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:The Impact of the Appreciation of Renminbi on Stock Prices in China
學年98
學期1
出版(發表)日期2010/01/01
作品名稱The Impact of the Appreciation of Renminbi on Stock Prices in China
作品名稱(其他語言)
著者Nieh, Chien-Chung; Yau, Hwey-Yun
單位淡江大學財務金融學系
出版者Armonk: M.E. Sharpe, Inc.
著錄名稱、卷期、頁數Emerging Markets Finance and Trade 46(1), pp.16-26
摘要Since removal of the peg in July 2005, China has entered a new era of a managed floating exchange rate system. Although many observers have raised concerns about the impact of such a policy change on China's trade surplus, less attention has been paid to its effects on financial markets. This paper investigates the impact of recent renminbi appreciation on stock prices in China since removal of the peg, using threshold cointegration and momentum threshold error-correction model (M-TECM). The results clearly illustrate that no short-run causal relation exists, and an asymmetric causal relationship running from the renminbi/U. S. dollar exchange rate to Chinese Shanghai A-share stock prices in the long run is based on M-TECM. Policy and the broader implications of the findings are discussed.
關鍵字asymmetric causality ;exchange rates; momentum threshold error-correction model; M-TECM; stock prices
語言英文
ISSN1540-496X; 1558-0938
期刊性質國外
收錄於SSCI
產學合作
通訊作者Nieh, Chien-Chung
審稿制度
國別美國
公開徵稿
出版型式紙本
相關連結
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