系統識別號 | U0002-0502201623003200 |
---|---|
DOI | 10.6846/TKU.2016.00147 |
論文名稱(中文) | 商品與金融市場非對稱關聯性之實證研究 |
論文名稱(英文) | The Empirical Study of Asymmetric Relationships in the Commodity and Financial Markets |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系博士班 |
系所名稱(英文) | Department of Banking and Finance |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 104 |
學期 | 1 |
出版年 | 105 |
研究生(中文) | 卓訓方 |
研究生(英文) | Hsun-Fang Cho |
學號 | 897530076 |
學位類別 | 博士 |
語言別 | 英文 |
第二語言別 | |
口試日期 | 2016-01-14 |
論文頁數 | 118頁 |
口試委員 |
指導教授
-
聶建中
共同指導教授 - 韋伯韜 委員 - 林建甫 委員 - 沈中華 委員 - 陳達新 委員 - 王祝三 委員 - 何宗武 委員 - 謝志柔 委員 - 聶建中 |
關鍵字(中) |
不對稱門檻共整合模型 縱橫平滑移轉模型 蔓延效果 油價 糧食價格 匯率 股票報酬 財務比率 安倍經濟學 |
關鍵字(英) |
Asymmetric Threshold Co-integration Model Panel Smooth Transition Regression Model Contagion Effect Oil Price Food Prices Exchange Rate Stock Returns Financial Ratios Abenomics |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
過去10年來,全球經濟受國際化、自由化及資訊科技發達影響,各國貿易及金融活動更加頻繁及密切,商品市場及金融市場間的連動性也與日俱增。近年來,全球經濟受到油價波動、全球金融海嘯與美國及日本量化寬鬆貨幣政策衝擊,對於全球的商品市場及金融市場也產生了重大的衝擊。故本文將運用非對稱關聯性之模型探討商品市場與金融市場之因果關係及蔓延的共同移動或是共同趨勢效果。 本文第一篇研究議題是「油價與糧食價格非對稱關聯性之實證研究」,實證結果發現油價與玉米、大豆、小麥及稻米價格有長期均衡關係,另發現油價與玉米及小麥價格存在短期因果關聯性,最後結果發現油價確實領先玉米、大豆及小麥價格。 第二篇論文是探討「安倍經濟學前後在非對稱架構下匯率市場之蔓延效果」,實證結果發現在安倍經濟學期間日圓貶值確實對與日本出口競爭的亞洲國家匯率造成競貶的蔓延效果,除了南韓之外。我們也清楚發現日圓貶值現象沒有蔓延到亞洲其他地區。最後結論安倍經濟學讓日圓大幅貶值僅有區域性的蔓延效果,不是全球性的蔓延效果。 本文最後一篇研究主題是「安倍經濟學前後台幣匯率對股價報酬的影響」,實證結果發現安倍經濟學所造成的台幣匯率波動確實會影響台灣汽車及積體電路產業的獲利性及股價報酬。以台灣汽車業為例當台幣相對升值超過2.30%,台灣汽車業獲利能力就受影響,進而影響股價報酬。而積體電路產業則是當台幣升值超過2.72%,獲利能力就會下降,股價也因此受到影響。 |
英文摘要 |
In past 10 years global economy affected by internationalization, liberalization and advanced science and technology makes more frequent and closer international trade and financial transactions all over the world. The relationships of commodity and financial markets have gathered great importance. In recent years, oil price volatility, global financial crises and America and Japan Quantitative Easing Monetary Policies have greatly been affecting the global commodity and financial markets. We utilize the model of asymmetric relationships to explore the causal nexus of commodity and financial markets and co-movement effects or common trend effects in the transmission or contagion among international commodity and financial markets The first topic of our study is “the empirical study of the asymmetric relationships between oil and food prices”. Empirical evidence suggests that there is a long-term equilibrium relationship between corn, rice, soybean, and wheat prices and the oil price during the time period investigated. Furthermore, we examined the short-run causal relationship exists between corn, and wheat prices and oil price. Finally, we also find out oil price to corn, soybean, and wheat price have a lead-lag causal relationship. The second theme is “the exchange market contagion in an asymmetric framework before and after Abenomics”. The empirical evidence confirms a contagion effect particularly in Asian countries where there is export competition with Japan with the exception of South Korea during Abenomics. The contagion of the Japanese yen depreciation is not transmitted to Australia, the Euro zone (France, Germany, Italy, and Netherlands), Qatar, Saudi Arabia, and USA in competitive trade with Japan. We can apparently find the effect of yen devaluation