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    題名: 外匯市場效率性之檢定-世界各主要貨幣之實證
    作者: 陳愛修
    貢獻者: 劉錦添
    陳愛修
    日期: 1990
    1989
    上傳時間: 2016-05-03 14:12:57 (UTC+8)
    參考文獻: 參考文獻
    中文部分:
    1.吳中書，「台灣美元遠期外匯市場效率性之檢定」，經濟論文，民國77年3月，第16卷第1期。
    2.許怡隆，「外匯市場風險性溢價之探討－異質條件變異數分析法之研究」，政治大學國際貿易研究所碩士論文，民國78年6月。
    3.蔡宏洲，「台灣遠期外匯市場效率性之研究」，東海大學企業管理研究所碩士論文，民國75年6月。

    英文部分:
    l.Ardeni,P.G.(1989)," Does the Law of One Price Really Hold for Commodity Prices?" American Agricultural Economics Association,71, 661-669.
    2.Bailey, R.W., R.T. Baillie, and P.C. McMahon (1984), "Enterpreting Econometric Evidence of Efficiency in the Foreign Exchange Market",Oxford EconomicPapers, 36,67-85.
    3.Baillie, R.T., R.E. Lippens, and P.C. McMahon (1983), "Testing Rational Expectations and Efficiency in the Foreign Exchange Market",Econometrica, 51,553-563.
    4.Baillie, R.T. and P.C. McMahon (1984), "Some JointTests of Market Efficiency: the Case of the Forward Premium",Journal of Macroeconomics, 7,137-150.
    5.Baillie, R.T.and R.W. Bailey (1985), " International Currency Speculation, Market Stability and Efficiency in the 1920s: A TimeSeries Approach",Journal of Macroeconomics, 6,127-137.
    6.Bilson, J.F.O. (1981), " The Speculative Efficiency Hypothesis", Journal of Business.54,
    435 - 451 .
    7.Blejer, M.I. and M.S. Khan(1983 ), "The Foreign Exchange Market in a Highly-Open Developing Economy: The Case of Singapore ", Journa1 of Development Economics,12, 237-249.
    8.Boothe, P. and D. Longworth (1986), "Foreign Market Efficiency Tests:Implications of Recent Empirical Findings" Journal of International Money and Finance,5,135-152.
    9.Corbae, D. and S. Ouliaris (1988), " Cointegration and Tests of Purchasing Power Parity",The Review of Economics and Statistics, 508-511
    10.Dickey, D.A. and W.A. Fuller (1979), "Distribution of the Estimates for Autoregressive Time Series with a Unit Root", Journal of the American Statistical Association, 24, 427-431.
    11.Dickey, D.A. and W.A. Fuller (1981), "LikelihoodRatio Statistics for Autoregressive Time Series with a Unit Root", Econometrica,49,l057-1072.
    12.Domciwitz, I. and C.S. Hakkio (1985)," Conditional Variance and the Risk Premium in the Foreign Exchange Market", Journal of InternationalEconomics,19, 47-66.
    13.Enders, W. (1988), "ARIMA and Cointegration Tests of PPP Under Fixed and Flexible Exchange Rate Regimes", The Review of Economics and Statistics, 504-508.
    14.Engle, R.F.(1982), "Autoregressive Conditional Heteroskedasticity with Estimate of the United Kingdom.Inflations", Econometrica,50, 987-1007.
    15.Engle R. and C.W.J. Granger (1987), "Cointegration and Error Correction:Representation,Estimation, and Tseting",Econometrica, 55, 251-276.
    16.Fama, E. (1970), " Efficient Capital Markets:A Review of Theory and Empirical Work", Journal of Finance, 25, 383-417.
    17.Fama, E. (1984), "Forward and Spot Exchange Rates", Journal of Monetary Economics, 14,319-335.
    18.Frankel, J. A. ( 1980), "Test of Rational Expectation in the Forward Exchange Market", Southern Economic Journal, 46, 1083-1101.
