期刊論文
| 學年 | 90 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2001-12-01 |
| 作品名稱 | Dynamic relationship between stock prices and exchange rates for G-7 countries |
| 作品名稱（其他語言） | |
| 著者 | Nieh, C. C.; Lee, C. F. |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Amsterdam: Elsevier BV * North-Holland |
| 著錄名稱、卷期、頁數 | Quarterly Review of Economics and Finance 41(4), pp.477-490 |
| 摘要 | There are two major findings from our time-series estimations. First, we find that there is no long-run significant relationship between stock prices and exchange rates in the G-7 countries. This result interfaces with Bahmani-Oskooee and Sohrabian’s (1992) finding, but contrasts with the studies that suggest there be a significant relationship between these two financial variables. Our second finding is that the short-run significant relationship has only been found for one day in certain G-7 countries. For instance, currency depreciation often drags down stock returns in the German financial market, but it stimulates the Canadian and UK markets on the following day. However, an increase in stock price often causes currency depreciation the next day in Italy and Japan. In addition, we also find that the record of stock price and the value of the dollar cannot be depended on when predicting the future in the US, either in the short-run or long-run. |
| 關鍵字 | C32;Cointegration;Exchange rate;F31;G15;Stock price;VECM |
| 語言 | en |
| ISSN | 1062-9769 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23762 ) |