, Y.A.、Pan, M.S.、Shieh, C.P.(1998)。International transmission of stock price movements: Evidence from the Five Asian-Pacific markets。Journal of Economics and Finance,22(1),59-69。  new window
12.Pesaran, H.H.、Shin, Y.(1998)。Generalized impulse response analysis in linear multivariate models。Economics Letters,58(1),17-29。  new window
13.Qiao, Z.、Chiang, T.C.、Wong, W.K.(2008)。Long-Run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market。Journal of International Financial Markets, Institutions and Money,18(5),425-437。  new window
14.Wang, P.、Wang, P.(2010)。Price and volatility spillovers between the Greater China Markets and the developed markets of US and Japan。Global Finance Journal,21(3),304-317。  new window
15.An, Y.(2010)。The Relationship between Korea's Stock Market and China's Economy。Korea Capital Market Institute Capital Market Perspective,2(3),51-73。  new window
16.Bracker, K.、Docking, D. S.、Koch, P. D.(1999)。Economic determinants of evolution in international equity market integration。Journal of Empirical Finance,6(1),1-27。  new window
17.Huyghebaert, N.、Wang, L.(2010)。The co-movement of stock markets in East Asia: Did the 1997-1998 Asian financial crisis really strengthen stock market integration?。China Economic Review,21(1),98-112。  new window
18.Luo, W.、Brooks, R. D.、Silvapulle, P.(2011)。Effects of the Open Policy on the Dependence between the Chinese 'A' Stock Market and Other Equity Markets: An Industry Sector Perspective。Journal of International Financial Markets, Institutions and Money,21(1),49-74。  new window
19.Tavares, J.(2009)。Economic integration and the comovement of stock returns。Economic Letters,103,65-67。  new window
20.Wang, Y.、Iorio, A. D.(2007)。Are the China-related stock markets segmented with both world and regional stock markets?。Journal of International Financial Markets, Institutions and Money,17(3),277-290。  new window
21.Cheng, Hwahsin、Glascock, John L.(2005)。Dynamic linkages between the Greater China Economic Area stock markets--Mainland China, Hong Kong, and Taiwan。Review of Quantitative Finance and Accounting,24(4),343-357。  new window
22.Chuang, I.-Y.、Lu, J.-R.、Tswei, K.(2007)。Interdependence of international equity variances: Evidence from east Asian markets。Emerging Markets Review,8(4),311-327。  new window
23.Fan, K.、Wang, S.、Lu, Z.(2009)。Dynamic linkages between the China and international stock markets。Asia-Pacific Financial Markets,16(3),211-230。  new window
24.Groenewold, N.、Tang, S. H. K.、Wu, Y.(2004)。The dynamic interrelationships between the greater China share markets。China Economic Review,15(1),45-62。  new window
25.Hilliard, J. E.(1979)。The relationship between equity indices on world exchanges。Journal of Finance,34(1),103-114。  new window
26.Hu, J.(2010)。Dependence structures in Chinese and US financial markets: A time-varying conditional copula approach。Applied Financial Economics,20(7),561-583。  new window
27.Johansson, A. C.、Ljungwall, C.(2009)。Spillover effects among the greater China stock markets。World Development,37(4),839-851。  new window
28.Lin, A. Y.、Swanson, P. E.(2008)。The effect of China's reform policies on stock market information transmission.。Quarterly Journal of Finance and Accounting,47(3),49-76。  new window
29.Lin, K.-P.、Yang, Z.、Menkveld, A. J.(2009)。Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years。China Economic Review,20(1),29-45。  new window
30.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
31.Phylaktis, K.(1999)。Capital Market Integration in the Pacific Basin region: An Impulse Response Analysis。Journal of International Money and Finance,18,267-287。  new window
32.Pretorius, E.(2002)。Economic Determinants of Emerging Stock Market Interdependence。Emerging Markets Review,3(1),84-105。  new window
33.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
34.Wang, K.、Chen, Y. H.、Huang, S. W.(2011)。The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach。International Review of Economics and Finance,20(4),654-664。  new window
35.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
36.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
會議論文
1.Li, H.(2011)。China's Stock Market Reforms and its International Stock Market Linkages。The conference of Macro and Financial Economics,(會議日期: 24 May 2011)。Brunel University。  new window
圖書
1.Enders, Walter(2004)。Applied Econometric Time Series。New York:John Wiley & Sons。  new window
 
 
 
 
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