    19.Frenkel, J.A. and A. Razin (1980), " Stochastic Prices and Tests of Efficiency of Foreign Exchange Market", Economic Letters, 6, 165-170.
    20.Godfrey, L.G. (1978), " Testing for Higher Order Serial Correlation in Regression when Reg-ressors Include Lagged Dependent Variables",Econometica, 46, 1303-1310.
    21.Granger, C. W. J. ( 1981), "Some Properties of Time-Series Data and Their Use in Econometric Model Specification", Journal of Econometrics,16, 121-130.
    22.Granger, C.W.J. (1986), "Developments in the Study of COintegrated Economic Variables", Oxford Bulletin of Economics and Statistics, 48,213-228.
    23.Granger, C. W. J. and-A.A. Weiss (1983), "Time Series Analysis of Error-Corrective Models",inSamuel K.,T. Amemiya and L.A. Goodman, eds.,Studiesin, Econometics Time Series, and MultivariateStatistics,New York: Academic Press, 1983.
    24.Gregory, A.W. and T.H. McCurdy (1984),"Testing the Unbiasedness Hypothesis in the Forward Foreign Exchange Market:A Specification Analysis",Journal of International Money and Finance,3, 357 - 368.
    25.Gregory, . A. W. and T. H. McCurdy (1986), "The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis with Application to France, Italy,Japan, the United Kingdom and West Germany", European Economic Review, 30, 365-381.
    26.Hakkio, C. S. (1986), " Does the Exchange Rate Follow a Random Walk? A Monte Carlo Study of Four Tests for a Random Walk ", Journal of InternationalMoney and Finance, 5, 221-229.
    27.Hakkio, C.S. and M. Rush ( 1989), "Market Efficiency and Cointegration:An Application to the Sterling and Dutschemark Exchange Markets",Journal of International Money and Finance, 8,75-88.
    28. Hansen, L.P. and R.J. Hodrick (1980), "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis", Journal of Political Economy, 88, 829-853.
    29. Hansen, L. P. and R. J. Hodrick (1983), " Risk Averse Speculation in the Forward Exchange Market:An Econometric Analysis of Linear Models", in J.A. Frenkel, ed., Exchange Rates and International Macroeconomics, Chicargo: University of ChicargoPress, 1983.
    30. Hodrick, R. J. and S. Srivastava (1986), "The Covariation of Risk Premiums and Expectated FutureSpot Exchange Rates", Journal of InternationalMoney and Finance, 5,S5~S21.
    31. MacDonald, R. and M. Taylor ( 1988 ), "Metals Prices, Efficiency and Cointegration: Some Evidence from the London Metal Exchange ",Bulletin of Economic Research, 40:3, 235-239.
    32. MacDonald, R. and M. Taylor (1989), " Foreign Exchange Market Efficiency and Cointegration:Some Evidence from Recent Float", Economic Letters,29,63-68.
    33.Ramsey, J. B.(1969), " Test for Specification Errors in Classical Linear Least-SquaresRegression Analysis", Journal of the Royal Statistical Society, Series B, 31, 350-371.
    34.Taylor, M.P. (1988), "An Empirical Examinationof Long-Run Purchasing Power Parity Using Cointegration Techniques", Applied Economics, 20,1369-1381.
    35.Taylor, M.P. and P.C. McMahon (1988),"Long-Run Purchasing Power Parity in the 1920s",European Economic Review; 32, 179-197.
    36.Thursby, J.G. (1981), "A Test Strategy for Discriminating Between Autocorrelation and Misspecification in Regression Analysis", The Review of Economics and Statistics, 63, 117-123.
    37.Tse Y. K. (1986), "The Spot and Forward Exchange Rates: Some Empirical Evidence of Singapore",Applied Economics, 18, 319-331.
    38.White H. (1980), "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity", Econometrica,48,817-838.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002005417
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

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