政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/85310

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/85310

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文笔数/总笔数 : 113822/144841 (79%)
造访人次 : 51822193 在线人数 : 508

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

主页 ‧ 登入 ‧ 上传 ‧ 说明 ‧ 关于政大典藏 ‧ 管理

到手机版

政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/85310

请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/85310

题名:	非貿易財、交易成本與本國偏向資產持有之關係研究 Non-traded Goods, Transaction Costs, and Equity Home Bias Puzzle
作者:	葉志揚 Yeh, Chih-Yang
贡献者:	林柏生葉志揚 Yeh, Chih-Yang
关键词:	非貿易財交易成本本國偏向國際總經 non-traded goods transaction costs equity home bias puzzle Intranational macroeconomics
日期:	2001
上传时间:	2016-04-18 16:24:42 (UTC+8)
摘要:	The fact that people prefer to hold domestic equities than foreign ones is still a puzzle for most economists. Although many factors are seemed to be reasonable explanations, two factors, non-traded goods and transaction costs, are usually regarded as the main ones to explain the puzzle. In spite of their importance, the question of which factor has better ability of explaining the puzzle has been the central issue among economists for a long period. In this paper, we will not only try to clarify the issue by examining the role of each factor playing in the puzzle, but also attempt to find out the reasons of disagreements among economists. A modern intranational macroeconomics approach will also be adopted to verify the discussion in this paper. Without surprise, it seems that a model with transaction costs has better ability to explain the puzzle since it`s more general in classifying the tradability of goods.
參考文獻:	[01] Backus, D., P. Kehoe, and F. Kydland. (1992). International real business cycles. Journal of Political Economy 100 (August): 745-775. [02] Backus, D., and G. Smith. (1993). Consumption and real exchange rates in dynamic economies with non-traded goods. Journal of International Economics 35 (November): 297-316. [03] Baxter, M., and U. Jermann. (1995). The international diversification puzzle is worse than you think. NBER Working Paper (February): No. 5019. [04] Baxter, M., U. Jermann, and R. King. (1998). Nontraded goods, nontraded factors and international non-diversification. Journal of International Economics 23 (May): 377-400. [05] Cole, H., and M. Obstfeld. (1991). Commodity trade and international risk sharing: How much do financial markets matter? Journal of Monetary Economics 28 (August): 3-24. [06] Cooper. I., and E. Kaplanis. (1994). Home bias in equity portfolios, inflation hedging, and international capital market equilibrium. Review of Financial Studies 7: 45-60. [07] Coval, J. D., and T. J. Moskowitz. (1997). Home bias at home: Local equity preference in domestic portfolio. Working Paper. UCLA. [08] Driscoll, K., J. Malcolm, M. Sirull, and P. Slotter. (1995). 1995 Gallup survey of defined contribution plan participants. Paper issued by John Hancock Financial Service. [09] Engle, C. (2000). Comments on Obstfeld and Rogoff’s “The six major puzzles in the international macroeconomics: Is there a common cause?” NBER Working Paper 7818. [10] Feldstein, M., and C. Horioka. (1980). Domestic savings and international capital flows. Economic Journal 90 (June): 314-29. [11] Gehrig, T. (1993). An information based explanation of the domestic bias in international equity investment. Scandinavian Journal of Economics 95: 97-109. [12] Heaton, J., and D. Lucas. (1995). The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices. Carnegie-Rochester Conf. Ser. Public Policy 42: 1-32. [13] Heaton, J., and D. Luca. (1996). Evaluating the effects of incomplete markets on risk sharing and asset pricing. Journal of Political Economy 104: 443-87. [14] Hess G. D., and van Wincoop E. (2000). Intranational macroeconomics. Cambridge University Press. [15] Huberman, G. (1997). Familiarity breeds investment. Working Paper. Columbia University. [16] Huberman, G. (2000). Home bias in equity markets: International and intranational evidence. Hess G. D., and van Wincoop E. (2000). Intranational Macroeconomics, Cambridge: Chapter 4. [17] Lewis, K. (1999). Trying to explain the home bias in equities and consumption. Journal of Economic Literature 37 (June): 571-608 [18] Martin P., and H. Rey. (2000). Financial integration and asset returns. European Economic Review 44: 1327-1350. [19] Obstfeld, M., and K. Rogoff. (1996). Foundations of International Macroeconomics. Cambridge, MA: MIT Press. [20] Obstfeld, M., and K. Rogoff. (2000). The six major puzzles in international macroeconomics: Is there a common cause? NBER Macroeconomics Annual 2000. [21] Obstfeld, M., and K. Rogoff. (2001). Perspectives on OECD Economic Integration: Implications for US Current Account Adjustment Oncoming paper. [22] Patrick F. R. (1999). Transaction costs and international portfolio diversification. Journal of International Economics 49: 145-170. [23] Pesenti, P., and van. Wincoop E. (1996). Do nontraded goods explain the home bias puzzle? NBER Working Paper 5784. [24] Pesenti, P., and van. Wincoop E. (1999). Can nontradables generate substantial home bias? Federal Reserve Bank of New York (November). [25] Tesar, L. L. and I. Werner. (1998). The internationalization of securities markets since the 1987 crash. In Brookings-Wharton papers on Financial Services. R. Litan and A. Santomero (eds.). Washington: The Brookings Institution. [26] Stockman, A. C., and H. Dellas. (1989). International portfolio non-diversification and exchange rate variability. Journal of International Economics 26: 271-289. [27] Telmer, C. I. (1993). Asset pricing puzzles and incomplete markets. Journal of Finance 48: 1803-1832. [28] Tesar L. L. (1993). International risk-sharing and non-traded goods. Journal of International Economics 35: 69-89. [29] Tesar L. L. (1995). Home bias and high turnover. Journal of International Money and Finance 14: 467-492. [30] Uppal, R. (1992). The economic determinants of the home country bias in investors’ portfolios: A survey. Journal of International Financial Management and Accounting 4: 171-89. [31] Warnock F. E. (2001). Home bias and high turnover reconsidered. International Finance Discuss Papers: No. 702.
描述:	碩士國立政治大學國際經營與貿易學系 88351002
資料來源:	http://thesis.lib.nccu.edu.tw/record/#A2002001523
数据类型:	thesis
显示于类别:	[國際經營與貿易學系 ] 學位論文

文件中的档案:

档案	大小	格式	浏览次数
index.html	0Kb	HTML2	541	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