淡江大學機構典藏:Item 987654321/19605
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    Title: 外資交易行為、股市及匯市動態關係之研究
    Other Titles: The Dynamic Relationship among Foreign Investments, Stock Market and Foreign Exchange Market
    Authors: 姜淑美;鄭婉秀;邱建良
    Contributors: 淡江大學財務金融學系
    Keywords: 多變量GARCH模型;因果關係;衝擊反應函數;結構性轉變;Multi-variable GARCH Model;Causality;Impulse Response Function;Structural Change
    Date: 2003-03-01
    Issue Date: 2009-11-11 09:19:08 (UTC+8)
    Publisher: 中華民國風險管理學會
    Abstract: 本研究以多變量GARCH模型探討股價指數報酬率、匯率變動率及外資買賣超三者間之因果關係,並分析東南亞金融風暴是否使台灣的股市及匯市產生結構性轉變?再以衝擊反應函數分析跨期動態效果。實證結果顯示:(1)外資買賣超與股價指數報酬率間及匯率變動率與股價指數報酬率間存在因果關係,具回饋效應,外資買賣超與匯率變動率間只有單向因果關係。(2)在衝擊反應的分析中,股價指數報酬率所產生之衝擊大於匯率變動率的衝擊及外資買賣超所導致之衝擊。(3)在亞洲金融風暴發生後,股票市場、外匯市場及外資買賣行為皆發生結構性轉變。
    Relation: 風險管理學報 5(1),頁 45-64
    DOI: 10.30003%2fJRM.200303.0003
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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