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題名:次級房貸危機前後美股對亞股的不對稱性蔓延效果
書刊名:中原企管評論
作者:聶建中 引用關係高友笙楊超翔
作者(外文):Nieh, Chien-chungKao, Yu-shengYang, Chao-hsiang
出版日期:2011
卷期:9:1
頁次:頁25-52
主題關鍵詞:不對稱門檻共整合模型蔓延效果股市次級房貸危機Asymmetric threshold co-integration modelContagion effectStock marketSubprime mortgage crisis
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(3) 博士論文(1) 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:37
  • 點閱點閱:63
期刊論文
1.Dungey, M.、Fry, R.、González-Hermosillo, B.、Martin, V.(2006)。Contagion in international bond markets during the Russian and the LTCM crises。Journal of Financial Stability,2(1),1-27。  new window
2.Caporale, G. M.、Cipollini, A.、Spagnolo, N.(2005)。Testing for Contagion: a Conditional Correlation Analysis。Journal of Empirical Finance,12(3),476-489。  new window
3.Sarantis, N.(2001)。Nonlinearities, Cyclical Behaviour and Predictability in Stock Markets: International Evidence。International Journal of Forecasting,17(3),459-482。  new window
4.Stock, James H.(1987)。Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors。Econometrica,55(5),1035-1056。  new window
5.Pippenger, M. K.、Goering, G. E.(2000)。Additional Results on the Power of Unit Root and Cointegration Tests under Threshold Processes。Applied Economics Letters,7(10),641-644。  new window
6.Chan, K. S.(1993)。Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model。The Annals of Statistics,21(1),520-533。  new window
7.Anderson, H. M.(1997)。Transaction Costs and Non-Linear Adjustment Towards Equilibrium in the US Treasury Bill Market。Oxford Bulletin of Economics and Statistics,59(4),465-484。  new window
8.Boucher, C.(2007)。Asymmetric Adjustment of Stock Prices to Their Fundamental Value and the Predictability of US Stock Returns。Economics Letters,95(3),339-347。  new window
9.Chiang, Min-hsien(20010200)。The Asymmetric Behavior and Spillover Effects on Stock Index Returns: Evidence on Hong Kong and China。Pan-Pacific Management Review,4(1),1-21。new window  new window
10.李顯儀、吳幸姬(20090300)。地震對亞太地區股票市場所引起的蔓延效應之研究。中山管理評論,17(1),47-80。new window  延伸查詢new window
11.Sheng, H. C.、Tu, A. H.(2000)。A Study of Cointegration and Variance Decomposition among Equity Indices before and during the Period of the Asian Financial Crisis。Journal of Multinational Financial Management,10(3),345-365。  new window
12.Collins, D.、Biekpe, N.(2003)。Contagion: a fear for African equity markets?。Journal of Economics and Business,55(3),285-297。  new window
13.Forbes, Kristin J.、Rigobon, R.(2002)。No Contagion, Only Interdependence: Measuring Stock Market Comovements。Journal of Finance,57(5),2223-2261。  new window
14.王冠閔(20070600)。不對稱訊息下臺灣股、匯市與美國股市蔓延效果之預測檢定。人文暨社會科學期刊,3(1),69-80。new window  延伸查詢new window
15.Nagayasu, J.(2001)。Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand。Journal of Asian Economics,12(4),529-546。  new window
16.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
17.Aggarwal, C.、Inclan, C.、Lean, R.(1999)。Volationity in Emerging Stock Markets。Journal of Finacical and Quantitative Analysis,34(1),33-55。  new window
18.Hamao, Y. R.、Masulis, R. W.、Ng, V. K.(1990)。Correlations in Price Changes and Volatility across International Stock Markets。The Review of Financial Studies,3(2),281-307。  new window
19.Liu, Y. A.、Pan, M. S.、Shieh, J. C. P.(1998)。International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets。Journal of Economics and Finance,22(1),59-69。  new window
20.沈中華、陳建福(20031200)。B股開放政策對中國大陸股票市場效率性有影響嗎?不對稱門檻共整合模型的應用。財務金融學刊,11(3),89-119。new window  延伸查詢new window
