臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：美國股票市場對臺灣股票市場之影響與預測
書刊名：東海學報
作者：徐守德 引用關係
出版日期：1995
卷期：36:4(管理學院)
頁次：頁1-24
主題關鍵詞：股價；轉換函數；自我相關；交互相關；Stock price；Transfer function；Autocorrelation；Cross correlation
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:0
  • 點閱點閱:15
　　　　　本研究利用時間數列之轉換函數模式，針對美國與臺灣股票市場間每日的價格變動 關係作深入探討，觀察期間為民國七十二年至七十九年共八年期間，涵蓋多個股市循環。 經實證分析，本研究獲得如下三點結論： 1.兩地股價指數具有高度自我相關，因此以股價指數直接作相關分析，會產生顯著相關的假 象。以指數變動率作交互相關分析時，則應利用轉移函數模式之程序將資料先行漂白再分 析之，如此所得結果較為客觀。 2.美國股市與臺灣股市有明顯價格變動關係，即美國股市有領先臺灣股市的現象，其原因可 能源自兩地股市成熟度與交易時間的差異。 3.就美國對臺灣之轉換函數模式與臺灣單變量ARIMA模式之預測能力而言，前者之預測績效 優於後者。
　　　　　This study adopts transfer function model to analyze the impact and forecast of American stock markets to Taiwan stock market. Observation period is from 1983 to 1990, which includes several stock cycles. The empirical results can be summearized as follows: 1.The stock indices between two markets exist high autocorrelation. It is not appropriate to directly use stock indices to conduct correlation analysis. It would be better to prewhiten stock indices in advance. 2.American have significant one day price lead to Taiwan. The reasons may be due to different trading time and maturity of stock markets. 3.The comparison of forecasting performance between transfer function and univariate ARIMA, empirical result shows that transfer function performs better than ARIMA.
期刊論文
1.Akaik, H.(1978)。A Bayesian analysis of the minimum AIC procedure。Annals of the Institute of Statistical Mathematics，30(1)，9-14。  new window
2.Grubel, H. G.、Fadner, K.(1971)。The Interdependence of International Equity Markets。Journal of Finance，26(1)，89-94。  new window
3.Levy, H.、Sarnat, M.(1970)。International diversification of investment portfolios。The American Economic Review，60(4)，668-675。  new window
4.Panton, D. B.、Lessig, V. P.、Joy, O. M.(1976)。Comovement of International Equity Markets: A Taxonomic Approach。Journal of Financial and Quantitative Analysis，11(3)，415-432。  new window
5.Ripley, Duncan M.(1973)。Systematic Elements in the Linkage of National Stock Market Indices。Review of Economics and Statistics，55(3)，356-361。  new window
6.Solnik, B. H.(1995)。Why not Diversify Internationally Rather than Domestically。Financial Analysts Journal，51(1)，89-94。  new window
7.Bailey, W.、Stulz, R. M.(1990)。Benefits Of International Diversification: The Case Of Pacific Basin Stock Markets。Journal of Portfolio Management，16(4)，57-61。  new window
8.Odier, Patrick、Solnik, Bruno(1993)。Lessons for International Asset Allocation。Financial Analysts Journal，49(2)，63-77。  new window
9.Markridakis, S. G.、Wheelwright, S. C.(1974)。An Analysis of the Interrelationships Among the Major World Stock Exchanges。Journal of Business, Finance, and Accounting，1(2)，195-216。  new window
10.Becker, K. G.、Finnerty, J. E.、Gupta, M.(1990)。The Intertemporal Relation between the U.S. and Japanese Stock Markets。Journal of Finance，45(4)，1297-1306。  new window
11.Eaker, M. R.、Grant, D. M.(1990)。Currency Hedging Strategies for Internationally Diversified Equity Portfolios。Journal of Portfolio Management，17(1)，30-32。  new window
12.Akaike, H.(1979)。A Bayesian Extension of the Minimum AIC Procedure of Autoregressive Model Fitting。Biometrika，66(2)，237-242。  new window
13.Chan, K. C.、Gup, Benton E.、Pan, M. S.(1992)。An empirical analysis of stock prices in major Asia markets and the United States。The Financial Review，27(2)，289-307。  new window
14.Agmon, T.(1972)。The Relations among Equity Markets : A Study of Share Price Comovements in the United States, United Kingdom, Germany and Japan。Journal of Finance，27(4)，839-855。  new window
15.Agmon, T.、俞海琴、張錫杰(1973)。Country Risk: The Significance of the Country Factor for Share-Price Movements in the United Kingdom, Germany and Japan。Journal of Business，46(1)，24-32。  new window
16.Anderson, R. L.(1942)。Distribution of the Serial Correlation Coefficient。The Annuals of Mathematical Statistics，13(1)，1-13。  new window
17.Bartlett, M. S.(1935)。Some Aspects of the Time-Correlation Problem in Regard to Tests of Significance。Journal of the Roval Statistical Society，98(3)，536-543。  new window
18.Bartlett, M. S.(1946)。On the Theoretical Specification and Sampling Properties of Autocorrelated Time-Series。Journal of the Royal Statistical Society, Series B，8，27-41。  new window
