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研究生:巫嘉穎
研究生(外文):Chia-Ying Wu
論文名稱:G7股市存在理性泡沫嗎?無母數秩之共整合檢定
論文名稱(外文):Rational Bubbles Exist in the G-7 Stock Markets?Further Evidence Based on Nonparametric Rank Test for Cointegration
指導教授:張倉耀張倉耀引用關係
指導教授(外文):TSANG-YAO CHANG
學位類別:碩士
校院名稱:逢甲大學
系所名稱:金融碩士在職專班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:英文
論文頁數:21
中文關鍵詞:G7股票市場非線性秩之共整合檢定理性泡沫
外文關鍵詞:Rank Test for Nonlinear CointegrationG7 Stock MarketsRational Bubbles
相關次數:
  • 被引用被引用:0
  • 點閱點閱:158
  • 評分評分:
  • 下載下載:33
  • 收藏至我的研究室書目清單書目收藏:3
此篇研究嘗試重新檢視是否理性泡沫存在於G7國家股市。
研究期間2000年1月至2009年6月,我們採用Breitung(2001)的無母數之共整合檢定來檢視,實證結果指出理性泡沫不存在於G7國家股市中。
The paper attempts to re-investigate whether rational bubbles exist in the G-7 stock markets during the period from January 2000 to June 2009 using the nonparametric rank test of cointegration proposed by Breitung (2001). The empirical results from the Rank Test reveal that rational bubbles are nonexistent in all G7 stock markets during the sample period.
目 錄

I. Introduction ....................................................................................... 04

II. DATA …............................................................................................. 08

III. Data .............................................................................................. 09

V. Empirical Results ............................................................................. 13

VI. Conclusions ………………………………….....…….…………... 15

REFERENCES ………………………………......……...………….... 16

Table 1. Summary Statistics of the Data ……………………….….... 18
Table 2. Univariate Unit Root Tests ………………………….….….. 19
Table 3: Results of Engle-Granger Cointegration Test…………….. 20
Table 4: Results of Rank Tests of Nonlinear Cointegration ……….. 20
Balke, N. S. and T. B. Fomby (1997), “Threshold. Cointergration,” International Economic Review, 38, 627-645.
Bohl, M. T. (2003), “Periodically Collapsing Bubbles in the US Stock Market?” International Review of Economics and Finance, 12, 385–397.
Campbell, J. Y. and R. J. Shiller (1987), “Cointegration and Tests of Present Value Models,” Journal of Political Economy, 95, 1062-1088.
Campbell, J., A. W. Lo, A. C. Mackinlay (1997), “The Econometrics of Financial Markets,” Princeton University Press, Princeton NJ.
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Chang, T., C. C. Chiu and C. C. Nieh (2007), “Rational Bubbles in the US Stock Market? Further Evidence from a Nonparametric Cointegration Test,” Applied Economics Letters, 14, 517-521.
Crowder, W. J. and M. E. Wohar (1998), “Stock Price Effects of Permanent and Transitory Shocks,” Economic Inquiry, 36, 540-552.
Cuñado, J., L. A. Gil-Alana, and F. Perez de Gracia (2005), “A Test for Rational Bubbles in the NASDAQ Stock Index: A Fractionally Integrated Approach,” Journal of Banking and Finance, 29, 2633-2654.
Diba, B. T. and H. I. Grossman (1988a), “The Theory of Rational Bubbles in Stock Prices,” The Economic Journal, 98, 746-754.
Diba, B. T. and H. I. Grossman (1988b), “Explosive Rational Bubbles in Stock Prices?” The American Economic Review, 78 (3), 520-530.
Enders, W. and C. W. F. Granger (1998), “Unit-Root Tests and Asymmetric Adjustment with an Example using the Term Structure of Interest Rates,” Journal of Business Economics & Statistics, 16, 304-311.
Enders, W. and P. L. Siklos (2001), “Cointegration and Threshold Adjustment,” Journal of Business Economics & Statistics, 19, 166-176.
Froot, K. A. and M. Obstfeld (1991), “Intrinsic Bubbles: The Case of Stock Prices,” The American Economic Review, 81, 1189-1214.
Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamics and Control, 12, 231-254.
Johansen, S. and K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money,” Oxford Bulletin of Economics and Statistics, 52, 169-210.
Koustas, Z. and A. Serletis (2005), “Rational Bubbles or Persistent Deviations from Market Fundamentals?” Journal of Banking and Finance, 29, 2523-2539.
Madsen, J., and B. Yang (1998), “Asymmetric Price Adjustment in a Menu Cost Model,”Journal of Economics, 68, 295-309.
Mokhtar, S. H., A. M. Nassir, and T. Hassan (2006), “Detecting Rational Speculative Bubbles in the Malaysian Stock Market,” International Research Journal of Finance and Economics, 6, 102-115.
Nasseh, A. and J. Strauss (2004), “Stock Prices and the Dividend Discount Model: Did Their Relation Break Down in the 1990s,” The Quarterly Review of Economics and Finance, 44, 191-207.
Timmermann, A. (1995), “Cointegration Tests of Present Value Models with a Time-Varying Discount Factor,” Journal of Applied Econometrics, 10, 17-31.
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