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題名:21世紀初美股與亞股間非對稱性傳染效果影響之探討
書刊名:數據分析
作者:聶建中高友笙鄭光政
作者(外文):Nieh, Chien-chungKao, Yu-shengCheng, Kuang-cheng
出版日期:2013
卷期:8:3
頁次:頁1-26
主題關鍵詞:次級房貸危機傳染效果股市不對稱門檻共整合不對稱門檻誤差修正模型Subprime mortgage crisisContagion effectStock marketAsymmetric threshold co-integrationAsymmetric threshold error correction model
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(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:23
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期刊論文
1.聶建中、高友笙、楊超翔(20110400)。次級房貸危機前後美股對亞股的不對稱性蔓延效果。中原企管評論,9(1),25-52。new window  延伸查詢new window
2.Siklos, P.、Granger, C. W.(1997)。Regime-Sensitive Cointegration with an Application to Interest Rate Parity。Macroeconomic Dynamics,3(4),640-657。  new window
3.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
4.Kanas, A.(1998)。Linkages between the US and European equity markets: Further evidence from cointegration tests。Applied Financial Economics,8(6),607-614。  new window
5.Berument, H.、Dincer, N.、Olgun, H.(2006)。The Center and Periphery Relations in International Stock Markets。Applied Financial Economics Letters,2,365-370。  new window
6.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
7.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
8.Chen, Li-Hsueh、Finney, Miles、Lai, Kon(2005)。A Threshold Cointegration Analysis of Asymmetric Price Transmission from Crude Oil to Gasoline Prices。Economics Letters,89,233-239。  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.Li, W. K.、Lam, Kin(1995)。Modelling Asymmetry in Stock Returns by a Threshold Autoregressive Conditional Heteroscedastic Model。The Statistician,44(3),333-341。  new window
11.Forbes, K.、Rigobon, R.(2002)。No contagion, only interdependence: measuring stock market co-movements。Journal of Finance,57(5),2223-2261。  new window
12.Koutmos, G.(1998)。Asymmetries in the Conditional Mean and the Conditional Variance: Evidence from Nine Stock Markets。Journal of Economics and Business,50,277-290。  new window
13.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
14.Sheng, H. C.、Tu, A. H.(2000)。A Study of Cointegration and Variance Decomposition among National Equity Indices before and during the Period of the Asian Financial Crisis。Journal of Multinational Financial Management,10(3),345-365。  new window
15.Kasa, K.(1992)。Common Stochastic Trends in International Stock Markets。Journal of Monetary Economics,29(1),95-124。  new window
16.Ghosh, A.、Saidi, R.、Johnson, K. H.(1999)。Who Moves the Asia-Pacific Stock Markets-US or Japan? Empirical Evidence Based on the Theory of Cointegration?。The Financial Review,34(1),159-169。  new window
17.Dickey, D. A.、Fuller, W. A.(1981)。Likelihood ratio statistic for autoregressive time series with a unit root。Econometrics,49(4),1057-1072。  new window
18.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
19.Balke, N. S.、Fomby, T. B.(1997)。Threshold Cointegration。International Economic Review,38(3),627-645。  new window
20.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
21.Enders, Walter、Siklos, Pierre L.(2001)。Cointegration and Threshold Adjustment。Journal of Business & Economic Statistics,19(2),166-176。  new window
22.Enders, W.、Granger, C. W. F.(1998)。Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates。Journal of Business & Economic Statistics,16(3),304-311。  new window
23.Siklos, P.(2002)。Asymmetric Adjustment from Structural Booms and Slumps。Economics Letters,77(3),329-333。  new window
24.Cha, B.、Oh, S.(2000)。The Relationship between Developed Equity Markets and the Pacific Basin's Emerging Equity Markets。International Review of Economics and Finance,9,299-322。  new window
25.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series with Unit Root。J. American Statist, Assoc.,74(1),427-431。  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.Soydemir, Gökçe(2000)。International Transmission Mechanism of Stock Market Movements: Evidence from Emerging Equity Markets。Journal of Forecasting,19(3),149-176。  new window
28.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
29.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
30.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
31.Kwiatkowski, Denis、Phillips, Peter C. B.、Schmidt, Peter、Shin, Yongcheol(1992)。Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?。Journal of Econometrics,54(1-3),159-178。  new window
32.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
33.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
34.Dornbusch, Rudiger、Park, Yung Chul、Claessens, Stijn(2000)。Contagion: Understanding How It Spreads。The World Bank Research Observer,15(2),177-197。  new window
研究報告
1.Forbes, K.、Rigobon, R.(2000)。Contagion in Latin America: Definitions, Measurement, and Policy Implications。National Bureau of Economic Research。  new window
2.Gorton, G. B.(2008)。The subprime panic。National Bureau of Economic Research。  new window
圖書
1.Tong, Howell(1990)。Non-Linear Times Series: A Dynamical Approach。Oxford University Press。  new window
2.Tong, Howell(1983)。Threshold models in Non-Linear Time Series Analysis。Springer-Verlag。  new window
 
 
 
 
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