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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 何憲章 | |
| dc.contributor.author | Chien-Hsun Lai | en |
| dc.contributor.author | 賴建勳 | zh_TW |
| dc.date.accessioned | 2021-06-08T06:06:56Z | - |
| dc.date.copyright | 2007-07-30 | |
| dc.date.issued | 2007 | |
| dc.date.submitted | 2007-07-18 | |
| dc.identifier.citation | 1. Aoki M (1994) “Monitoring Characteristics of the Main Bank System: An Analytical And Developmental View” in The Japanese Main Bank System: Its Relevance for Developing and Transforming Economies M.Aoki and H. Patrick, Oxford University Press
2. Breuer, J.B., McNown, R., Wallace, M., 2001. Misleading Inferences from Panel Unit Root and Tests with an Illustration from Purchasing Power Parity, Review of International Economics 9, 482-493. 3. Bruno Gerard, Pierre Hillion, and Frans de Roon (2002) “International Portfolio Diversification: Industry, Country, and Currency Effects Revisited,” Journal of Finance, 20-21. 4. Corsetti, G., P. Pessenti and N. Roubini (1999) “What Caused the Asian Currency and Financial Crisis?”, Japan and the World Economy v11 n3 p.305-373. 5. Dufour, J.M., Renault, E., 1998. Short Run and Long Run Causality in Time Series: Theory, Econometrica 66, 1099-1125. 6. Dusan Isakov, Frederic Sonney (2002) “Are practitioners right? On the relative importance of industrial factors in international stock returns,” Journal of Finance, 16. 7. Esther Eiling, Bruno Gerard, Frans de Roon (2004) “Asset Allocation in the Euro-zone: Industry or Country Based?” Journal of Finance, No. 2005–02, 30-31. Financial Crisis?”, Japan and the World Economy v11 n3 p.305-373. 8. Forbes, K. and R. Rigobon (1999) “No Contagion, Only Interdependence: Measuring Stock Market Co-movements”, NBER Working Paper No. W7267 Furman J. and J. Stiglitz (1998) “Economic Crisis: Evidence and Insights from East Asia”, Brookings Papers on Economic Activity v0 n2 p.1-114. 9. Greenwood J. and B. Jovanovich (1999), “The Information-Technology and the Stock Market”, American Economic Review v89 n2 p.116-122. 10. Giles, J.A., Williams, C.L., 2000. Export-Led Growth: A Survey of the Empirical Literature and Some Noncausality Results, Part 1, Journal of International Trade and Economic Development 9, 261-337. 11. Greene, W.H., 2003. Econometric Analysis, 2nd ed. Prentice-Hall. 12. Grubel, Herbert (1968) “International diversified portfolio: welfare gains and capital flows,” American Economic Review 58, 1299–1314. 13. Jean-Francois Bacmann, Michel Dubois, Dusan Isakov (2001) “Industries, business cycle and profitability of momentum strategies: An international perspective,” Journal of Finance, 16-17. 14. Jose Manuel Campa, Nuno Fernandes (2004) “Sources of Gains from International Portfolio Diversification,” Journal of Finance, 24–25. 15. Kewei Hou, G. Andrew Karolyi, Bong Chan Kho (2006) “What Fundamental Factors Drive Global Stock Returns?” Journal of Finance, 19-20. 16. Lessard, Donald R (1974) “World, national and industry factors in equity returns, ” Journal of Finance 29, 379–391. 17. Levy, Haim, and Marshall Sarnat (1970) “International diversification of investment portfolios,” American Economic Review 60, 668–675. 18. Lieven Baele and Koen Inghelbrecht (2004) “The Increasing Importance of Industry Risk Relative to Country Risk. Is it there?” Journal of Finance, 365-378. 19. Lieven De Moor and Piet Sercu (2005) “International portfolio diversification: do industry factors dominate country factors?” Journal of Finance, 16-17. 20. Markowitz, H. M. (1952) “Portfolio Selection,” Journal of Finance, 71-91. 21. Markowitz, H. M. (1959) “Portfolio Selection: Efficient Diversification of Investments,” New York: John Wiley & Sons. 22. Milgrom P and J. Roberts (1991) Economics, Organization and Management, Prentice-Hall 23. Stefano Cavalaglia and Vadim Moroz (2002) “Cross-Industry, Cross-Country Allocation,” Financial Analysts Journal November/December 2002. 17-18. 24. Zellner, A., 1962. An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias, Journal of the American Statistical Association 57, 348-368. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25261 | - |
| dc.description.abstract | 本研究探討在三個亞洲市場中，國家因素或產業因素是否影響股票報酬。其研究對象主要針對1994年至2006年之日本、韓國以及台灣市場。實證結果顯示，台灣股市及韓國股市深受東證一部指數(TOPIX)之影響。經由分析七個主要產業和其指數的關係可得知，大部分的產業存在單向或雙向的因果關係。另外，由產業因素和國家因素對股價報酬產生之效應與股價指數報酬間亦存在Granger Causality因果關係。 | zh_TW |
| dc.description.abstract | This thesis investigates whether stock returns in three Asian markets are significantly influenced by country factors or industry factors. The different implications and performance of Japan, South Korea and Taiwan markets from 1994 to 2006 were studied. Results indicate that the TWSE and KOSPI index returns are deeply affected by TOPIX index returns. By scrutinizing the relationships among seven major industries and its index returns, we found that the relationships are one-way or two-way causality for most industries. Granger causality was performed for stock index returns and the effects of stock returns from country factors and industry factors. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T06:06:56Z (GMT). No. of bitstreams: 1 ntu-96-R94723078-1.pdf: 256234 bytes, checksum: 096b14818176f4a08459a415214b7efc (MD5) Previous issue date: 2007 | en |
| dc.description.tableofcontents | Table of contents i
Abstract ii Section 1 Introduction 1 Section 2 Research Framework 4 Section 3 Analysis 7 3.1 Index relations and characteristics 7 3.2 Industry Correlation and characteristics 8 3.3 Granger Causality Analysis 12 3.4 Factors impact on stock returns 17 Section 4 Conclusion 23 References 25 | |
| dc.language.iso | en | |
| dc.subject | 股價報酬 | zh_TW |
| dc.subject | 東證一部指數 | zh_TW |
| dc.subject | TOPIX | en |
| dc.subject | stock returns | en |
| dc.subject | TWSE | en |
| dc.subject | KOSPI | en |
| dc.title | 產業因素 vs. 國家因素對日本, 韓國及台灣市場之影響 | zh_TW |
| dc.title | Industry factors vs. Country factors among
Japan, South Korea, and Taiwan Equity Markets | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 95-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳明賢,陳業寧 | |
| dc.subject.keyword | 股價報酬,東證一部指數, | zh_TW |
| dc.subject.keyword | stock returns,TWSE,KOSPI,TOPIX, | en |
| dc.relation.page | 27 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2007-07-20 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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