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題名:股票市場與金屬、原油市場間的報酬連動與波動外溢效果之研究
書刊名:管理實務與理論研究
作者:林容如蔡麗茹 引用關係張哲晟
作者(外文):Lin, Jung-juTsai, Li-juChang, Che-cheng
出版日期:2017
卷期:11:1
頁次:頁19-48
主題關鍵詞:金屬市場原油市場股票市場動態相關係數波動外溢效果Metal marketOil marketStock marketDCCVolatility spillover
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:1
  • 點閱點閱:3
期刊論文
1.Ling, S.、McAleer, M.(2003)。Asymptotic Theory for a Vector ARMA-GARCH Model。Econometric Theory,19,278-308。  new window
2.Choi, K.、Hammoudeh S.(2010)。Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment。Energy Policy,38(8),4388-4399。  new window
3.Baur, D. G.、Lucey, B. M.(2010)。Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold。Financial Review,45(2),217-229。  new window
4.Arouri, M. E. H.、Lahiani, A.、Nguyen, D. K.(2011)。Return and Volatility Transmission between World Oil Prices and Stock Markets of the GCC Countries。Economic Modelling,28,1815-1825。  new window
5.Ji, Qiang、Fan, Ying(2012)。How Does Oil Price Volatility Affect Non-Energy Commodity Markets?。Applied Energy,89(1),273-280。  new window
6.Hammoudeh, S. M.、Yuan, Y.、McAleer. M.(2009)。Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets。Quarterly Review of Economics and Finance,49(3),829-842。  new window
7.Sari, R.、Hammoudeh, S.、Soytas, U.(2010)。Dynamics of oil price, precious metal prices and exchange rate。Energy Economics,32,351-362。  new window
8.Park, J.、Ratti, R. A.(2008)。Oil price shocks and stock markets in the U.S. and 13 European countries。Energy Economics,30,2587-2608。  new window
9.Hammoudeh, S.、Yuan, Y.(2008)。Metal volatility in presence of oil and interest rate shocks。Energy Economics,30,606-620。  new window
10.Sims, C. A.(1972)。Money, income and causality。American Economic Review,62,540-552。  new window
11.Cochran, S. J.、Mansur, I.、Odusami, B.(2012)。Volatility persistence in metal returns: A FIGARCH approach。Journal of Economics and Business,64(4),287-305。  new window
12.呂瑞秋、陳淑華(20120600)。黃金價格與股價指數、石油價格及波動率指數關係之研究。臺灣銀行季刊,63(2),131-149。new window  延伸查詢new window
13.李怡慧、邱瀚䅰、廖惠珠(20110600)。油價對產業股價的影響。農業與資源經濟,8(1),65-89。  延伸查詢new window
14.鄒易凭、白東岳(20090900)。原油價格與原油產業指數之動態關係:厚尾跳躍模型之應用。臺灣金融財務季刊,10(3),87-111。new window  延伸查詢new window
15.Barunik, J.、Kocenda, E.、Vácha, L.(2016)。Gold, oil and stocks: Dynamic correlations。International Review of Economics and Finance,42,186-210。  new window
16.Bhar, R.、Nikolova, B.(2009)。Oil prices and equity Returns in the BRIC countries。The World Economy,12,1036-1054。  new window
17.Chang, C.-L.、McAleer, M.、Tansuchat, R.(2013)。Conditional correlations and volatility spillovers between crude oil and stock index returns。North American Journal of Economics and Finance,25,116-138。  new window
18.Soytas, U.、Sari, R.、Hammoudeh, S.、Hacihasanoglu E.(2009)。World oil prices, precious metal prices and macro economy in Turkey。Energy Policy,37,5557-5566。  new window
19.Mensi, Walid、Beljid, Makram、Boubaker, Adel、Managi, Shunsuke(2013)。Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold。Economic Modelling,32,15-22。  new window
20.Malik, Farooq、Hammoudeh, Shawkat(2007)。Shock and volatility transmission in the oil, US and Gulf equity markets。International Review of Economics and Finance,16,357-368。  new window
21.Malik, F.、Ewing, B. T.(2009)。Volatility transmission between oil prices and equity sector returns。International Review of Financial Analysis,18,95-100。  new window
22.Lombardi, M. J.、Ravazzolo, G.(2016)。On the correlation between commodity and equity returns: implications for portfolio allocation。Journal of Commodity Markets,2,45-57。  new window
23.Capie, F.、Mills, T. C.、Wood, G.(2005)。Gold as a hedge against the dollar。Journal of International Financial Markets, Institutions & Money,15,343-352。  new window
24.Arouri, M. E. H.、Jouini, J.、Nguyen, D. K.(2012)。On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness。Energy Economics,34(2),611-617。  new window
25.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
研究報告
1.Fang, C. R.(2010)。The impact of oil price shocks on the three BRIC countries' stock prices。Department of Economics National Cheng-Chi University。  new window
學位論文
1.陳淑玲(2005)。石油價格與黃金價格衝擊對台灣加權股價指數期、現貨的影響(碩士論文)。國立臺北大學。  延伸查詢new window
2.林建智(2006)。原油價格與股價關係之探討--以美國及台灣為例(碩士論文)。世新大學。  延伸查詢new window
3.郭仲凱(2011)。原油、美元與金磚四國股市間報酬連動與波動外溢效果之研究(碩士論文)。國立臺北商業技術學院。  延伸查詢new window
4.歐惠玲(2011)。影響貴金屬價格因素之實證研究(碩士論文)。國立高雄應用科技大學。  延伸查詢new window
 
 
 
 
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