An Empirical Study of the Return Dynamics Across the China，Taiwan and U.S. Equity Markets－Asymmetric Threshold Cointegration 、Error Correction Model and Causality Tests
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 93 === This paper applies the Enders-Siklos(2001) asymmetric threshold cointegration test and Hansen-Seo(2002) two-regime threshold cointegration test to examine the long run asymmetric equilibrium relationship among the Chinese Shanghai, Hong Kong, Taiwan and Ameri...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/34882498864732564540 |