政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/76588
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 50951603      線上人數 : 969
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU 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
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/76588


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/76588


    題名: 亞洲央行干預外匯市場的有效性及對美國存託憑證價差的影響
    無
    作者: 張美菁
    Chang, Mei Ching
    貢獻者: 張元晨
    張美菁
    Chang, Mei Ching
    關鍵詞: 央行干預
    金融風暴
    亞洲貨幣
    逆風而行
    匯率市場
    存託憑證
    折價
    溢價
    Central bank interventions
    Credit crisis
    Asian currencies
    Leaning-against-the-wind
    Foreign exchange market
    American Depositary Receipt
    discount
    premium
    日期: 2015
    上傳時間: 2015-07-14 10:37:46 (UTC+8)
    摘要: 【第一篇論文中文摘要】
    本文使用路透社央行干預匯市的新聞報導，探討哪些因素可以提高亞洲央行成功干預匯市的機率，研究期間為2005年1月至2011年4月。此研究期間涵蓋全球金融風暴和美國採行量化寬鬆政策，因此，亞洲貨幣在逐步對美元升值後發生大幅度的貶值。研究結果顯示印尼、馬來西亞、菲律賓、新加坡、台灣及泰國的央行採取逆風而行的策略是有效的干預方式，而且多個國家在同日干預匯市及第一日的干預會有較高成功的機率。

    【第二篇論文中文摘要】
    本文透過不同的研究方法針對亞洲國家央行干預匯率市場的有效性再次驗證，研究期間為2005年1月至2011年4月，實證結果顯示亞洲國家在次貸風暴期間面臨美元升值的壓力，央行會採取賣美元的方式來干預匯市，但是這種干預匯市的方式卻僅能減緩美元升值的趨勢，其中以印尼盾、新加坡元、新台幣紛紛對美元貶值較為明顯，而在次貸風暴發生之後，美國實施量化寬鬆政策造成亞洲國家卻面臨美元貶值的壓力，各國央行改採買美元的方式來干預匯市，但是此種干預匯市的方式也只造成美元緩慢貶值的趨勢，其中印尼盾、馬來西亞令吉、新加坡元、韓圜、泰銖分別對美元升值的趨勢較為明顯，此現象反應亞洲央行干預匯市是採取逆風而行的策略，雖然能降低匯率的波動，但無法改變匯率的升貶值趨勢。

    【第三篇論文中文摘要】
    本研究是在探討印度、印尼、南韓、馬來西亞、新加坡、泰國及台灣央行透過干預匯率市場，對其國家的公司在美國發行存託憑證折溢價的影響，研究期間為2005年1月至2011年4月。研究結果顯示央行對匯市干預造成的變動，確實會影響到該國公司在美國發行的存託憑證產生折價的情形。另外，亞洲央行使用買美元干預匯市的作法會對該國公司在美國發行的存託憑證產生溢價，而央行透過賣美元干預匯市的作法會對該國公司在美國發行的存託憑證產生折價的影響，但是由於樣本資料的限制，其效果在統計上並不顯著。由公司層面的分析可以看出央行透過賣美元來干預匯市對其國家的公司在美國發行的存託憑證會有明顯產生折價的影響。
    【第一篇論文英文摘要】
    Using Reuters’ news reports on central bank interventions, we investigate the factors that increase the odds of intervention success by Asian central banks in the foreign exchange market from January 2005 to April 2011. This period coincides with the global credit crisis and quantitative easing policy, which have engendered a sharp depreciation followed by a gradual appreciation of Asian currencies. The results show that leaning-against-the-wind intervention strategies are effective in Indonesia, Malaysia, Philippines, Singapore, Taiwan, and Thailand. We also find that joint and first day interventions are associated with higher odds of effective intervention.