only occurred in the region of Asia close to Japan and does not spread Europe and America. In general, our results support the contagion phenomenon for Abenomics. Nevertheless, the effect of the contagion is regional not global. The third issue is “the effect of exchange rate change on stock return in Taiwan around Abenomics”. The main contribution is to provide a means for CEOs of companies in the two industries to exercise hedge options and evade the risk of exchange rate for their firms when the appreciation of currency are over 2.30% and 2.72% for automotive and integrated circuits industries, respectively. The empirical study finds that the exchange rate change over the threshold level certainly influenced profitability and stock returns of companies in the automotive and integrated circuits industries in Taiwan around Abenomics. |
第三語言摘要 | |
論文目次 |
CONTENTS CHAPTER 1 INTRODUCTION 1 CHAPTER 2 LITERATURE REVIEW 10 2.1 Relationships between oil and food prices 10 2.2 The exchange rate market contagion 12 2.3 The effect of exchange rate change on stock return 15 CHAPTER 3 METHODOLOGY 17 3.1 Conventional linear unit root tests 17 3.2 Advance non-linear ESTAR unit root tests 19 3.3 Co-integration test 21 3.4 Threshold co-integration tests 25 3.5 TECM Granger-Causality tests 30 3.6 Panel unit root tests 35 3.7 Panel Smooth Transition Regression Model 38 3.7.1 Testing for linearity 42 3.7.2 Testing for the number of transition functions 44 3.7.3 Building Panel Smooth Transition Regression model 45 CHAPTER 4 EMPIRICAL RESULTS 47 4.1 The asymmetric relationships between oil and food prices 47 4.1.1 Data and Summary Statistics 47 4.1.2 Empirical results 48 4.1.2.1 Conventional linear unit root tests 48 4.1.2.2 Advanced non-linear ESTAR unit root test 50 4.1.2.3 Results of the threshold cointegration test 51 4.1.2.4 TECM Granger-Causality tests 57 4.2 The exchange rate market contagion in an asymmetric framework before and after Abenomics 71 4.2.1 Data and Summary Statistics 71 4.2.2 Empirical results 74 4.2.2.1 Correlation Coefficient of Return 74 4.2.2.2 Conventional linear unit root tests 75 4.2.2.3 Advanced non-linear ESTAR unit root test 76 4.2.2.4 Engle-Granger co-integration test 78 4.2.2.5 Results of the threshold co-integration test 80 4.3 The exchange rate change on stock return in Taiwan around Abenomics 86 4.3.1 Data and Summary Statistics 86 4.3.2 Empirical results 87 4.3.2.1 Panel unit root tests 87 4.3.2.2 Linearity and no remaining non-linearity results 88 4.3.2.3 Estimation results of PSTR 92 CHAPTER 5 CONCLUSIONS 97 REFERENCES 104 LIST OF TABLES Table 1 Descriptive statistics 48 Table 2 The results of conventional linear unit root tests 49 Table 3 The results of nonlinear unit root test—KSS test 51 Table 4 Results of Enders–Siklos threshold co-integration test_corn and Brent 53 Table 5 Results of Enders–Siklos threshold co-integration test_rice and Brent 54 Table 6 Results of Enders–Siklos threshold co-integration test_soybean and Brent 55 Table 7 Results of Enders–Siklos threshold co-integration test_wheat and Brent 56 Table 8 Estimates of the TECM and ECM for corn and Brent 60 Table 9 Estimates of the ECM and M-TECM for rice and Brent 62 Table 10 Estimates of the TECM and M-TECM for soybean and Brent 66 Table 11 Estimates of the M-TECM and ECM for