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題 名 | 外資對政治風險之反應之研究=Responses of QFII to the Political Risk |
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作 者 | 蔡育霖; 李彥賢; 林惠娜; | 書刊名 | 玄奘管理學報 |
卷 期 | 4:2 2007.03[民96.03] |
頁 次 | 頁1-18 |
分類號 | 563.52 |
關鍵詞 | ARJI模型; 外資; 跳躍頻率; 跳躍機率; ARJI model; QFII; Jump frequency; Jump probability; |
語 文 | 中文(Chinese) |
中文摘要 | 本文利用跳躍-擴散模型ARJI來探討外資在面對政治不確定性時所產生的異常跳動狀態和變異反應。經由模型估計出的跳躍頻率與跳躍機率加以印證政治的不確定性是否顯著的影響外資的行為?實證結果發現,政治的不確定性使外資買賣超跳躍機率增加,且跳躍頻率也較整個觀察期間的總平均提高。由跳躍過程所產生的變異來看,外資於政治不確定期間所引發的變異會受央行的限制。 |
英文摘要 | This paper employs the ARJI model to discuss the abnormal jumping status and irregular reactions when foreign investment encounters the political uncertainty. The jump frequency and jump probability demonstrate the political uncertainty will have profound influence on the behavior of foreign investment. This paper shows that the political uncertainty will increase the jump probability and the jump frequency is also higher than the average of all samples the observed period. As far as the variation induced by jumping process, the variance induced by the foreign investment during the political uncertain period seems to be constraint by the central bank. |
本系統中英文摘要資訊取自各篇刊載內容。