    【第二篇論文英文摘要】
    This paper examines the effectiveness of central bank interventions in the foreign exchange market from January 2005 to April 2011 in Asia. The results show that the central banks in Asia intervene in the foreign exchange markets by selling U.S. dollars to prevent severe depreciation of local currencies during the global credit crisis. However, central bankers can only slow down the trend of depreciation of local currencies against U.S. dollar. The currencies apparently depreciate against U.S. dollar in Indonesia, Singapore, and Taiwan. After the global credit crisis, Asian countries confront appreciations of local currencies due to the US quantitative easing policy. The central banks in Asia intervene by purchasing U.S. dollars in the foreign exchange market. Nevertheless, intervention strategies slowly reduce U.S. dollar depreciations. The foreign exchange rate apparently appreciate against U.S. dollar in India, Malaysia, Singapore, South Korea, and Thailand. Results show that Asian central banks adopt leaning-against-the-wind intervention strategies during the sample period. Their interventions in the foreign exchange market can only reduce fluctuations in the foreign exchange rate, but fail to reverse the trend of Asian exchange rates.

    【第三篇論文英文摘要】
    This paper examines whether Asian central bank interventions in the foreign exchange market affect the discount or premium of American Depositary Receipt (ADR) of Asian companies from January 2005 to April 2011. The sample consists of companies from Indian, Indonesia, South Korea, Malaysia, Singapore. Empirical results show that central bank interventions increase ADR discounts of companies in Asian countries. In addition, interventions by purchasing U.S. dollars result in higher ADR premiums, and the strategies of selling U.S. dollars affect ADR discounts. Though some of the empirical results are not statistically significant due to limited sample size, results based on individual firms show that selling USD interventions by Asian central banks have a significant impact on their ADR discounts.
    參考文獻: 【第一篇論文】
    Aizenman, J., and Marion, N., 2003. The high demand for international reserves in the Far East: What’s going on? Journal of the Japanese and International Economies, 17, 370-400.
    Baillie, R. T., Humpage, O. F., and Osterberg, W. P., 2000. Intervention from an information perspective. Journal of International Financial Markets, Institutions and Money, 10(3), 407-421.
    Bernanke, B. S., 2010. Rebalancing the Global Recovery. Sixth European Central Bank Central Banking Conference, Washington: Board of Governors of the Federal Reserve System.
    Bird, G., and Rajan, R. S., 2003. Too much of a good thing? The adequacy of international reserves in the aftermath of crises. The World Economy, 26(6), 873-891.
    Bordo, M. D., Humpage, O. F., and Schwartz, A. J., 2012a. Epilogue: Foreign Exchange Market Operations in the Twenty-First Century. National Bureau of Economic Research, working paper.
    Bordo, M. D., Humpage, O. F., and Schwartz, A. J., 2012b.The Federal Reserve as an Informed Foreign Exchange Trader: 1973-1995, International Journal and Central Banking, 8(1), 127-160.
    Chang, Y., and Taylor, S. J., 1998. Intraday effects of foreign exchange intervention by the Bank of Japan. Journal of International Money and Finance, 17(1), 191-210.
    Chen, S. S., 2011. Currency manipulation policy in emerging foreign exchange markets. National Taiwan University, working paper.
    Cook, D., and Yetman, J., 2012. Expanding central bank balance sheets in emerging Asia: a compendium of risks and some evidence. Bank of International Settlements Working Papers No. 66.
    Disyatat, P., and Galati, G., 2007. The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna. Journal of International Money and Finance, 26(3), 383-402.
    Domaç, I., and Mendoza, A., 2004. Is there room for foreign exchange interventions under an inflation targeting framework? Evidence from Mexico and Turkey. Working Paper.
    Dominguez, K. M., 1998. Central bank intervention and exchange rate volatility. Journal of International Money and Finance, 17(1), 161-190.
    Dominguez, K. M., 2003. The market microstructure of central bank intervention. Journal of International Economics, 59(1), 25-45.
    Dominguez, K. M., 2006. When do central bank interventions influence intra-daily and longer-term exchange rate movements? Journal of International Money and Finance, 25(7), 1051-1071.
    Dominguez, K. M., and Frankel, J. A., 1990. Does foreign exchange intervention work? Washington, DC：Institute for International Economics.
    Dominguez, K. M., and Frankel, J. A., 1993. Does foreign-exchange intervention matter? The portfolio effect. The American Economic Review, 1356-1369.
    Dominguez, K. M., Fatum, R., and Vacek, P., 2013. Do sales of foreign exchange reserves lead to currency appreciation? Journal of Money, Credit and Banking, vol. 45(5), 867-890.
