頁籤選單縮合
題名 | 匯率引導股價或股價引導匯率?G-7的實證研究=The Causal Relationship between Stock Prices and Exchange Rates: Evidence from the G-7 |
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作者 | 陳仕偉; 陳姿君; Chen, Shyh-wei; Chen, Tzu-chun; |
期刊 | 經濟與管理論叢 |
出版日期 | 20110100 |
卷期 | 7:1 2011.01[民100.01] |
頁次 | 頁101-133 |
分類號 | 562.1 |
語文 | chi |
關鍵詞 | 匯率; 股價; 共整合; 因果關係; Exchange rate; Stock price; Cointegration; Causality; |
英文摘要 | We examine the nexus of stock prices and exchange rates for the G-7 countries by using the vector error correction model, the bounds testing methodology and linear and non-linear Granger causality methods. The empirical results substantiate that a long-run level equilibrium relationship exists among the exchange rates and stock prices for the UK and France. The results from the linear causality tests indicate significant short-run and long-run causal relations between the two financial markets. In the results of the non-linear Granger causality, there are unidirectional and bidirectional non-linear causal relations between stock prices and exchange rates in six of the G-7 countries. Therefore, the causal relations between stock prices and exchange rates are not only linear but are also non-linear. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。