wheat and Brent 69 Table 12 The summary of the results of TECM test 70 Table 13 Summary statistics for return on exchange rates 73 Table 14 Results of Correlation Coefficient of Return 75 Table 15 Results of Various Unit Root Tests 76 Table 16 Results of the non-linear unit root test 77 Table 17 Results of the Engle-Granger test for co-integration 79 Table 18 Results of the Johansen maximum eigenvalue co-integration test 80 Table 19 Results of the Enders-Siklos test for threshold co-integration 85 Table 20 Formulas of variables 87 Table 21 Descriptive statistics of variables 87 Table 22 Panel unit-root test results 88 Table 23 Tests for linearity and remaining nonlinearity in the PSTR model _ for the automotive industry 90 Table 24 Tests for linearity and remaining nonlinearity in the PSTR model _ for the integrated circuit industry 90 Table 25 Determination of the Number of Location Parameters 91 Table 26 Parameter estimates for the final PSTR model 95 Table 27 Estimation of coefficients of control variables in PSTR model for the automotive industry 96 Table 28 Estimation of coefficients of control variables in PSTR model for the integrated circuits industry 96 LIST OF FIGURES Figure 1 The graph of Brent crude oil price (US$/barrel) 2 Figure 2 The trend of the yen against the U.S. dollar, 2011-2014 6 |
參考文獻 |
REFERENCES Abbott, P. C., C. Hurt, and W. E. Tyner, (2008), What's Driving Food Prices?, Farm Foundation Issue Report. Alan, Y., V. Gaur, and G. Gao, (2011), “Does Inventory Turnover Predict Future Stock Returns? A Retailing Industry Perspective,” Johnson School Research Paper Series, Available Online at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1971774. Alom, F., B. Ward, and H. Baiding, (2011), “Spillover Effects of World Oil Prices on Food Prices: Evidence from Asia and Pacific Countries,” 52nd New Zealand Association of Economists Annual Conference, Wellington, New Zealand, 29 June–1 July 2011. Apergis, N. and J. E. Payne, (2014), “Resurrecting the Size Effect: Evidence from a Panel Nonlinear Cointegration Model for the G7 Stock Markets,” Review of Financial Economics, Vol. 23, pp.46-53. Arouria, M. E. H., M. Bellalahb, and D. K. Nguyenc, (2009), “The Co-movements in International Stock Markets: New Evidence from Latin American Emerging Countries,” Applied Economics Letters, Vol. 18, pp.1-6. Baig, T. and I. Goldfajn, (1999), “Financial Market Contagion in the Asian Crisis,” IMF Staff Papers, Vol 46. Balke, N. S. and T. B. Fomby, (1997), “Threshold Cointegration,” International Economic Review, Vol. 38, pp.627–645. Banz, W., (1981), “The Relationship between Return and Market Value of Common Stocks,” Journal of Financial Economics, Vol. 9, pp.3-18. Barber, B., R. Lehavy, M. McNichols, and B. Trueman, (1998), “Can Investors Profit from the Prophets?,” Consensus Analyst Recommendations and Stock Returns. Bartram, S. M., S. J. Taylor, and Y.