English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 111386/142298 (78%)
Visitors : 48609814      Online Users : 708
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/115531

    Title: A Comparative Study of the Taiwan and Japan Equity and Foreign Exchange Markets: Modeling, Estimation and Application of the Component GARCH-in-Mean Model
    Authors: 周冠男
    Liu, Hsiang-Hsi;Chou, Robin K.
    Contributors: 財務管理學系
    Keywords: ARCH;Component GARCH-in-mean model (GARCH-M);Risk premium;Foreign currency exposure;Equity market;Transitory and permanent volatilities.
    Date: 2016
    Issue Date: 2018-01-08 17:14:10 (UTC+8)
    Abstract: The main purpose of this paper is to verify the effectiveness of the bivariate Component GARCH-in-mean (GARCH-M) model and analyze the interactions and risk premium of equity markets by exploring the short- and long-run volatility components on both the Taiwanese and Japanese equity markets. We show that unexpected shocks of volatility will in general influence the fluctuations of both equity and foreign exchange markets. Persistence on the long-run volatility components of both markets is also found. The results also reveal that the positive risk-return relation on equity markets can be further verified when the impacts of short and long-run volatility components are decomposed by the Component GARCH-M model. The decomposition can also facilitate reflecting the transitory and permanent volatility impacts of foreign exchange exposure on the returns of equity markets.
    Relation: Asian Economic and Financial Review, 2016, vol. 6, issue 5, 277-297
    Data Type: article
    Appears in Collections:[經濟學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    AEFR-2016-6(5)-277-297.pdf901KbAdobe PDF2407View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    著作權政策宣告 Copyright Announcement
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback