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:Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate
學年
學期
出版(發表)日期2006/01/01
作品名稱Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate
作品名稱(其他語言)
著者Yau, Hwey-Yun; 聶建中; Nieh, Chien-chung
單位淡江大學財務金融學系
出版者Elsevier
著錄名稱、卷期、頁數Journal of asian economics 17(3), pp.535-552
摘要Since the Asian Financial Crisis in 1997, the relationship between stock prices and exchange rates has received considerable amount of attention from the economists, international investors and policy makers. The work reported here employs various linear and non-linear, time-series methodologies to investigate the short-term and long-term interrelationships among the stock prices of Taiwan and Japan and the NTD/Yen exchange rate during the period of January 1991–July 2005. The findings from this study include: firstly, the stock prices of Taiwan and Japan impact each other for short durations; secondly, with regard to relationship between stock prices and exchange rates, the portfolio approach is supported for the short-term and the traditional approach is more plausible for the long-term in the Taiwanese financial market, whereas the portfolio approach is not suitable for the Japanese stock market; and thirdly, there appears to be no long-term relation between NTD/Yen exchange rate and the stock prices of Taiwan and Japan.
關鍵字Exchange rate;Stock price;Structural break;Granger causality
語言英文
ISSN1049-0078
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別荷蘭
公開徵稿
出版型式,電子版,紙本
相關連結
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