-H. Wang, (2007), “The Euro and European Financial Market Dependence,” Journal of Banking & Finance, Vol. 31, pp.1461–1481. Basu, S., (1977), “Investment Performance of Common Stocks in Relation to Their Price-earnings Ratios: A Test of the Efficient Market Hypothesis,” Journal of Finance, Vol. 32, No. 3, pp.663-682. Beer, F. and F. Hebein, (2011), “An Assessment of the Stock Market and Exchange Rate Dynamics in Industrialized and Emerging Markets,” International Business and Economics Research Journal, Vol. 7, No. 8, pp.59-70. Bekaert, G., C. R. Harvey, and A. Ng, (2005), “Market Integration and Contagion,” Journal of Business, Vol. 78, pp.39-69. Béreau, S., A. L. Villavicencio, and V. Mignon, (2010), “Nonlinear Adjustment of the Real Exchange rate Towards Its Equilibrium Value: A Panel Smooth Transition Error Correction Modelling,” Economic Modelling, Vol. 27, No. 1, pp.404-416. Bhandari, L. C., (1988), “Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence,” Journal of Finance, Vol. 43, pp.507-28. Boucher, C., (2007), “Asymmetric Adjustment of Stock Prices to Their Fundamental Value and the Predictability of US Stock Returns,” Economics Letters, Vol. 95, pp.339-347. Boyer, B. H., T. Kumagai, and K. Yuan, (2006), “How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices,” Journal of Finance, Vol. 66, pp.957–1003. Calvo, S. and C. M. Reinhart, (1996), Capital Flows to Latin America: is There Evidence of Contagion Effects? In: Calvo, G., Goldstein, M., Hochreiter, E. (Eds.), Private Capital Flows to Emerging Markets, Institute for International Economics, Washington, DC. Caporale, G. M., A. Cipollini, and N. Spagnolo, (2005), “Testing for Contagion: A Conditional Correlation Analysis,” Journal of Empirical Finance, Vol. 12, pp.476-489. Cerrato, M., C. de Peretti, and N. Sarantis, (2008), “A Nonlinear Panel Unit Root Test under Cross Section Dependence,” Working Paper, Department of Economics, University of Glasgow. Cha, B. and S. Oh, (2000), “The Relationship between Developed Equity Markets and the Pacific Basin's Emerging Equity Markets,” International Review of Economics and Finance, Vol. 9, pp.299–322. Chan, S. K., (1993), “Consistency and Limiting Distributions of the Least Squares Estimators of a Threshold Autoregressive Model,” Annals of Statistics, Vol. 21, pp.520–533. Chang, S., (2008), “Asymmetric Cointegration Relationship among Asian Exchange Rates,” Economic Change and Restructuring, Vol. 41, pp.125-141. Chang, S., (2010), “Effects of Asymmetric Adjustment among Labor Productivity, Labor Demand, and Exchange Rate Using Threshold Cointegration Test,” Emerging Markets Finance and Trade, Vol. 46, pp.55-68. Chang, T. H. and H. M. Su, (2010), “The Substitutive Effect of Biofuels on Fossil Fuels in the Lower and Higher Crude Oil Price Periods,” Energy, Vol. 35, pp.2807-2813. Chen, S. T., H. I. Kuo, and C. C. Chen, (2010), “Modeling the Relationship between the Oil Price and Global Food Prices,” Applied Energy, Vol. 87, pp.2517-2525. Chiang, M. H., (2001), “The Asymmetric Behavior and Spillover Effects on Stock Index Returns: Evidence on Hong Kong and China,” Pan Pacific Management Review, Vol. 4, pp.1-21. Choi, N. Y. and R. W. Sias, (2012), “Why Does Financial Strength Forecast Stock Returns? Evidence from Subsequent Demand by Institutional Investors,” Review of Financial Studies, Vol. 25, No. 5, pp.1550-1587. Chung, S. L., C. H. Huang, and C. Y. Yeh, (2012), “When Does Investor Sentiment Predict Stock Returns?,” Journal of Empirical Finance, Vol. 19, pp.217-240. Ciaian, P. and d’Artis Kancs, (2011a), “Food, Energy and Environment: Is Bioenergy the Missing Link,” Food Policy, Vol. 36, pp.571-580. Colletaz, G. and C. Hurlin, (2006), “Threshold Effect in