| dc.contributor | 財管系 | |
| dc.creator (作者) | 賴松鐘 | zh_TW |
| dc.creator (作者) | Lai, Michael;Lai, Kon S.;Fang, Hsing | |
| dc.date (日期) | 1993 | |
| dc.date.accessioned | 8-一月-2015 17:18:41 (UTC+8) | - |
| dc.date.available | 8-一月-2015 17:18:41 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-一月-2015 17:18:41 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/72661 | - |
| dc.description.abstract (摘要) | This study examines dynamic linkages between the New York and Tokyo stock markets using daily index data. In contrast to previous analyses, both short-term and long-term intermarket adjustments are modeled and estimated simultaneously based on a vector error correction model of cointegration. Significant evidence for both short- and long-term feedback relationships between the two stock markets is found. Further subsample analysis reveals that the presence of two-way effects between the two markets is a rather recent phenomenon taking place in the late-1980s. notably in the post-1987 crash period. The results suggest that the New York and Tokyo markets are increasingly interdependent over time, and that the U.S. market is not always the leading stock market. | |
| dc.format.extent | 133 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Journal of International Financial Markets Institutions & Money, 3(2), 73-96 | |
| dc.title (題名) | Dynamic Linkages Between the New York and Tokyo Stock Markets:A Vector Error Correction Analysis | |
| dc.type (資料類型) | article | en |
