The Impact of the Foreign Investment on the Voatility of the Stock and Futures Markets
碩士 === 國立臺北大學 === 合作經濟學系 === 91 === The purpose of this paper is to investigate the impact of foreign investment on the volatility of the stock markets and futures markets. This study performed by utilizing VECM-VS-GARCH-X model. The main empirical results are as follows:...
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2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/11741200074962957193 |
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ndltd-TW-091NTPU01310202016-06-20T04:16:18Z http://ndltd.ncl.edu.tw/handle/11741200074962957193 The Impact of the Foreign Investment on the Voatility of the Stock and Futures Markets 外資交易資訊對現貨市場與期貨市場波動性之影響--以本土市場為例 Yi-wen Chen 陳奕雯 碩士 國立臺北大學 合作經濟學系 91 The purpose of this paper is to investigate the impact of foreign investment on the volatility of the stock markets and futures markets. This study performed by utilizing VECM-VS-GARCH-X model. The main empirical results are as follows: Firstly, the result of cointegration test shows that there is a long-run equilibrium relationship among stock markets and futures markets. Second, the volatility switching effects between these stock markets and futures markets also exist. Thirdly, the condition correlations between stock market and futures markets are significant. Finally, foreign capital trading information has more influences on stock markets and futures markets. 蕭榮烈 2003 學位論文 ; thesis 104 zh-TW |
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NDLTD |
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zh-TW |
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Others
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NDLTD |
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碩士 === 國立臺北大學 === 合作經濟學系 === 91 === The purpose of this paper is to investigate the impact of foreign investment on the volatility of the stock markets and futures markets. This study performed by utilizing
VECM-VS-GARCH-X model.
The main empirical results are as follows:
Firstly, the result of cointegration test shows that there is a long-run equilibrium relationship among stock markets and futures markets.
Second, the volatility switching effects between these stock markets and futures markets also exist.
Thirdly, the condition correlations between stock market and futures markets are significant.
Finally, foreign capital trading information has more influences on stock markets and futures markets.
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| author2 |
蕭榮烈 |
| author_facet |
蕭榮烈 Yi-wen Chen 陳奕雯 |
| author |
Yi-wen Chen 陳奕雯 |
| spellingShingle |
Yi-wen Chen 陳奕雯 The Impact of the Foreign Investment on the Voatility of the Stock and Futures Markets |
| author_sort |
Yi-wen Chen |
| title |
The Impact of the Foreign Investment on the Voatility of the Stock and Futures Markets |
| title_short |
The Impact of the Foreign Investment on the Voatility of the Stock and Futures Markets |
| title_full |
The Impact of the Foreign Investment on the Voatility of the Stock and Futures Markets |
| title_fullStr |
The Impact of the Foreign Investment on the Voatility of the Stock and Futures Markets |
| title_full_unstemmed |
The Impact of the Foreign Investment on the Voatility of the Stock and Futures Markets |
| title_sort |
impact of the foreign investment on the voatility of the stock and futures markets |
| publishDate |
2003 |
| url |
http://ndltd.ncl.edu.tw/handle/11741200074962957193 |
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