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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/72661
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/72661

    Title: Dynamic Linkages Between the New York and Tokyo Stock Markets:A Vector Error Correction Analysis
    Authors: 賴松鐘
    Lai, Michael;Lai, Kon S.;Fang, Hsing
    Contributors: 財管系
    Date: 1993
    Issue Date: 2015-01-08 17:18:41 (UTC+8)
    Abstract: This study examines dynamic linkages between the New York and Tokyo stock markets using daily index data. In contrast to previous analyses, both short-term and long-term intermarket adjustments are modeled and estimated simultaneously based on a vector error correction model of cointegration. Significant evidence for both short- and long-term feedback relationships between the two stock markets is found. Further subsample analysis reveals that the presence of two-way effects between the two markets is a rather recent phenomenon taking place in the late-1980s. notably in the post-1987 crash period. The results suggest that the New York and Tokyo markets are increasingly interdependent over time, and that the U.S. market is not always the leading stock market.
    Relation: Journal of International Financial Markets Institutions & Money, 3(2), 73-96
    Data Type: article
    Appears in Collections:[財務管理學系] 期刊論文

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