the Public Capital Productivity: An International Panel Smooth Transition Approach,” University of Orleans working paper. Growth, Investment And Real Rates. Carneige-Rochester Conference Series on Public Policy Vol. 39, pp.95-140. Dickey, D. A. and W. A. Fuller, (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with Unit Root. Econometric, Vol. 49, pp.1057–1072. Dornbusch, R. and S. Fisher, (1980), “Exchange Rates and the Current Account,” American Economic Review, Vol. 70, pp.960–971. Dornbusch, R., Y. C. Park, and S. Claessens, (2000), “Contagion: Understanding How It Spreads,” The World Bank Research Observer, Vol. 15, No. 2, pp.177–197. Dungey, M., R. Fry, B. González-Hermosillo, and V. Martin, (2006), “Contagion in International Bond Markets during the Russian and the LTCM Crises,” Journal of Financial Stability, Vol. 2, pp.1-27. Dutta, D. R. A., G. Bandopadhyay, and D. R. S. Sengupta, (2012), “Prediction of Stock Performance in the Indian Stock Market Using Logistic Regression,” International Journal of Business and Information, Vol. 7, No. 1, pp.105-136. Dwyer, G. Jr., P. Locke, and W. Yu, (1996), “Index Arbitrage and Nonlinear Dynamics between the S&P 500 Futures and Cash,” Review of Financial Studies, Vol. 9, pp.301–332. Elleuch, J., (2009), “Fundamental Analysis Strategy and the Prediction of Stock Returns,” International Research Journal of Finance and Economics, Vol. 30, No. 1, pp.95-107. Elobeid, A., S. Tokgoz, D. J. Hayes, B. A. Babcock, and C. E. Hart, (2007), “The Long-run Impact of Corn-based Ethanol on the Grain, Oilseed, and Livestock Sectors with Implications for Biotech Crops,” The Journal of Agrobiotechnology Management and Economics, Vol. 10, No. 1, pp.11–8. Enders, W. and C. W. J. Granger, (1998), “Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates,” Journal of Business and Economic Statistics, Vol. 16, No.3, pp.304–311. Enders, W. and P. L. Siklos, (2001), “Cointegration and Threshold Adjustment,” Journal of Business and Economic Statistics, Vol. 19, No. 2, pp.166–176. Engle, R. and S. Yoo, (1987), “Forecasting and Testing in Co-integration Systems,” Journal of Econometrics, Vol. 35, pp.143-159. Engle, R. F. and C. W. J. Granger, (1987), “Co-integration and Error-correction: Representation, Estimation and Testing,” Econometrica, Vol. 55, pp.251–276. Fama, E. and K. French, (1995), “Size and Book-to-market Factors in Earnings and Returns,” Journal of Finance, Vol. 50, pp.131–155. FAO, (2008), “Soaring Food Prices: Facts, Perspectives, Impacts and Actions Required,” Proceedings of the High-Level Conference on World Food Security, Rome, 3–5. Fisher, R. A., (1932), “Statistical Methods for Research Workers, Fourth ed,” Oliver and Boyd, Edinburgh. Fok, D, D. van Dijk, and P. Franses, (2004), “A Multi-level Panel STAR Model for US Manufacturing Sectors,” University of Rotterdam, Working Paper. Forbes, K. and R. Rigobon, (2001), “Measuring Contagion : Conceptual and Empirical Issues,” The International Bank for Reconstruction and Development Organizing Conference of World Bank on International Financial Contagion: How It Spreads and How It Can Be Stopped. Forbes, K. J. and R. Rigobon, (2002), “No Contagion, Only Interdependence: Measuring Stock Market Comovements,” Journal of Finance, Vol. 57, pp.2223–2261. González, A., T. Teräsvirta, and