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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/75572
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/75572


    Title: The Relationship between Equity and Commodity Markets during the Credit Crisis
    Authors: 魏品揚;張元晨
    Wei, Ping-Yang;Chang, Yuanchen
    Contributors: 財管系
    Date: 2015-04
    Issue Date: 2015-06-04 15:58:08 (UTC+8)
    Abstract: This study explores the linkage between equity markets and commodity markets, finding that the stock price indices of Australia, Canada, Chile, New Zealand, and South Africa contain information about future movements in the commodity markets. We also show that these patterns are different before and after the recent financial crisis. In the pre-crisis period, models based on stock price indices do not outperform the benchmark model. However, in the post-crisis period we see that stock price indices help forecast the price changes of the associated commodity markets as well as aggregated commodity price movements.
    Relation: 經濟論文叢刊
    Data Type: article
    Appears in Collections:[財務管理學系] 期刊論文

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