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題名:The Price Relationships Among the Hong Kong, Taiwan and China Stock Markets: An Application of Cointegration Approach
書刊名:證券市場發展季刊
作者:蕭榮烈劉祥熹
作者(外文):Hsiao, Jung-liehLiu, Hsiang-hsi
出版日期:1998
卷期:10:1=37
頁次:頁153-185
主題關鍵詞:大中國股市亞太金融中心共整合因果關係GC stock marketsAsian-pacific financial centerCointegrationLead and lag relationship
原始連結:連回原系統網址new window
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  • 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:62
     政府計劃中的亞太營運中心之一是將臺灣建設成亞太金融中心,資金得以自由移 轉和交換。因此,大中國股市之效率性與否實關係著臺灣金融政策的調整方向。共整合隱含 著臺灣的股市與其他大中國股市有密不可分的關係,故政府的金融中心計劃須做適度的因應 以提高臺灣的競爭力。 根據實證結果,大陸的兩個 B 股市場與港臺股市有共整合的關係, 此乃暗示股市間的價格有著互動的關係。 再則,誤差修正模型 (Error-Correction Model) 的結果亦顯示出共整合的存在。 Lead-and-Lag 的發現暗示此四個市場具有因果關係。
     The purpose of this study is to detect any common effect of pricing among the stock markets of Greater China (GC) including Shanghai, Shenzhen, Hong Kong and Taiwan. Our study shows that the A-share markets of Shanghai and Shenzhen are not cointegrated with each other, nor with the Hong Kong and Taiwan stock markets. However, the B-share markets of Shanghai and Shenzhen are cointegrated with the Hong Kong and Taiwan stock markets, as well as with each other's markets. Error-correction model also confirms the existence of cointegration among these markets. Furthermore, 'lead and lag' relationships are found between these markets.
期刊論文
1.Arshanapalli, B.、Doukas, J.(1993)。International stock market linkages: Evidence from the pre-and post-October 1987 period。Journal of Banking and Finance,17(1),193-208。  new window
2.Kasa, K.(1992)。Common Stochastic Trends in International Stock Markets。Journal of Monetary Economics,29(1),95-124。  new window
3.Maldonado, R.、Saunders, A.(1981)。International Portfolio Diversification and the Intertemporal Stability of International Stock Market Relationships。Financial Management,10,54-63。  new window
4.Fisher, K. P.、Palasvirta, A. P.(1990)。High Road to a Global Marketplace: the International Transmission of Stock Market Fluctuation。The Financial Review,25(3),371-394。  new window
5.Chan, K. C.、Gup, B. E.、Pan, M. S.(1992)。An Empirical Analysis of Stock Prices in Major Asian Markets and the United States。The Financial Review,27(2),289-308。  new window
6.Osterwald-Lenum, M.(1992)。A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics。Oxford Bulletin of Economics and Statistics,54(3),461-471。  new window
7.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
8.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
9.Grubel, Herbert G.(1968)。Internationally Diversified Portfolios: Welfare Gains and Capital Flows。The American Economic Review,58(5),1299-1314。  new window
10.Hilliard, J. E.(1979)。The relationship between equity indices on world exchanges。Journal of Finance,34(1),103-114。  new window
11.Johansen, Søren、Juselius, Katarina(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
12.Baillie, Richard T.、Bollerslev, Tim(1989)。Common Stochastic Trends in a System of Exchange Rates。The Journal of Finance,44(1),167-181。  new window
13.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
14.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
15.Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika,71(3),599-607。  new window
16.Yilmaz, Kamil、Gardeazabal, Javier、Diebold, Francis X.(1994)。On Cointegration and Exchange Rate Dynamics。The Journal of Finance,49,727-735。  new window
17.Phillips, P. C. B.(1991)。Optimal Inference in Cointegrated Systems。Econometrica,59(2),283-306。  new window
18.Joy, O. Maurice、Lessig, V. Parker、Panton, Don B.(1976)。Comovement of International Equity Markets: A Taxonomic Approach。Journal of Financial and Quantitative Analysis,11(3),415-432。  new window
19.Taylor, M. P.、MacDonald, R.(1989)。Foreign Exchange Market Efficiency and Cointegration: Some Evidence from the Recent Float。Economics Letters,29(1),63-68。  new window
20.MacDonald, R.、Taylor, M. P.(1988)。Metal Prices, Efficiency and Cointegration: Some Evidence from the London Metal Exchange。Bulletin of Economic Research,40,235-239。  new window
21.Hafer, R. W.、Dwyer, Gerald P., Jr.(1988)。Are National Stock Markets Linked?。Federal Reserve Bank of St. Louis Economic Review,3-14。  new window
22.Bossaerts, Perer(1988)。Common Nonstationary Components of Asset Prices。Journal of Economic Dynamics & Control,12,347-364。  new window
研究報告
1.Gonzalo, J.(1989)。Comparison of Five Alternative Methods of Estimating Long-Run Equilibrium Relationships。San Diego:University of California。  new window
 
 
 
 
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