教師資料查詢 | 類別: 會議論文 | 教師: 倪衍森 NI, YEN-SEN (瀏覽個人網頁)

標題:Testing Market Efficiency Hypothesis with Respect to Government Policies by Frequency Decomposition Approach
學年85
學期2
發表日期1997/07/14
作品名稱Testing Market Efficiency Hypothesis with Respect to Government Policies by Frequency Decomposition Approach
作品名稱(其他語言)
著者Ni, Yen-Sen
作品所屬單位淡江大學管理科學研究所
出版者
會議名稱第五屆全球商業環境與策略研討會主題:全球商業合作與競爭=The Fifth Annual Conference on Global Business Environment and Strategy "Global Business Cooperation and Competition"
會議地點桃園縣, 臺灣
摘要The concept of market efficiency plays an important role in financial markets. The purpose of this study is to determine if there is any dynamic relationship between stock returns and government policy for international financial markets. Therefore, the relationships between real stock returns and growth of M2 for U.K., France, and Germany were investigated using time series methods to test causality by the following approaches. First of all, VAR approach and the Granger causality test. Second, the frequency docomposition approach and Geweke test. Using both tests, the empirical results showed that real stock returns (RSR) are caused by the growth of M2 (GM2) only in French data. This finding indicates that European stock markets are efficient in absorbing information about monetary policy except France.
關鍵字市場效率;金融市場;股票報酬;貨幣政策;Market Efficiency;Financial Market;Stock Return;Monetary Policy
語言英文
收錄於
會議性質國內
校內研討會地點
研討會時間19970714~19970715
通訊作者
國別中華民國
公開徵稿Y
出版型式紙本
出處第五屆全球商業環境與策略研討會論文集主題:全球商業合作與競爭=Proceedings of the Fifth Annual Conference on Global Business Environment and Strategy "Global Business Cooperation and Competition",頁141-146
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!