    Edison, H. J., 1993. The effectiveness of central-bank intervention: a survey of the literature after 1982 (Vol. 18). International Finance Section, Department of Economics, Princeton University.
    Fatum, R., 2008. Daily effects of foreign exchange intervention: Evidence from official Bank of Canada data. Journal of International Money and Finance, 27(3), 438-454.
    Fatum, R., and Hutchison, M. M., 1999. Is intervention a signal of future monetary policy? Evidence from the federal funds futures market. Journal of Money, Credit and Banking, 31, 54-69.
    Fatum, R., and Hutchison, M. M., 2002. ECB foreign exchange intervention and the EURO: Institutional framework, news, and intervention. Open economies review, 13, 413-425.
    Fatum, R., and Hutchison, M. M., 2003. Is sterilised foreign exchange intervention effective after all? An event study approach. The Economic Journal, 113, 390-411.
    Fatum, R., and Hutchison, M. M., 2006. Effectiveness of official daily foreign exchange market intervention operations in Japan. Journal of International Money and Finance, 25, 199-219.
    Fatum, R., and Hutchison, M. M., 2010. Evaluating foreign exchange market intervention: Self-selection, counterfactuals and average treatment effects. Journal of International Money and Finance, 29, 570-584.
    Fischer, A. M., 2006. On the inadequacy of newswire reports for empirical research on foreign exchange interventions. Journal of International Money and Finance, 25, 1226-1240.
    Goral, A., and Arora, S., 2010. The Indian exchange rate and central bank action：A GARCH analysis, working paper.
    Guimaraes, R. F., and Karacadag, C., 2004. The empirics of foreign exchange intervention in emerging market countries: The cases of Mexico and Turkey. IMF working paper 04/123.
    Heckman, J. J., 1979. Sample selection bias as a specification error. Econometrica, 153-161.
    Henriksson, R. D., and Merton, R. C., 1981. On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills. Journal of Business, 54(4), 513-533.
    Hua, M., and Gau, Y. F., 2006. Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market. Pacific-Basin Finance Journal, 14(2), 193-208.
    Humpage, 2013, The Limitations of Foreign-Exchange Intervention: Lessons from Switzerland, Federal Reserve Bank of Cleveland, Economic Commentary.
    Humpage, O. F., 1999. U.S. Intervention: Assessing the Probability of Success. Journal of Money, Credit and Banking, 31, 731-747.
    Humpage, O. F., 2003. Government Intervention in the Foreign Exchange Market. Federal Reserve Bank of Cleveland, working Paper.
    Ito, T., 2005. Interventions and Japanese Economic Recovery. International Economics and Economic Policy, 2(2-3), 219-239.
    Ito, T., and Yabu, T., 2007. What Prompts Japan to Intervene in the Forex Market? A New Approach to a Reaction Function. Journal of International Money and Finance, 26(2), 193–212.
    Kaminsky, G. L., and Lewis, K. K., 1996. Does foreign exchange intervention signal future monetary policy? Journal of Monetary Economics, 37(2), 285-312.
    Kearns, J., and Rigobon, R., 2005. Identifying the efficacy of central bank interventions: Evidence from Australia and Japan. Journal of International Economics, 66(1), 31-48.
    Leahy, M. P., 1995. The profitability of U.S. intervention in the foreign exchange markets. Journal of International Money and Finance, 14(6), 823-844.
    Lewis, K. K., 1995. Are foreign exchange interventions and monetary policy related, and does it matter? Journal of Business, 68(2), 185-214.
    Menkhoff, L., 2013. Foreign exchange intervention in emerging markets: A survey of empirical studies, working paper.
    Merton, R. C., 1981. On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts. Journal of Business, 54, 363-406.
    Neely, C. J., 2011. A foreign exchange intervention in an era of restraint. Federal Reserve Bank of St. Louis Review, 93(5), 303-324.
    Pattanaik, S., and Sahoo, S., 2001. The effectiveness of intervention in India: An empirical assessment, Reserve Bank of India Occasional Papers, 22(1-3), 1-24.
    Peiers, B., 1997. Informed traders, intervention, and price leadership: A deeper view of the microstructure of the foreign exchange market. Journal of Finance, 52(4), 1589-1614.
    Reitz, S., and Taylor, M.P., 2008. The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis. European Economic Review, 52(1), 55-76.
