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題名 | 我國股票市場、貨幣市場與外匯市場資訊傳遞結構之研究= |
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作者 | 張宮熊; 吳欽杉; |
期刊 | 高苑學報 |
出版日期 | 19950200 |
卷期 | 4 1995.02[民84.02] |
頁次 | 頁225-246 |
分類號 | 562.1 |
語文 | chi |
關鍵詞 | 股票市場; 貨幣市場; 外匯市場; 資訊傳遞; 矩陣自我迴歸法; Stock market; Monetary market; Foreign exchange market; Transmission mechanism; Vector autoregress VAR system; |
中文摘要 | 本文利用矩陣自我迴歸法(VAR)探討我國股票交易市場、金融業拆款市場與外匯交易市場間資訊傳遞的結構,以了解我國資本市場、貨幣市場與國際金融市場間的互動結構。經由實證分析發現:1.三個市場間的短期變異訊息在三個營業日內傳遞至其它市場。2.在同一個營業日內,三個市場的價格變動主要皆受市場內殘餘訊息的影響,其中尤以外匯市場高達99.88%最高。當營業日時差拉長時,股票市場與金融業拆款市場逐漸受其它市場價格變動的影響,尤其股票市場所受影響程度最大。3.透過VAR模式進行模擬,以了解個別市場的價格變動如何透過資訊傳遞影響其它市場的速度、幅度與方向。從實證中發現,三個市場的變動對市場內及其他市場的影響主要在三個營業日內反應完畢。 |
英文摘要 | By estimating a veclor autoregress (VAR) system, this paper investigates the inter-market transmission mechanism among the stock market, the monetary market, and the foreign exchange market in taiwan. Generally speaking, a substantial amount of the multi-laterat interactions are detected among these markets. A clearly recognizable fashion, which the inovations in each market are transmitted to another, is observed. Using the simulated responses of the estimoted VAR system, we can locate all the main channels of interactions among three markets as well as trace out the dynamic responses of one market to the innovation in another. We also find out the shocks are fully responsed in about a three-day period. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。