期刊論文
| 學年 | 104 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2016-06-01 |
| 作品名稱 | THE STUDY ON THE NON-LINEAR DYNAMIC CAUSAL RELATIONSHIPS BETWEEN CONSTRUCTION INDEX AND ITS MATERIALS INDEXES |
| 作品名稱（其他語言） | |
| 著者 | Wang, Yih-Chang; Huang, Ran; Nieh, Chien-Chung; Weng, Tsai-Lung |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Journal of Marine Science and Technology 24(2), pp.210-221 |
| 摘要 | This paper aims to examine the short-run and long-run nonlinear dynamic relationship between indexes of construction and cement or steel in the Taiwan stock markets over the 1995- 2011 periods. In addition to traditional linear co-integration tests, the threshold co-integration and asymmetric threshold error-corrrection models (TECM) suggested by Enders and Siklos (2001) are used. Linear co-integration tests reveal no co-integration between the construction index and either of the cement and steel indexes, while threshold co-integration tests show existence of the co-integration relationship and asymmetric adjustment. Further analysis from TECM Granger causality tests finds evidence of a bi-directional causality between cement index and construction index, and a unidirectional causality going from steel index to construction index. These findings have important implications for the investors in the Taiwan stock markets. |
| 關鍵字 | asymmetric threshold co-integration model;stock market;construction index;cement index;steel index |
| 語言 | en |
| ISSN | 1023-2796 |
| 期刊性質 | 國內 |
| 收錄於 | SCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/108522 ) |