政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/6119
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 114424/145451 (79%)
造访人次 : 53290965      在线人数 : 539
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/140.119/6119


    题名: Return Volatility and Short-term Capital Inflows: A Test of Return-Chasing Hypothesis in Asia-Pacific Equity Markets
    作者: Tu, Anthony H.;Shen-Yuan Chen
    杜化宇
    日期: 2002-09
    上传时间: 2008-11-05 17:00:44 (UTC+8)
    摘要: The increased flows of securities investment have shifted from developed countries to emerging ones over the last decade. Capital flows to developing countries have important benefits. However, large surges in short-term and potentially reversible capital flows can have very negative effects. The idea of this study is to assess the empirical evidence in Asia-Pacific developed and emerging markets for whether the "return-chasing" hypothesis is true? The conditional variance in the model is assumed to follow a generalized ARCH-M model, including country credit ratings as explanatory risk variables in the mean and variance equations. The results suggest that the relationship between country index returns and return variance are weak for both developed and emerging markets. The changes of country credit ratings have positive impacts on country index returns in some Asian emerging markets, but not in developed markets. We also found that the changes of country credit ratings have significant influence, but with mixed sign, on country index return volatility for some Asian emerging markets, but not for developed markets. The findings support the "return-chasing" hypothesis, in which the flow securities investment tends to move into the markets whose returns are expected to be high and retreat from markets whose returns are predicted to be low. The result suggests that the world community and national authorities have to manage these flows more effectively. There exists a serious risk that such volatile flows could undermine the benefits that globalization and free markets can otherwise bring.
    關聯: Review of Pacific basin financial markets and policies, 5(3), 321-342
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1142/S0219091502000808
    DOI: 10.1142/S0219091502000808
    显示于类别:[財務管理學系] 期刊論文

    文件中的档案:

    档案 大小格式浏览次数
    321-342.pdf255KbAdobe PDF2593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