期刊論文
| 學年 | 96 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2007-11-01 |
| 作品名稱 | The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission between the Stock and Exchange Rates in Taiwan |
| 作品名稱（其他語言） | |
| 著者 | Lee, Yen-hsien; Chiu, Chien-liang |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Nashville: Economics Bulletin |
| 著錄名稱、卷期、頁數 | Economics Bulletin 3(22), pp.1-10 |
| 摘要 | This investigation adopts the Correlated Bivariate Poisson GARCH with Jump and Diffusion Volatility Spillover (CBP-GARCH-JDSV) model to determine whether the Qualified Foreign Institutional Investors (QFIIs) deregulation in Taiwanese stock markets influences normal and abnormal information transmission between stock and exchange rates. Empirical results demonstrated that the diffusion and jump process have significantly correlations and interacted with stock and exchange rates markets following the QFIIs deregulation. Finally, normal information transmission changed bi-directionally across markets and abnormal information supports the asset approach to determining exchange rates. Additionally, estimation results suggest that information transmissions are affected by removal of investment restrictions. |
| 關鍵字 | |
| 語言 | en |
| ISSN | 1545-2921 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | 電子版 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72571 ) |