THE STUDY ON THE NON-LINEAR DYNAMIC CAUSAL RELATIONSHIPS BETWEEN CONSTRUCTION INDEX AND ITS MATERIALS INDEXES
學年 104
學期 2
出版（發表）日期 2016-06-01
作品名稱 THE STUDY ON THE NON-LINEAR DYNAMIC CAUSAL RELATIONSHIPS BETWEEN CONSTRUCTION INDEX AND ITS MATERIALS INDEXES
作品名稱（其他語言）
著者 Wang, Yih-Chang; Huang, Ran; Nieh, Chien-Chung; Weng, Tsai-Lung
單位
出版者
著錄名稱、卷期、頁數 Journal of Marine Science and Technology 24(2), pp.210-221
摘要 This paper aims to examine the short-run and long-run nonlinear dynamic relationship between indexes of construction and cement or steel in the Taiwan stock markets over the 1995- 2011 periods. In addition to traditional linear co-integration tests, the threshold co-integration and asymmetric threshold error-corrrection models (TECM) suggested by Enders and Siklos (2001) are used. Linear co-integration tests reveal no co-integration between the construction index and either of the cement and steel indexes, while threshold co-integration tests show existence of the co-integration relationship and asymmetric adjustment. Further analysis from TECM Granger causality tests finds evidence of a bi-directional causality between cement index and construction index, and a unidirectional causality going from steel index to construction index. These findings have important implications for the investors in the Taiwan stock markets.
關鍵字 asymmetric threshold co-integration model;stock market;construction index;cement index;steel index
語言 en
ISSN 1023-2796
期刊性質 國內
收錄於 SCI
產學合作
通訊作者
審稿制度 是
國別 TWN
公開徵稿
出版型式 ,電子版,紙本
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機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/108522 )