21.王冠閔、黃柏農(20040300)。臺灣股、匯市與美國股市關聯性探討。臺灣經濟預測與政策,34(2),31-72。new window  延伸查詢new window
22.Koutmos, Gregory(1998)。Asymmetries in the Conditional Mean and the Conditional Variance: Evidence from Nine Stock Markets。Journal of Economics and Business,50(3),277-290。  new window
23.Balke, N. S.、Fomby, T. B.(1997)。Threshold Cointegration。International Economic Review,38(3),627-645。  new window
24.方文碩、王冠閔、董澍琦(20060400)。亞洲金融危機期間股票市場的蔓延效果。管理評論,25(2),61-82。new window  延伸查詢new window
25.Enders, Walter、Siklos, Pierre L.(2001)。Cointegration and Threshold Adjustment。Journal of Business & Economic Statistics,19(2),166-176。  new window
26.Enders, W.、Granger, C. W. J.(1998)。Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates。Journal of Business and Economic Statistics,16(3),304-311。  new window
27.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
28.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
29.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
30.Bekaert, G.、Harvey, C. R.、Ng, A.(2005)。Market Integration and Contagion。Journal of Business,78(1),39-69。  new window
31.Dornbusch, Rudiger、Park, Yung Chul、Claessens, Stijn(2000)。Contagion: Understanding How It Spreads。The World Bank Research Observer,15(2),177-197。  new window
32.King, Mervyn A.、Wadhwani, Sushil(1990)。Transmission of Volatility between Stock Markets。The Review of Financial Studies,3(1),5-33。  new window
33.Arouria, M. E.、Bellalahb, M.、Nguyenc, D. K.(2009)。The Comovements in Internatioanl Stock Markets。New Evidence from Latin American Emerging Countries,18(1),1-6。  new window
34.Chang, S.(2008)。Asymmetric Cointegration Relatioinship among Asian Exchange Rates。Economic Change and Restructruing,41(2),125-141。  new window
35.Engle, R.、Yoo, S.(1987)。Forecasting and Testing in Co-Integration Systems。Journal of Econometrics,35(2),143-159。  new window
36.Lucey, M. B.、Voronkova, S.(2008)。Russian Equity Market Linkages before and after the 1998 Crisis: Evidence from Stochastic and Regime-Switching Cointegration Tests。Journal of International Money and Finance,27(5),1304-1324。  new window
37.Shen, C. H.、Chen, C.、Chen, L.(2007)。An Empirical Study of the Asymmetric Cointegration Relationships among the Chinese Stock Markets。Applied Economics,39(4),1433-1445。  new window
38.Shen, C H.、Wang, L. R.(1998)。Daily Serial Correlation, Trading Volume, and Price Limit。Pacific-Basin Finance Journal,6(2),251-274。  new window
39.Siklos, P.(2002)。Asymmetric Adjustment from Structural Booms and Slumps。Economics Letters,77(3),329-333。  new window
40.Siklos, P.、Granger, C. W.(1997)。Regime-Sensitive Cointegration with an Application to Internest Rate Parity。Macroeconomic Dynamics,3(4),640-657。  new window
41.Wang, C.、Lin, C. A.(2005)。Using Threshold Cointegration to EXamine Asymmetric Price Adjustments between ADR's and Their Underlying Securities--the Case of Taiwan。South African Journal of Economics,73(4),449-461。  new window
42.Lee, S. B.、Kim, K. J.(1993)。Does the October 1987 Crahs Strengthen the Co-Movements among National Stock Markets?。Review of Financial Economics,3(1),333-341。  new window
研究報告
1.Gorton, G. B.(2008)。The Subprime Panic。National Bureau of Economic Research。  new window
圖書
1.Tong, H.(1990)。Non-Linear Times Series: a Dynamical Approach。Oxford, U.K.:Oxford University Press。  new window
圖書論文
1.Forbes, K. J.、Rigobon, R.(2001)。Measuring contagion: Conceptual and empirical Issues。International Financial Contagion。Kluwer Academic Publishers。  new window
 
 
 
 
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