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題名:亞太華人地區股市共整合與因果關係之研究
書刊名:亞太經濟管理評論
作者:劉祥熹林政文
出版日期:1998
卷期:2:1
頁次:頁1-29
主題關鍵詞:共整合因果關係股市亞太華人地區CointegrationCausalityStock marketAsia-pacific Chinese area
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:51
期刊論文
1.Levy, Haim、Sarnat, Marshall(1970)。International Diversification of Investment Portfolios。The American Economic Review,60(4),668-675。  new window
2.Toda, Hiro Y.、Phillips, Peter C. B.(1993)。Vector Autoregressions and Causality。Econometrica: Journal of the Econometric Society,61(6),1367-1393。  new window
3.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
4.Hung, B. W. S.、Cheung, Y. L.(1995)。Interdependence of Asian Emerging Equity Markets。Journal of Business Finance and Accounting,22(2),281-288。  new window
5.Johansen, S.、Juselius, K.(1992)。Testing Structural Hypothesis in a Multivariate Cointegration Analysis of the PPP and the UIP for UK。Journal of Econometrics,53,211-244。  new window
6.吳致寧、張萬清(19960300)。外匯市場之效率性與共積檢定。基層金融,32,21-40。  延伸查詢new window
7.Maldonado, R.、Saunders, Anthony(1981)。International Portfolio Diversification and the Inter-Temporal Stability of International stock Market Relationships, 1957-78。Financial Management,10(4),54-63。  new window
8.Bailey, W.、Stulz, R. M.(1990)。Benefits of international diversification: the case of Pacific Basin stock markets。The Journal of Portfolio Management,16(4),57-61。  new window
9.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
10.Agmon, T.(197301)。Country Risk-The Significance of the Country Factor to Share Price Movement in the United Kingdom, German, and Japan。Journal of Business,1973(Jan.),24-32。  new window
11.Dickey, D. A.、Fuller, W. A.(1979)。Distribution of the Estimations in Autoregressive Time Series with a Unit Root。Journal of American Statistical Association,74,427-431。  new window
12.Choudhry, T.(1996)。Interdependence of Stock Markets: Evidence from Europe During the 1920s and 1930s。Applied Financial Economics,1996(Jun.),243-249。  new window
13.Chan, K. C.、Gup, B. E.、Pan, M. S.(1992)。An Empirical Analysis of Stock Prices in Major Asian Market and the United States。The Financial Review,27(2),289-307。  new window
14.Crowder, W. J.(1996)。A Note on Cointegration and International Capital Market Efficiency: A Note。Journal of International Money and Finance,15(4),661-664。  new window
15.Hilliard, J. E.(1979)。The Relationship Between Equity Indices on World Exchange。The Journal of Finance,24(1)。  new window
16.Kwan, C. C. A.、Sim, A.、Cotsomitis, J. A.(1995)。The Causal Relationships Between Equity Indices on World Exchanges。Applied Economics,27,33-37。  new window
17.Jacquillat, B.、Solnik, B.(1978)。Multinationals Are Poor Tools for Diversification。The Journal of Portfolio Management,4(2),8-12。  new window
18.Makridakis, S. G.、Wheelwright, S. C.(1974)。An Analysis of the Interrelationships Among the Major Stock Exchanges。Journal of Business Finance and Accounting,1(2),195-215。  new window
19.Madura, Jeff(1985)。International Portfolio Construction。Journal of Business Research,13(1),87-95。  new window
20.Said, S. E.、Dickey, D. A.(1984)。Testing for Unit Root in Autoregressive-Moving Average Model of Unknown Order。Biometrika,71,599-608。  new window
21.Philippatos, G. C.、Christofi, A.、Christofi, P.(1983)。The Inter-Temporal Stability of International Stock Market Relationships: Another View。Financial Management,12(4),63-69。  new window
22.McDonald, John G.(1973)。French Mutual Fund Performance: Evaluation of Internationally Diversified Portfolios。Journal of Finance,1973(Dec.),1161-1180。  new window
23.Solnik, B.(1974)。Why Not Diversify Internationally Rather Than Domestically?。Financial Analysts Journal,1974(Jul./Aug.),48-54。  new window
24.Granger, C. W. J.(1988)。Some Recent Development in a Concept of Causality。Journal of Econometrics,39,199-211。  new window
25.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),461-472。  new window
26.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
27.Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society,37(3),424-438。  new window
28.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
29.Grubel, Herbert G.(1968)。Internationally Diversified Portfolios: Welfare Gains and Capital Flows。The American Economic Review,58(5),1299-1314。  new window
30.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
31.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
32.Engle, Robert F.、Granger, Clive W. J.(1987)。Co-integration and Error Correction: Representation, Estimation, and Testing。Econometrica: Journal of the Econometric Society,55(2),251-276。  new window
33.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
學位論文
1.蕭高郎(1992)。臺灣與國外股票市場關聯性之實證研究--向量自我迴歸模型(VAR)之應用(碩士論文)。淡江大學。  延伸查詢new window
圖書
1.Fuller, W. A.(1996)。Introduction to Statistical Time Series。John Wiley and Sons。  new window
2.Davidson, Russell、MacKinnon, James G.(1993)。Estimation and Inference in Econometrics。Oxford University Press。  new window
圖書論文
1.MacKinnon, J. G.(1991)。Critical Values for Cointegration Test。Long-Run Economic Relationships: Readings in Cointegration。Oxford:Oxford University Press。  new window
 
 
 
 
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