المؤلفون: 戴妙珊, Tai, Miao-Shan

المساهمون: 徐士勛

مصطلحات موضوعية: 價量關係, 類股輪動, 小波相干性, 時頻域因果關係, Price-volume relationship, Sector rotation, Wavelet coherence, Time-frequency domain causality

وصف الملف: 9843321 bytes; application/pdf

Relation: 林思如，陳宗仁，王憲斌與魏石勇(2017)，「股市規模波動的價量關係—以台灣股票市場為例」，《中華管理評論國際學報》， 20(2)。\n\n莊家彰與管中閔(2005)，「台灣與美國股市價量關係的分量迴歸分析」，《經濟論文》， 33(4)， 379-404。\n\n劉映興與陳家彬(2002)，「台灣股票市場交易值、交易量與發行量加權股價指數關係之實證研究—光譜分析之應用」，《農業經濟半年刊》， 72，65-87。\n\nAluko, O.A., and P.O. Adeyeye (2020), “Imports and economic growth in Africa: testing for Granger causality in the frequency domain,” The Journal of International Trade & Economic Development, 29(7), 850-864.\n\nBahmani-Oskooee, M., Chang, T., and Ranjbar, O. (2016),“Asymmetric causality using frequency domain and time-frequency domain (wavelet) approaches,” Economic Modelling, 56, 66-78.\n\nBojanic, A.N. (2012), “The impact of financial development and trade on the economic growth of Bolivia,” Journal of Applied Economics, 15(1), 51-70.\n\nChen, S.W. (2008), “Untangling the nexus of stock price and trading volume: evidence from the Chinese stock market,” Economics Bulletin, 7(15), 1-16.\n\nCroes, R., and Rivera, M.A. (2010), “Testing the empirical link between tourism and competitiveness: evidence from Puerto Rico,” Tourism Economics, 16(1), 217-234.\n\nCroux, C., and Reusens, P. (2013), “Do stock prices contain predictive power for the future economic activity? A Granger causality analysis in the frequency domain,” Journal of Macroeconomics, 35, 93-103.\n\nDickey, D.A., and W.A. Fuller (1979), “Distribution of the estimators for autoregressive time series with a unit root,” Journal of the American Statistical Association, 74, 427-431.\n\nGoffe, W. (1994), “Wavelets in macroeconomics: an introduction,” Computational techniques for econometrics and economic analysis, 137-149.\n\nGraham, M., and Nikkinen, J. (2011), “Co-movement of the Finnish and international stock markets: a wavelet analysis.,” The European Journal of Finance, 17:5-6, 409-425.\n\nGranger, C.W.J. (1969), “Investigating causal relations by econometric models and cross-spectral methods,” Econometrica: journal of the Econometric Society, 37, 424-438.\n\nGrinsted, A., Moore, J.C., and Jevrejeva, S. (2004), “Application of the cross wavelet transform and wavelet coherence to geophysical time series,” Nonlinear Process Geophysics, 11, 561-566.\n\nGronwald, M. (2009), “Reconsidering the macroeconomics of the oil price in Germany: testing for causality in the frequency domain,” Empirical Economics, 36, 441-453.\n\nGupta, S., Das, D., Hasim, H., and Tiwari, A.K. (2018), “The dynamic relationship between stock returns and trading volume revisited: a MODWTVAR approach,” Finance Research Letters, 27, 91-98.\n\nHudgins, L., Friehe, C., and Mayer, M. (1993), “Wavelet transforms and atmospheric turbulence,” Physical Review Letters, 71, 3279–3282.\n\nHui, E.C.M., and Yue S. (2006), “Housing price bubbles in Hong Kong, Beijing and Shanghai: a comparative study,” Journal of Real Estate Finance and Economics, 33, 299-327.\n\nJain, P.C., and Joh, G.-H. (1988), “The dependence between hourly prices and trading volume,” The Journal of Financial and Quantitative Analysis, 23(3), 269-283.\n\nJumbe, C.B.L. (2004), “Cointegration and causality between electricity consumption and GDP: empirical evidence from Malawi,” Energy Economics, 26, 61-68.\n\nKirikkaleli, D., and Güngör, H. (2021), “Comovement of commodity price indexes and energy price index: a wavelet coherence approach,” Financial Innovation, 7:15.\n\nLee, B.-S., and Rui, O.M. (2002), “The dynamic relationship between stock returns and trading volume: domestic and cross-country evidence,” Journal of Banking & Finance, 26, 51-78.\n\nLi, X.L., Chang, T., Miller, S., Balcilar, M., and Gupta, R. (2015), “The comovement and causality between the U.S. housing and stock markets in the time and frequency domains,” International Review of Economics and Finance, 38, 220-233.\n\nLoh, L. (2013), “Co-movement of Asia-Pacific with European and US stock market returns: a cross-time-frequency analysis,” Research in International Business and Finance, 29, 1-13.\n\nPal, D., and Mitra, S.K. (2017), “Time-frequency contained co-movement of crude oil and world food prices: a wavelet-based analysis,” Energy Economics, 62, 230-239.\n\nPinzón, K. (2018), “Dynamics between energy consumption and economic growth in Ecuador: a granger causality analysis,” Economic Analysis and Policy, 57, 88-101.\n\nRahman, M.M., and Kashem, M.A. (2017), “Carbon emissions, energy consumption and industrial growth in Bangladesh: empirical evidence from ARDL cointegration and Granger causality analysis,” Energy Policy, 110, 600-608.\n\nRamsey, J.B., and Zhang, Z. (1996), “The analysis of foreign exchange data using waveform dictionaries,” Journal of Empirical Finance, 4, 341-372.\n\nReboredo, J.C., and Rivera-Castro, M.A. (2014), “Wavelet based evidence of the impact of oil prices on stock returns,” International Review of Economics & Finance, 29, 145-176.\n\nRua, A., and Nunes, L.C. (2009), “International comovement of stock market returns: a wavelet analysis,” Journal of Empirical Finance, 12, 632-639.\n\nSaid E., and Dickey, D.A. (1984), “Testing for unit roots in autoregressive moving average models of unknown order,” Biometrika, 71, 599-607.\n\nTiwari, A. K., M. I. Mutascu, C. T. Albulescu, and P. Kyophilavong (2015), “Frequency domain causality analysis of stock market and economic activity in India,” International Review of Economics and Finance, 39, 224-238.\n\nToda, H. Y., and T. Yamamoto (1995), “Statistical inference in vector autoregressions with possibly integrated process,” Journal of Econometrics, 66(1-2), 225-250.\n\nYilanci, V., Ozgur, O., and Gorus, M.S. (2021), “Stock prices and economic activity nexus in OECD countries: new evidence from an asymmetric panel Granger causality test in the frequency domain,” Financial Innovation, 7:11.; G0109258010; https://nccur.lib.nccu.edu.tw//handle/140.119/140756; https://nccur.lib.nccu.edu.tw/bitstream/140.119/140756/1/801001.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/140756
https://doi.org/10.6814/NCCU202200561
https://nccur.lib.nccu.edu.tw/bitstream/140.119/140756/1/801001.pdf

