查詢結果分析
相關文獻
- 美、日、香港與臺灣四地股價指數連動關係之探討
- A Study of Stock Indices Co-Movement--The Case of U.S., Japan, Hong Kong and Taiwan
- A Study on the Causality Relationship between Price and Volume in Taiwan's Stock Market
- 臺灣股票集中與店頭市場價量因果關係之探討
- Flutamide-Induced Liver Injury: A Case Report
- The Price Relationships Among the Hong Kong, Taiwan and China Stock Markets: An Application of Cointegration Approach
- 臺灣的股價與總體變數之間的關係
- 物流供應鍊之整合度研究
- 民事損害賠償責任法上因果關係之結構分析以及損害賠償之基本原則
- 論「精確線型理性預期模型計量方法」應用之限制
頁籤選單縮合
題 名 | 美、日、香港與臺灣四地股價指數連動關係之探討=The Linkage of Four Major Asian-Pacific Stock Indices |
---|---|
作 者 | 楊踐為; 賴怡洵; | 書刊名 | 臺灣土地金融季刊 |
卷 期 | 35:2=136 1998.06[民87.06] |
頁 次 | 頁1-15 |
分類號 | 563.54 |
關鍵詞 | 整合度; 因果關係; 共整合模式; Integration; Causality; Co-integration; Error correction model; |
語 文 | 中文(Chinese) |
中文摘要 | 隨著各國金融市場的日漸開放,國與國間之經濟依存度提高,亦造成彼此的股市 整合度(Integration)之提升,本研究即係針對此一課題加以探討,而以美國、日本、香港 與臺灣的股價指數月報酬率為研究標的。首先透過單根檢定,發現資料呈不恆定(NOn- stationary)狀態,必須將之差分,經過一次差分後,再透過共整合模式(Co-integration) 與Granger ECM(Error Correction Method)因果(Causality)關係驗證,所得結果如下:美 國之股價指數對日本、香港與臺灣方面,存有單向因果關係,即是美國股市會對日本、香港 與臺灣之股市存有領先效果,而該三地之股價指數卻對美國股市無影響力。就日本而言,其 只對臺灣、香港具有單向因果關係,但對美國則無任何領先作用,而臺灣對其他三地股價指 數皆無任何影響力,香港也對美、日、臺三地股價指數無任何領先效果。 |
英文摘要 | Due to the open-door policy adopted by many Asian nations in financial markets in recent years, the economic dependency among them has become more significant. Therefore, the integration/segregation in lerns of stock movement in the region descrves special attention. By examining the monthly stock indices return of U.S., Japan, Hong Kong, and Taiwan, the purpose of this study tries to explorc whether a causality relationship existing among them. The empirical results indicate that the U. S. stock return would normally lead those of the ther three nations. And the Japan stock index return leads those of Hong Kong and Taiwan. In essence, the U. S. stock market maintains a prodominant position in the study period. |
本系統中英文摘要資訊取自各篇刊載內容。