    Rincon, H., and Toro, J., 2010. Are capital controls and central bank intervention effective? Borradores de ECONOMIA Num. 625, Banco de la Republica, Colombia.
    Sapp, S., 2002. Price leadership in the spot foreign exchange market. Journal of Financial and Quantitative Analysis, 37, 425–448.
    Sarno, L., and Taylor, M. P., 2001. Official intervention in the foreign exchange market: Is it effective and, if so, how does it work? Journal of Economic Literature, 39, 839-868.
    Tapia, M., and Tokman, A., 2004. Effects of foreign exchange intervention under public information: The Chilean case. Economia, 4, 215-256.
    Taylor, M.P., 2005. Official foreign exchange intervention as a coordinating signal in the dollar-yen market. Pacific Economic Review, 10(1), 73-82.

    【第二篇論文】
    張元晨, 2007. 銀行間新台幣兌美元外區交易流動性與交易成本的分析:台北與元太外區經紀公司的比較, 中山管理評論, 15, 299-322.
    張興華, 2013. 從央行干預新聞分析台灣央行外匯市場干預與台幣匯率之關係, 證券市場發展季刊, 25, 95-112.
    陳旭昇, 2013. 央行 「阻升不阻貶」? 再探台灣匯率不對稱干預政策, 經濟論文叢刊, 11-22.
    陳旭昇和吳聰敏, 2010. 台灣貨幣政策法則之檢視, 經濟論文, 38, 33-59.
    Baillie, R. T., Humpage, O. F., and Osterberg, W. P., 2000. Intervention from an information perspective. Journal of International Financial Markets, Institutions and Money, 10(3), 407-421.
    Bernanke, B. S., 2010. Rebalancing the Global Recovery, Sixth European Central Bank Central Banking Conference Frankfurt, Germany.
    Bollerslev, T., 1986. Generalized autoregressive conditional heteroskedasticity, Jouarnal of Econometrics, 31, 307-327.
    Bordo, M. D., Humpage, O. F., and Schwartz, A. J., 2012a. Epilogue: Foreign Exchange Market Operations in the Twenty-First Century. National Bureau of Economic Research, working paper.
    Bordo, M. D., Humpage, O. F., and Schwartz, A. J., 2012b.The Federal Reserve as an Informed Foreign Exchange Trader: 1973-1995, International Journal and Central Banking, 8(1), 127-160.
    Chang, M. C., Suardi, S., and Chang, Y. 2014. Foreign exchange intervention in Asian countries: What determine the odds of success during the cedit crisis? working paper.
    Chang, Y. and Taylor, S. J., 1998. Intraday effects of foreign exchange intervention by the Bank of Japan, Journal of International Money and Finance, 17, 191-210.
    Chen, S. S., 2011. Currency manipulation policy in emerging foreign exchange markets, National Taiwan University, working paper.
    Disyatat, P. and Galati, G., 2007. The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna, Journal of International Money and Finance, 26, 383-402.
    Domaç, I. and Mendoza, A., 2004. Is there room for foreign exchange interventions under an inflation targeting framework? Evidence from Mexico and Turkey, working Paper.
    Dominguez, K. M., 1998. Central bank intervention and exchange rate volatility, Journal of International Money and Finance, 17, 161-190.
    Dominguez, K. M., and Frankel, J. A., 1993. Does foreign exchange intervention work？Washington, DC：Institute for International Economics.
    Dominguez, K. M., Fatum, R., and Vacek, P., 2013. Do sales of foreign exchange reserves lead to currency appreciation? Journal of Money, Credit and Banking, vol. 45(5), 867-890.
    Engle, R. F. and Granger, C. W. J., 1987. Co-integration and error correction: representation, estimation, and testing, Econometrica, 55, 251-276.
    Fatum, R. and Hutchison, M. M., 2002. ECB foreign exchange intervention and the EURO: Institutional framework, news, and intervention, Open economies review, 13, 413-425.
    Fatum, R. and Hutchison, M. M., 2003. Is sterilised foreign exchange intervention effective after all? An event study approach, The Economic Journal, 113, 390-411.
    Fatum, R. and Hutchison, M. M., 2006. Effectiveness of official daily foreign exchange market intervention operations in Japan, Journal of International Money and Finance, 25, 199-219.