19.Box, George E. P.、Newblod, Paul(1971)。Some Comments on a Paper of Coen, Gomme and Kendall。Journal of the Royal Statistical Society. Series A，134(2)，229-240。  new window
20.Shyu, David(1994)。The Impact and Forecast of Hong Kong Stock Market to Taiwan Stock Maket by Transfer Function Model。Journal of Chines Statistics，1-30。  new window
21.Quenouille, M. H.(1949)。Approximate Tests of Correlation in Time-Series。Journal of the Royal Statistical Society, Series B，11(1)，68-84。  new window
22.Granger, C. W. J.(1977)。Comment on 'Relationships and the Lack Thereof Between Economic Time Series, with Special Reference to Money and Interest Rates' by D.A. Pierce。Journal of the American Statistical Association，72(357)，23-24。  new window
23.Halpem, Philip(1993)。Investing Abroad: A Review of Capital Market Integration and Manager Performance。The Journal of Portfolio Management，19(2)，47-57。  new window
24.Haugh, L. D.、Box, G. E. P.(1977)。Identification of Dynamic Regression (Distributed Lag) Models: Connecting Two Time Series。Journal of the American Statistical Association，72(357)，121-130。  new window
25.Lessard, R. D.(1973)。International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Countries。Journal of Finance，28(3)，619-633。  new window
26.Box, George E. P.、Pierce, David A.(1970)。Distribution of Residual Autocorrelations in Autoregressive Integrated Moving Average Time Series Models。Journal of American Statistical Association，65(332)，1509-1526。  new window
27.Haugh, L. D.(1976)。Checking the Independence of Two Covariance-Stationary Time Series : A Univariate Residual Cross-Correlation Approach。Journal of The American Statistical Association，71(354)，378-385。  new window
28.Yule, G. U.(1926)。Why Do We Sometimes Get Nonsense-Correlations Between Time-Series?--A Study in Sampling and the Nature of Time-Series。Journal of the Roval Statistical Society，89(1)，1-63。  new window
29.Fischer, K. P.、Palasviria, A. P.(1990)。High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations。Financial Review，25(3)，371-394。  new window
30.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika，65(2)，297-303。  new window
31.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis，24(2)，241-256。  new window
32.Grubel, Herbert G.(1968)。Internationally Diversified Portfolios: Welfare Gains and Capital Flows。The American Economic Review，58(5)，1299-1314。  new window
33.Hamao, Yasushi、Masulis, Ronald W.、Ng, Victor K.(1990)。Correlations in Price Changes and Volatility across International Stock Markets。The Review of Financial Studies，3(2)，281-307。  new window
34.Hilliard, J. E.(1979)。The relationship between equity indices on world exchanges。Journal of Finance，34(1)，103-114。  new window
35.Dubin, J.(1970)。Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables。Econometrica，38(3)，410-421。  new window
36.Akaike, Hirotsugu(1974)。A new look at the statistical model identification。IEEE Transactions on Automatic Control，19(6)，716-723。  new window
會議論文
1.Akaike, H.(1973)。Information theory and an extension of the maximum likelihood principles。Second international Symposium on Information Theory，267-281。  new window
圖書
1.McGee, V. E.、Wheelwright, S. C.、Makridakis, S.(1983)。Forecasting: Methods and Applications。New York, NY：John Wiley & Sons。  new window
2.Bowerman, Bruce L.、O'Connell, Richard T.(1987)。Time series forecasting: Unified concepts and computer implementation。Boston, Massachusetts：Duxbury Press。  new window
3.Vandaele, Walter(1983)。Applied Time Series and Box-Jenkins Models。New York：Orlando：Academic Press。  new window
4.Bartlett, M. S.(1966)。An Introduction to Stochastic Processes with Special Reference to Methods and Applications。Cambridge：Cambridge University Press。  new window
5.Ciyer, J. D.(1987)。Time Series Analysis。Boston：Duxbury Press。  new window
6.Kaushik, Surendra K.(1989)。International Capital Markets: New Directions。N.Y.：NYIF。  new window
7.Levy, H.、Sarnat, M.(1984)。Portfolio and Investment Selection: Theory and Practice。Englewood：Prentice-Hall。  new window
8.Box, G. E. P.、Jenkins, G. M.、Reinsel, G. C.(1976)。Time Series Analysis: Forecasting and Control。San Francisco：Holden-Day。  new window
9.Wei, William W. S.(1990)。Time series analysis: Univariate and multivariate methods。Addison-Wesley Inc.。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：663（臺灣：654，外國：9） ／ 本年度總使用人次：2413552 ／ 訪客人次（自102年09月）：68223626
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上