查詢結果分析
相關文獻
- Asymmetric Causality between Foreign Exchange Rates and Stock Prices: New Evidence from the Pacific Rim Economies
- 臺灣股、匯市與利率及貨幣供給之互動關係
- 臺灣金融市場季節性之研究--股票市場、外匯市場、貨幣市場之實證
- 東亞各國外資、股價指數與匯率的相關性
- 臺灣股票市場、貨幣市場與外匯市場資訊傳遞結構之研究
- 臺灣地區外匯市場與股票市場互動關係之實驗研究--聯立方程式模型
- 我國股票市場、貨幣市場與外匯市場資訊傳遞結構之研究
- 臺灣股匯市與美國股市連動性之再探討
- 人民幣國際化對於企業資金調度及民間理財的影響
- 分量迴歸在報酬率和成交量關係的應用--以臺灣股匯市為例
頁籤選單縮合
題名 | Asymmetric Causality between Foreign Exchange Rates and Stock Prices: New Evidence from the Pacific Rim Economies=外匯市場與股票市場的不對稱因果關係:太平洋沿岸國家的實證研究 |
---|---|
作者姓名(中文) | 陳仕偉; 林政輝; | 書刊名 | 中國統計學報 |
卷期 | 52:2 2014.06[民103.06] |
頁次 | 頁265-299 |
分類號 | 563.54 |
關鍵詞 | 外匯市場; 股票市場; 不對稱因果關係; Foreign exchange rate; Stock price; Asymmetric causality; |
語文 | 英文(English) |
中文摘要 | 本文旨在探討六個太平洋沿岸國家外匯市場與股票市場的因果關係。我們利用 Hatemi-J (2012)的不對稱 Granger因果關係檢定法進行實證分析。實證結果顯示包括日本、台灣及印度,外匯市場對股票市場存在單向的對稱及不對稱因果關係,隱含流量模型成立。而包括南韓、新加坡及印尼,外匯市場及股票市場存在雙向的對稱及不對稱因果關係,隱含流量模型及資產組合模型成立。由於投資大眾可以利用外匯市場的資訊去預測股票市場價格的波動,表示這幾個國家的股票市場並不符合弱式效率市場假說。 |
英文摘要 | This study aims to present some evidence for the presence of a causal relationship between foreign exchange and stock markets for six Pacific Rim economies. The econometric methodology used in this paper allows us to determine the symmetric and asymmetric Granger causality between the foreign exchange rates and stock prices and it helps us to discriminate between competing theories on how information is disseminated between the two financial markets. Among the main results, it is found that there is uni-directional symmetric and asymmetric Granger causality running from the foreign exchange rates to stock prices for Japan, Taiwan and India, indicating that the ‘Flow-oriented’ model is applicable to these countries. Generally speaking, the foreign exchange market and stock markets of South Korea, Singapore and Indonesia are simultaneously subject to the influences of the ‘Flow-oriented’ and the portfolio balance models because there is a feedback relation between the foreign exchange rates and stock prices. Finally, the results imply that stock markets are inefficient due to the fact that traders could make abnormal profits by forecasting their prices based on previous foreign exchange rates. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。