D. van Dijk, (2004), “Panel Smooth Transition Regression Model and an Application to Investment under Credit Constraint,” Working Paper. Stockholm School of Economics. González, A., T. Teräsvirta, and D. van Dijk, (2005), “Panel Smooth Transition Rgression Mdels,” Rsearch Paper Series 165, Quantitative Finance Research Centre, Sydney: University of Technology. Granger, C. W. J. and T. H. Lee, (1989), “Investigation of Poduction, Sles, and Inventory Relationships Using Multicointegration and Nonsymmetric Error-correction Models,” Journal of Applied Econometrics, Vol. 4, pp.145–159. Granger, C. W. J. and T. Teräsvirta, (1993), Modelling Non-linear Economic Relationships, Oxford: Oxford University Press. Haddad, F. S., (2012), “The Relationship between Economic Value Added and Stock Returns: Evidence from Jordanian Banks,” International Research Journal of Finance and Economics, Vol. 89, pp.1450-2887. Hansen, B. E., (1999), “Threshold Effects in Non-dynamic Panels: Estimation, Testing and Inference,” Journal of Econometrics, Vol. 93, pp.345-368. Ho, L. C. and C. H. Huang, (2015), “The Nonlinear Relationships between Stock Indexes and Exchange Rates,” Japan and the World Economy, Vol. 33, pp.20-77. Im, K . S., M. H, Pesaran, and Y. Shin, (2003), “Testing for Unit Roots in Heterogeneous Panels,” Journal of Econometrics, Vol. 115, pp.53-74. Jansen, E. and T. Teräsvirta, (1996), “Testing Parameter Constancy and Super Exogeneity in Econometric Equations,” Oxford Bulletin of Economics and Statistics, Vol. 58, pp.735-763. Johansen, S. and K. Juselius, (1990), “Maximum Likelihood Estimation and Inference on Cointegration—with Applications to the Demand for Money,” Oxford Bulletin of Economics and statistics, Vol. 52, No. 2, pp.169-210. Johansen, S., (1988), “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamics and Control, Vol. 12, No. 3, pp.231–254. Jude, E., (2010), “Financial Development and Growth: A Panel Smooth Regression Approach,” Journal Economics Development, Vol. 35, pp.15-33. Kapetanios, G., Y. Shin, and A. Snell, (2003), “Testing for a Unit Root in the Nonlinear STAR Framework,” Journal of Econometrics, Vol. 112, pp.359–379. Koutmos, G., (1998), “Asymmetries in the Conditional Mean and the Conditional Variance: Evidence from Nine Stock Markets,” Journal of Economics and Business, Vol. 50, pp.277-290. Kruse, R., (2011), “A New Unit Root Test against ESTAR Based on a Class of Modified Statistics,” Stat. Pap, Vol. 52, pp.71–85. Kwiatkowski, D., P. C B. Phillips, P. Schmidt, and Y. Shin, (1992), “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure Are We that Economic Time Series Have a Unit Root?,” Journal of econometrics, Vol. 54, No. 1, pp.159-178. Lang, M. H. and R. J. Lundholm, (1996), “Corporate Disclosure Policy and Analyst Behavior,” Accounting Review, Vol. 71, No. 4, pp.467-492. Lee, S. B. and K. J. Kim, (1993), “Does the October 1987 Crash Strengthen the Co-movements among National Stock Markets?,” Review of Financial Economics, Vol. 3, pp.89-102. Levin, A., C. F. Lin, and C. Chu, (2002), “Unit Root Tests in Panel Data: Asymptotic and Finite-sample Properties,” Journal of Econometrics, Vol. 108, pp.1-24. Lewellen, J., (2004), “Predicting Returns with Financial Ratios,” Journal of Financial Economics, Vol. 74, No. 2, pp.209-235. Li, W. K. and