教師資料查詢 | 類別: 期刊論文 | 教師: 聶建中 NIEH, CHIEN-CHUNG (瀏覽個人網頁)

標題:International Transmission of Stock Price Movements among Taiwan and Its Trading Partners: Hong Kong, Japan and the United States
學年90
學期1
出版(發表)日期2001/12/01
作品名稱International Transmission of Stock Price Movements among Taiwan and Its Trading Partners: Hong Kong, Japan and the United States
作品名稱(其他語言)
著者張倉耀; Chang, Tsang-yao; 聶建中; Nieh, Chien-chung
單位淡江大學財務金融學系
出版者Singapore: World Scientific Publishing Co. Pte. Ltd.
著錄名稱、卷期、頁數Review of Pacific Basin financial markets and policies 4(4), pp.379-401
摘要This study uses a cointegration analysis and vector autoregressive models to investigate the transmission of stock price movements among Taiwan and its major trading partners, Hong Kong, Japan and the United States. The results of Johansen cointegration test indicate that four stock markets considered are cointegrated with one cointegrating vector, which violates the semi-strong form of the market efficiency hypothesis. The results from Granger-causality test based on error-correction models suggest the relative leading roles of the U.S. and Japanese markets in driving fluctuations in the other two markets. In order to capture the impacts of the economic shocks, two dummy variables are incorporated into the models taking into account the U.S. stock crash of October 1997 (D97) and the previous spreading Asian finance crises (Dac). The results indicate that D97 significantly affects the U.S. stock market, but shows no significant impact on the others. The Dac, however, shows significant impacts on both the Japanese and the U.S. markets. The robustness of the relative leading roles of the U.S. and Japanese markets are further supported by the variance decompositions and impulsive response functions indicators. The Taiwan and Hong Kong markets are somewhat affected more by regional countries such as Japan than by the U.S.
關鍵字Stock price; Market efficiency hypothesis; Causality based on ECM; Impulse response; Variance decomposition
語言英文
ISSN0219-0915
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別新加坡
公開徵稿
出版型式電子版
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