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題名:以滾動因果檢定法探討外資交易與股、匯市之動態關係
書刊名:臺灣金融財務季刊
作者:林福來陳玉芬白凱任
作者(外文):Lin, Fu-laiChen, Yu-fenBai, Kai-ren
出版日期:2012
卷期:13:4
頁次:頁79-105
主題關鍵詞:滾動因果檢定法滾動視窗外資股市匯市Rolling causalityRolling windowForeign institutional investorStock marketCurrency market
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:18
  • 點閱點閱:58
期刊論文
1.Lumsdaine, R. L.、Ng, S.(1999)。Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean。Journal of Econometrics,93,257-279。  new window
2.林靜怡、劉曦敏(20071200)。股價、匯率及外資買賣超之非線性關係--多變量門檻模型之應用。財務金融學刊,15(4),103-132。new window  延伸查詢new window
3.Ajayi, Richard A.、Friedman, Joseph、Mehdian, Seyed M.(1998)。On the Relationship between Stock Returns and Exchange Rates: Tests of Granger Causality。Global Finance Journal,9(2),241-251。  new window
4.Nie, C.C.、Lee, C. F.(2001)。Dynamic Relationships between Stock Prices and Exchange Rates for G-7 Countries。Quarterly Review of Economics and Finance,41(4),477-490。  new window
5.On, L.L、H.Y. Izan(1999)。Stock and Currencies: Are They Related?。Applied Financial Economics,9,523-532。  new window
6.Q, Z.、P. Perron(2007)。Estimating and Testing Structural Changes in Multivariate Regressions。Econometrica,75,459-502。  new window
7.Ramchan, L.、Susmel, R.(1998)。Volatility and Cross Correlation cross Major Stock Markets。Journal of Empirical Finance,5,397-416。  new window
8.Reis, L.、M. Roberto Meurera、S.D. Silvaa(2010)。Stock Returns and Foreign Investment in Brazil。Applied Financial Economics,20,1351-1361。  new window
9.Swanso, N.R.(1998)。Money and Output Viewed through ARolling Window。Journal of Monetary Economics,41,455-473。  new window
10.Aggarwal, Raj(1981)。Exchange rates and stock prices: a study of the U.S. capital markets under floating exchange rates。Akron Business and Economic Review,12(3),7-12。  new window
11.Pan, M. S.、Fok, R. C. W.、Liu, Y. A.(2007)。Dynamic Linkages between Exchange Rates and Stock Prices: Evidence from East Asian Markets。International Review of Economics and Finance,16(4),503-520。  new window
12.Bracker, K.、Docking, D. S.、Koch, R. D.(1999)。Economic determinants of evolution in international stock market integration。Journal of Empirical Finance,6,1-27。  new window
13.Froot, K. A.、O'Connell, P. G.、Seasholes, M. S.(2000)。The Portfolio Flows of International Investors。Journal of Financial Economics,59(2),151-193。  new window
14.陳仕偉、陳姿君(20110100)。匯率引導股價或股價引導匯率?G-7的實證研究。經濟與管理論叢,7(1),101-133。new window  延伸查詢new window
15.Abdalla, Issam S. A.、Murinde, Victor(1997)。Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Pakistan and the Philippines。Applied Financial Economics,7(1),25-35。  new window
16.Franck, P.、Young, A.(1972)。Stock price Reaction of Multinational Firms to Exchange Realignments。Financial Management,1,66-73。  new window
17.姜淑美、鄭婉秀、邱建良(20030300)。外資交易行為、股市及匯市動態關係之研究。風險管理學報,5(1),45-64。new window  延伸查詢new window
18.Arshanapalli, B.、Doukas, J.、Lang, L.(1995)。Pre and post-October1987 stock market linkages between U.S. and Asian markets。Pacific-Basin Finance Journal,3,57-73。  new window
19.Soenen, L. A.、Hennigar, E. S.(1988)。An Analysis of Exchange Rates and Stock Prices--The U. S. Experience between 1980 and 1986。Akron Business and Economic Review,19(4),7-16。  new window
20.Chiang, T. C.、Yang, S. Y.(2003)。Foreign Exchange Risk Premiums and Time-Varying Equity Market Risks。International Journal of Risk Assessment & Management,4(4),310-331。  new window
21.Chiang, T. C.、Yang, S. Y.、Wang, T. S.(2000)。Stock Return and Exchange Rate Risk: Evidence from Asian Stock Markets Based on a Bivariate GARCH Model。International Journal of Business,5(2),97-117。  new window
22.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
23.劉祥熹、李崇主(20001000)。臺灣地區外資、匯率與股價關聯性之研究--VAR與VECM之應用。證券市場發展,12(3)=47,1-41。new window  延伸查詢new window
24.Karolyi, G. Andrew、Stulz, René M.(1996)。Why do markets move together? An investigation of U.S.-Japan stock return comovements。The Journal of Finance,51(3),951-986。  new window
25.Kollias, Christos、Mylonidis, Nikolaos、Paleologou, Suzanna-Maria(2012)。The nexus between exchange rates and stock markets: evidence from the euro-dollar rate and composite European stock indices using rolling analysis。Journal of Economics and Finance,36(1),136-147。  new window
26.Bahmani-Oskooee, M.、Sohrabian, A.(1992)。Stock Prices and the Effective Exchange Rate of the Dollar。Applied Economics,24,459-464。  new window
27.Solnik, B.(1987)。Using Financial Prices to Test Exchange Rate Models: A Note。The Journal of Finance,42,141-149。  new window
28.Dornbush, R.、Fischer, S.(1980)。Exchange Rates and the Current Account。The American Economic Review,70,960-971。  new window
29.Chow, E. H.、Lee, W. Y.、Solt, M. E.(1997)。The Exchange-Rate Risk Exposure of Asset Returns。Journal of Business,70,105-124。  new window
30.李志宏、周冠男、林秋發、謝育慈(2006)。亞洲金融風暴前後外資交易行為與台灣股市互動關係之研究。證券市場發展季刊,18(3),47-72。  延伸查詢new window
31.Frenkel, J. A.(1976)。A monetary approach to the exchange rate: doctrinal aspects and empirical evidence。Scandinavian Journal of Economics,78(2),200-224。  new window
32.Granger, C. W.、Hung, J. B.、Yang, C. W.(2000)。A bivariate causality between stock prices and exchange rates: Evidence from recent Asian Flu。The Quarterly Review of Economics and Finance,40,337-354。  new window
圖書論文
1.Frankel, J. A.(1983)。Monetary and portfolio-balance models of exchange rate determination。Economic Interdependence and Flexible Exchange Rates。Cambridge, MA:MIT Press。  new window
 
 
 
 
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