K. Lam, (1995), “Modelling Asymmetry in Stock Returns by a Threshold Autoregressive Conditional Heteroscedastic Model,” The Statistician, Vol. 44, pp.333-341. Llorente, G., R. Michaely, G. Saar, and J. Wang, (2002), “Dynamic Volume‐return Relation of Individual Stocks,” Review of Financial studies, Vol. 15, No. 4, pp.1005-1047. Lucey, M. B. and S. Voronkova, (2008), “Russian Equity Market Linkages before and after the 1998 Crisis: Evidence from Stochastic and Regime-switching Cointegration Tests,” Journal of International Money and Finance, Vol. 27, pp.1304-1324. Luukkonen, R., P. Saikkonen, and T. Terasvirta, (1988), “Testing Linearity against Smooth Transition Autoregressive Models,” Biometrika, Vol. 75, pp.491–499. Martens, M., P. Kofman, and T. Vorst, (1998), “A Threshold Error Correction Model for Intraday Futures and Index Returns,” Journal of Applied Econometrics, Vol. 13, pp.245–263. Mitchell, D., (2008), “A Note on Rising Food Prices,” World Bank Policy Research Working Paper No. 4682. Available at SSRN: /http://ssrn.com/ abstract=1233058S. Narayan, P. K. and H. A. Ahmed, (2014), “Importance of Skewness in Decision Making: Evidence from the Indian Stock Exchange,” Global Finance Journal, Vol. 25, pp.260-269. Nazlioglu, S. and U. Soytas, (2012), “Oil Price, Agricultural Commodity Prices, and the Dollar: A Panel Cointegration and Causality Analysis,” Energy Economics, Vol. 34, pp.1098-1104. Nazlioglu, S. and U. Soytsa, (2011), “World Oil Prices and Agricultural Commodity Prices: Evidence from an Emerging Market,” Energy Economics, Vol. 33, pp.488-496. Ng, S. and P. Perron, (2001), “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power,” Econometrica, Vol. 69, pp.1519–1554. OECD, (2008), “Rising Food Prices: Causes,” Consequences and Responses. OECD Policy Brief. Okimoto, T., (2008), “New Evidence of Asymmetric Dependence Structures in International Equity Markets,” Journal of Financial and Quantitative Analysis, Vol. 43, pp.787–815. Patton, A. J., (2006), “Modelling Asymmetric Exchange Rate Dependence,” International Economic Review, Vol. 47, pp.527–556. Pelletier, D., (2006), “Regime-switching for Dynamic Correlation,” Journal of Econometrics, Vol. 131, pp.445–473. Petcharabul, P. and S. Romprasert, (2014), “Technology Industry on Financial Ratios and Stock Returns,” Journal of Business and Economics, Vol. 5, pp.739-746. Phillips, P. C. B. and P. Perron, (1988), “Testing for a Unit Root in Time Series Regression,” Biometrica, Vol. 75, No. 2, pp.335–346. Qiu, C., G. Colson, C. Escalante, and M. Wetzstein, (2012), “Considering Macroeconomic Indicators in the Food before Fuel Nexus,” Energy Economics, Vol. 34, pp.2021-2028. Reboredo, J. C., (2012), “Do Food and Oil Prices Co-move?,” Energy Policy, Vol. 49, pp.456-467. Rodriquez, J. C., (2007), “Measuring Financial Contagion: a Copula Approach,” Journal of Empirical Finance, Vol. 14, pp.401–423. Rosa, F. and M. Vasciaveo, (2012), “Volatility in US and Italian Agricultural Markets, Interactions and Policy Evaluation,” Working paper, University of Udine. Rothe, C. and P. Sibbertsen, (2006), “Phillips–Perron-type Unit Root Tests in the Nonlinear ESTAR Framework,” Allg. Stat. Arch, Vol. 90, pp.439–456. Sari, L. A. and Y. Hutagaol, (2012), “Debt to Equity Ratio, Degree of Operating Leverage Stock Beta and