頁籤選單縮合
題 名 | 臺灣地區股票、外匯與貨幣市場間的關係--動態過程檢定=The Relationship among Stock Market, Foreign Exchange Market, and Money Market in Taiwan--The Test of Dynamic Process |
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作 者 | 王毓敏; 林苑宜; | 書刊名 | 交大管理學報 |
卷 期 | 19:1 1999.06[民88.06] |
頁 次 | 頁153-172 |
分類號 | 563.54 |
關鍵詞 | Ito過程; 動態因素; 報酬效果; 波動性效果; 交互效果; Ito process; Ito's lemma; Dynamic factor; Return effect; Volatililty effect; Interaction effect; |
語 文 | 中文(Chinese) |
中文摘要 | 本文的主要目的在於以動態過程討論金融市場間的關係,及決定報酬與波動性的因素,並以臺灣地區的資料來驗證數個假說。本文的實證假說立基於金融市場間會相互影響而來的,以Itô過程和隨機微積分導出,強調金融市場間的動態關係,與以往以靜態為主的模型有很大的差異。綜合本文的研究結果,可以歸納為下列幾點結論:(1)發生臺海危機和東南亞金融風暴後,政府所採行穩定股票市場的措施確實發揮了穩定股票市場的功用。(2)東南亞金融風暴發生後,金融市場波動性的來源為外匯市場,因此,政府穩定外匯市場有助於金融市場的穩定。(3)臺幣升值時,股票市場上漲。(4)四個決定金融市場報酬的因素中,報酬效果的影響力最大,波動性效果次之,接著是動態因素,交互效果則不具影響力。(5)金融市場間波動性會相互影響,但其影響的方向和影響力在不同的期間有不同的結果。 |
英文摘要 | The purpose of this paper is to test the relationships and the factors determining the returns and volatility among Taiwan financial markets through the dynamic process. We use Itô processes and stochastic calculus to derive the empirical hypotheses based on the assumption of financial markets affect each other. The model emphasizes the dynamic relationships among financial markets that is different from the static model in the previous literature. We find the following resutls: (1) The government stabilizes stock market by stable policy on China's military maneuver and financial crisis. (2) The source of uncertainty is foreign exchange market after financial crisis, so the government can decrease the volatility of financial markets by stabilizing foreign exchange market. (3) The stock market index increases during the New Taiwan Dollar appreciation. (4) There are four factors (interaction effect, volatility effect, return effect, dynamic factor) to determine the return of financial markets. (5) The volatility of financial markets affect each other. |
本系統中英文摘要資訊取自各篇刊載內容。