政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/4158
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113392/144379 (79%)
造访人次 : 51227733      在线人数 : 958
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/4158


    题名: 亞太地區新興股票市場對匯率風險的反應-東南亞金融風暴前後的實證分析
    其它题名: Asian-Pacific Emerging Stock Markets` Reactions of Foreign Exchange Risk---An Empirical Analysis of the 1997 Asian Financial Crisis
    作者: 林基煌
    关键词: 匯率變動;股票價格;共整合;外匯風險;金融風暴;向量自我迴歸
    Exchange rate change;Stock price;Cointegration;Foreign exchange risk;Financial crisis;Vector autoregression
    日期: 2000
    上传时间: 2007-04-18 16:41:59 (UTC+8)
    出版者: 臺北市：國立政治大學財務管理學系
    摘要: 本研究以東亞的五個新興國家為樣本，包括台灣、南韓、菲律賓、新加坡與泰國，來探討新興國家股市與匯率之間的關係。首先，檢視股價指數與匯率之間是否具有長期共整合(cointegration)的關係，結果發現在研究期間內，除了泰國與菲律賓的股價指數與匯率具有長期共整合關係外，其他的三個國家都不顯著。我們進一步地以向量自我迴歸(Vector Autoregression；VAR)模型，並將研究期間區分成三個子期間：金融風暴前、金融風暴期間、金融風暴後，來探討股市與匯率之間的短期相互影響關係，研究結果顯示，在五個新興市場中，股市與匯率之間會相互地影響，尤其以金融風暴期間最為明顯，而金融風暴後之影響效果亦較風暴前明顯。本文對實證結果，分別從各國匯率政策、產業、國外部門佔GDP比率以及外資的角色等不同的角度來解釋可能的原因。
    This research investigates the relationship between foreign exchange rate and stock price index of emerging markets, which include Taiwan, South Korea, The Philippines, Singapore, and Thailand, in East Asia around the 1997`s financial crisis period. First, we investigate the long-term co-integration relationship between foreign exchange rate and stock price index. The findings indicate that such relationship exists only in Thailand and The Philippines. Furthermore, we divide our study period into three sub-periods, which are before-the-crisis, during-the-crisis, and after-the-crisis, and utilize the Vector Autoregressin model to investigate the short-term inter-dependency between exchange rate and stock index. The results show that the inter-dependency is significant in the five countries, especially in during-the-crisis sub-period. Also, the after-the-crisis sub-period shows more significant inter-dependency than the before-the-crisis sub-period. We propose interpretations to the findings from various viewpoints regarding foreign exchange policy, industrial competitiveness, foreign sector to GDP ratio, and the role of foreign investment in the domestic capital markets.
    描述: 核定金額：374100元
    数据类型: report
    显示于类别:[財務管理學系] 國科會研究計畫

    文件中的档案:

    档案 描述 大小格式浏览次数
    892416H004045.pdf5110KbAdobe PDF21990检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