    Fatum, R. and Hutchison, M. M., 2010. Evaluating foreign exchange market intervention: Self-selection, counterfactuals and average treatment effects, Journal of International Money and Finance, 29, 570-584.
    Fatum, R., 2008. Daily effects of foreign exchange intervention: Evidence from official Bank of Canada data, Journal of International Money and Finance, 27, 438-454.
    Fischer, A. M., 2006. On the inadequacy of newswire reports for empirical research on foreign exchange interventions, Journal of International Money and Finance, 25, 1226-1240.
    Gabriel Chodorow-Reich, 2014. The employment effects of credit market disruptions: Firm-level evidence from the 2008-9 financial crisis, The Quarterly Journal of Economics, 129, 1-59.
    Gabriel Chodorow-Reich, 2014. The employment effects of credit market disruptions: Firm-level evidence from the 2008-9 financial crisis, The Quarterly Journal of Economics, 129, 1-59.
    Goral, A., and Arora, S., 2010. The Indian exchange rate and central bank action：A GARCH analysis, working paper.
    Hua, M. and Gau, Y., 2006. Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market, Pacific-Basin Finance Journal, 14, 193-208.
    Humpage, Owen F., 1999. U.S. Intervention: Assessing the Probability of Success, Journal of Money, Credit and Banking, 31, 731-747.
    Johansen, S. and Juselius, K., 1990. Maximum likelihood estimation and inference on cointegration—With applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169–210.
    Johansen, S., 1991. Estimation and hypothesis testing for cointegration vectors in Gaussian vector autoregressive models, Econometrica, 59, 1551–1580.
    Kearns, J. and Rigobon, R., 2005. Identifying the efficacy of central bank interventions: Evidence from Australia and Japan, Journal of International Economics, 66, 31-48.
    Kim, Minho, Szakmary, Andrew C., and Mathur, Ike, 2000. Price transmission dynamics between ADRs and their underlying foreign securities, Journal of Banking & Finance, 24, 1359-1382.
    Mathur, I., Gleason, K. C., and Singh, M., 1998. Did markets react efficiently to the 1994 Mexican peso crisis? Evidence from Mexican ADRS, Journal of Multinational Financial Management, 8, 39-48.
    Menkhoff, L., 2012. Foreign exchange intervention in emerging markets: A survey of empirical studies, Working paper.
    Menkhoff, L., 2013. Foreign exchange intervention in emerging markets: A survey of empirical studies, working paper.
    Merton, Robert C., 1981. On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts, Journal of Business, 54, 363-406.
    Park, J., 2001. Information flows between non-deliverable forward（NDF）and spot markets: Evidence from Korean currency, Pacific-Basin Finance Journal , 9, 363–377.
    Pattanaik, S., and Sahoo, S., 2001. The effectiveness of intervention in India: An empirical assessment, Reserve Bank of India Occasional Papers, 22(1-3), 1-24.
    Phillips, P. and Perron, P., 1988. Testing for a unit root in time series regression, Biometrica, 75, 335–346.
    Rincon, H., and Toro, J., 2010. Are capital controls and central bank intervention effective? Borradores de ECONOMIA Num. 625, Banco de la Republica, Colombia.
    Tapia, M. and Tokman, A., 2004. Effects of foreign exchange intervention under public information: The Chilean case, Economia, 4, 1-42.

    【第三篇論文】
    Arquette, Gregory C., William O. Brown, Jr., and Richard C. K. Burdekin, 2008. US ADR and Hong Kong H-share discounts of Shanghai-listed firms, Journal of Banking & Finance, 32, 1916–1927.
    Bae, Sung C., Kwon, T. H., and Li, M., 2008. Foreign exchange rate exposure and risk premium in international investments: Evidence from American depositary receipts, Journal of Multinational Financial Management, 18, 165-179.
    Bailey, W., Chan, K., and Chung, Y. P., 2000. Depositary Receipts, Country Funds, and the Peso crash: The intraday evidence, The Journal of Finance, 6, 2693-2717.
    Bernanke, B. S., 2010. Rebalancing the Global Recovery, Sixth European Central Bank Central Banking Conference Frankfurt, Germany.
