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    題名: Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate
    作者: Yau, Hwey-Yun;聶建中;Nieh, Chien-chung
    貢獻者: 淡江大學財務金融學系
    關鍵詞: Exchange rate;Stock price;Structural break;Granger causality
    日期: 2006
    上傳時間: 2009-11-30 17:51:23 (UTC+8)
    出版者: Elsevier
    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.
    關聯: Journal of asian economics 17(3), pp.535-552
    DOI: 10.1016/j.asieco.2006.04.006
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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