English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 51883/87052 (60%)
造訪人次 : 8460561      線上人數 : 134
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/106271


    題名: The Role of Exchange Rate Fluctuations in the Volatility and Correlations in Emerging Markets
    作者: Wang, Alan T.;Jiang, I-Ming;Chang, Horng-Jinh;Cheng, Johnson T. S.
    關鍵詞: stock index;exchange rate;LACs;TEs;DCC-GARCH
    日期: 2015-09-30
    上傳時間: 2016-04-22 13:44:00 (UTC+8)
    出版者: Tamkang University
    摘要: The recent episodes of sanctions on Russia by international communities and the quan-
    titative easing by Japanese and European central banks highlight the importance of foreign
    exchange risk for international investors. This paper examines how and to what extent the
    volatility of exchange rate affect the volatility of local equity market for Latin American
    countries and transition economies. Compared to Mun [15], we find that the proportions of
    volatility of local equity market attributable to exchange rate fluctuations for Latin American
    countries and transition economies are much larger than those for more developed economies.
    Besides, an increase in exchange rate volatility is associated with an increase in the corre-
    lation between the local and the US equity markets for Latin American countries but with
    a decrease in the correlation for transition economies, both to a larger extend than devel-
    oped countries. In particular, our study indicates that the sign of the conditional correlation
    coefficient between exchange rate and local equity market varies across countries and time,
    inconsistent with the prediction by the so called “equity parity condition” in Hau and Rey
    [8].
    關聯: International Journal of Information and Management Sciences 26 (3), pp.219-238
    DOI: 10.6186/IJIMS.2015.26.3.2
    顯示於類別:[管理科學學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    index.html0KbHTML58檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