股價波動的總體因素－以台灣、南韓、新加坡及香港為例

NHUIR > College of Management > Department of Cultural & Creative Enterprise Management > Disserations and Theses(M. A. Program in Leisure Industry) > Item 987654321/21673

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Title:	股價波動的總體因素－以台灣、南韓、新加坡及香港為例
Other Titles:	The Macroeconomic Determinants of Stock Price Volatility: Evidence From Taiwan, South Korea, Singapore and Hong Kong
Authors:	張懿芬 Chang, I-Fen
Contributors:	經濟學研究所邱魏頌正 Song-zan Chiou Wei
Keywords:	錯誤糾正模型;共積;股價波動 stock price;ECM;volatility;SVAR;cointegration
Date:	2004
Issue Date:	2015-06-17 15:08:07 (UTC+8)
Abstract:	本研究探討總體經濟變數所扮演的角色，如貨幣供給、石油價格、匯率以及通貨膨脹對於股票價格的影響，主要以亞洲市場為實證對象（如台灣、南韓、新加坡和香港）。我們使用結構VAR模型以及1981年1月到2002年12月的月資料去觀察股價和這些總體變數的長短期關係。　　This paper investigates the roles of macroeconomic variables, i.e., money supply, oil price, exchange rate and inflation on the stock price using four Asia stock markets as samples (Taiwan, South Korea and Singapore and Hong Kong). A structural VAR model is applied to observe the differences of the structure of fluctuations after the 1997 financial crisis.
Appears in Collections:	[Department of Cultural & Creative Enterprise Management] Disserations and Theses(M. A. Program in Leisure Industry)

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