Stock Returns of Food and Beverages Companies on the Indonesian Stock Exchange,” Journal of Applied Finance and Accounting, Vol. 2, No. 2, pp.1-13. Senyigit, Y. B. and Y. Ag, (2014), “Explaining the Cross Section of Stock Returns: A Comparative Study of the United States and Turkey. Procedia - Social and Behavioral Sciences,” Vol. 109, pp.327-332. Serra, T., D. Zilberman, J. M. Gil, and B. K. Goodwin, (2011), “Nonlinearities in the U.S. Corn-Ethanol-Oil-Gasoline Price System,” Agricultural Economics, Vol. 42, pp.35-45 Shen, C. H., C. Chen, and L. Chen, (2007), “An Empirical Study of the Asymmetric Cointegration Relationships among the Chinese Stock Markets,” Applied Economics, Vol. 39, pp.1433-1445. Shen, P., (2000), “The P/E Ratio and Stock Market Performance, Federal Reserve of Kansas City,” Economic Review, Vol. 4, pp.23-36. Sheng, H. C. and A. H. Tu, (2000), “A Study of Cointegration and Variance Decomposition among Equity Indices before and during the Period of the Asian Financial Crisis,” Journal of Multinational Financial Management, Vol. 10, pp.345-365. Siklos, P. and C. W. J. Granger, (1997), “Regime Sensitive Cointegration with an Application to Interest Rate Parity,” Macroeconomic Dynamics, Vol. 3, pp.640–657. Stickel, S. E., (1995), “The Anatomy of the Performance of Buy and Sell Recommendations,” Financial Analysts Journal, Vol. 51, No. 5, pp.25-39. Teräsvirta, T., (1994), “Specification Estimation and Evaluation of Smooth Transition Autoregressive Models,” Journal of the American Statistical Association, Vol. 89, pp.208–218. Tudor, C. and C. Popescu-Dutaa, (2012), “On the Causal Relationship between Stock Returns and Exchange Rates Changes for 13 Developed and Emerging Markets,” Procedia - Social and Behavioral Sciences, Vol. 57, pp.275-282. Ucar, N. and T. Omay, (2009), “Testing for Unit Root in Nonlinear Heterogeneous Panels,” Economics Letters, Vol. 104, pp.5–8. Vacha, L., K. Janda, L. Kristoufek, and D. Zilberman, (2013), “Time-frequency Dynamics of Biofuel-fuel-food System,” Energy Economics, Vol. 40, pp.233-241. Wang, C. and C. A. Lin, (2005), “Using Threshold Cointegration to Examine Asymmetric Price Adjustments between ADR's and Their Underlying Securities—The Case of Taiwan,” South African Journal of Economics, Vol. 73, pp.449-461. Wang, Y. J. and H. S. Lee, (2008), “A Clustering Method to Identify Representative Financial Ratios,” Information Sciences, Vol. 178, pp.1087-1097. Yadav, P., P. Pope, and K. Paudyal, (1994), “Threshold Autoregressive Modeling in Finance: The Price Differences of Equivalent Assets,” Mathematical Finance, Vol 4, pp.205–221. Yang, J., H. Qiu, J. Huang, and S. Rozelle, (2008), “Fighting Global Food Price Rises in the Developing World: the Response of China and Its Affect on Domestic and World Markets,” Agricultural economics, Vol. 39, pp.453–464 (supplement). Yang, S. Y. and S. C. Doong, (2004), “Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries,” International Journal of Business and Economics, Vol 3, pp.139-153. Zhang, Q. and M. Reed, (2008), “Examining the Impact of the World Crude Oil Price on China's Agricultural Commodity Prices: The Case of Corn, Soybean, and Pork,” The Southern Agricultural Economics Association Annual Meetings, Dallas, TX. |
論文全文使用權限 |
如有問題,歡迎洽詢!
圖書館數位資訊組 (02)2621-5656 轉 2487 或 來信