    Bollerslev, T., 1986. Generalized autoregressive conditional heteroskedasticity, Jouarnal of Econometrics, 31, 307-327.
    Chang, Y. and Taylor, S. J., 1998. Intraday effects of foreign exchange intervention by the Bank of Japan, Journal of International Money and Finance, 17, 191-210.
    Chen, S. S., 2011. Currency manipulation policy in emerging foreign exchange markets, National Taiwan University, working paper.
    Disyatat, P. and Galati, G., 2007. The effectiveness of foreign exchange intervention in emerging market countries: Evidence from the Czech koruna, Journal of International Money and Finance, 26, 383-402.
    Domaç, I. and Mendoza, A., 2004. Is there room for foreign exchange interventions under an inflation targeting framework? Evidence from Mexico and Turkey, working Paper.
    Dominguez, K. M., 1998. Central bank intervention and exchange rate volatility, Journal of International Money and Finance, 17, 161-190.
    Dominguez, K. M., and Frankel, J. A., 1993. Does foreign exchange intervention work？Washington, DC：Institute for International Economics.
    Engle, R. F. and Granger, C. W. J., 1987. Co-integration and error correction: representation, estimation, and testing, Econometrica, 55, 251-276.
    Fatum, R. and Hutchison, M. M., 2002. ECB foreign exchange intervention and the EURO: Institutional framework, news, and intervention, Open economies review, 13, 413-425.
    Fischer, A. M., 2006. On the inadequacy of newswire reports for empirical research on foreign exchange interventions, Journal of International Money and Finance, 25, 1226-1240.
    Gagnon, L. and Karolyi, G. A., 2010. Multi-market trading and arbitrage, Journal of Financial Economics, 97, 53-80.
    Goral, A. and Sanchit A., 2010. The Indian exchange rate and central bank action：A GARCH analysis, Working paper.
    Grossmann, A., Ozuna, T., and Simpson, Marc W., 2007. ADR mispricing: Do costly arbitrage and consumer sentiment explain the price deviation? Journal of International Financial Market, Institutions & Money, 17, 361-371.
    Hua, M. and Gau, Y., 2006. Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market, Pacific-Basin Finance Journal, 14, 193-208.
    Johansen, S. and Juselius, K., 1990. Maximum likelihood estimation and inference on cointegration—With applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169–210.
    Johansen, S., 1991. Estimation and hypothesis testing for cointegration vectors in Gaussian vector autoregressive models, Econometrica, 59, 1551–1580.
    Kim, Minho, Szakmary, Andrew C., and Mathur, Ike, 2000. Price transmission dynamics between ADRs and their underlying foreign securities, Journal of Banking & Finance, 24, 1359-1382.
    Mathur, I., Gleason, K. C., and Singh, M., 1998. Did markets react efficiently to the 1994 Mexican peso crisis? Evidence from Mexican ADRS, Journal of Multinational Financial Management, 8, 39-48.
    Menkhoff, L., 2012. Foreign exchange intervention in emerging markets: A survey of empirical studies, Working paper.
    Merton, Robert C., 1981. On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts, Journal of Business, 54, 363-406.
    Park, J., 2001. Information flows between non-deliverable forward（NDF）and spot markets: Evidence from Korean currency, Pacific-Basin Finance Journal , 9, 363–377.
    Pasquariello, P., 2008. The anatomy of financial crises: Evidence from the emerging ADR market, Journal of International Economics, 76, 193–207.
    Pasquariello, P., 2014. Financial market dislocations, The Review of Financial Studies, 27, 1868-1914.
    Pattanaik, S. and Sahoo, S., 2003. The effectiveness of intervention in India: an empirical assessment, working paper.
    Phillips, P. and Perron, P., 1988. Testing for a unit root in time series regression, Biometrica, 75, 335–346.
    Suh, J., 2003. ADRs and U.S. market sentiment, The Journal of Investing, 12, 87–95.
    Tapia, M. and Tokman, A., 2004. Effects of foreign exchange intervention under public information: The Chilean case, Economia, 4, 1-42.
    描述: 博士
    國立政治大學
    財務管理研究所
    98357503
    103
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0983575031
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    503101.pdf2184KbAdobe PDF2146檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    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 ©   - 回饋