المؤلفون: 鍾雅雯, Chung, Ya-Wen

المساهمون: 徐士勛, Hsu, Shih-Hsun

مصطلحات موضوعية: 房市價量因果關係, Toda-Yamamoto 因果關係檢定, 小波分析, 時頻域因果關係, Price-Volume causality, Housing market, Toda-Yamamoto, Wavelet analysis

وصف الملف: 6357928 bytes; application/pdf

Relation: 朱芳妮，周育如與張金鶚(2012)，「台灣房價指數的再檢視、細分與應用—時間、空間與類型之分析（第三年）」，《行政院國家科學委員會專題研究計畫研究成果報告》，台北：行政院國家科學委員會。\n花敬群與張金鶚(1997)，「住宅市場價量波動之研究」，《住宅學報》，5， 1-15。\n林正隆(2014)，《選擇性信用管制政策對房地產價格與成交量之影響—以台北市及新北市為例》，國立中正大學經濟學系國際經濟學碩士論文。\n林柏伸(2012)，《我國課徵奢侈稅對不動產價格與成交量之影響—以台北市為例》，朝陽科技大學財務金融系碩士論文。\n高慈敏(2014)，「經濟波動與房地產交易之價量關係：搜索模型之應用」，《住宅學報》，23， 21-56。\n游綉云(2015)，《台灣住宅之價量研究：區域性分析》，國立中正大學經濟學系國際經濟學碩士學位論文。\n楊孟蓉(2015)，《台灣不動產市場價量關係研究》，國立高雄大學金融管理學系碩士論文。\n謝明勳(2019)，《股市與房市之研究：來自臺灣的實證研究》，國立暨南大學財務金融學系碩士論文。\n簡祥傑(2014)，《住宅市場中不同產品類型價量關係之研究》，屏東商業技術學院不動產經營研究所碩士論文。\n羅于婷(2010)，《住宅新推個案市場價量關係之分析》，國立政治大學地政學系私立中國地政研究所碩士論文。\nAdebayo, T. S. (2020), “Revisiting the EKC hypothesis in an emerging market: an application of ARDL-based bounds and wavelet coherence approaches,” SN Applied Sciences, 2(12), 1-15.\nAkkoyun, H. C., Y. Arslan, and B. Kanik (2013), “Housing prices and transaction volume,” Journal of Housing Economics, 22(2), 119-134.\nAndrew, M. and G. Meen (2003), “House price appreciation, transactions and structural change in the British housing market: a macroeconomic perspective,”\nReal Estate Economics, 31(1), 99-116.\nBalcilar, M., Z. A. Ozdemir, and Y. Arslanturk (2010), “Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window,” Energy Economics, 32(6), 1398-1410.\nBerkovec, J. A. and J. L. Goodman Jr (1996), “Turnover as a measure of demand for existing homes,” Real Estate Economics, 24(4), 421-440.\nCavaliere, G., D. I. Harvey, S. J. Leybourne, and A. R. Taylor (2011), “Testing for unit roots in the presence of a possible break in trend and nonstationary volatility,” Econometric Theory, 27(5), 957-991.\nClayton, J., N. Miller, and L. Peng (2010), “Price-volume correlation in the housing market : causality and co-movements,” The Journal of Real Estate Finance and Economics, 40(1), 14-40.\nDe Wit, E. R., P. Englund, and M. K. Francke (2013), “Price and transaction volume in the Dutch housing market,” Regional Science and Urban Economics,43(2), 220-241.\nDickey, D. A. and W. A. Fuller (1979), “Distribution of the estimators for autoregressive time series with a unit root,” Journal of the American statistical association, 74(366a), 427-431.\nEfron, B. (1992), “Bootstrap methods: another look at the jackknife,” Breakthroughs in statistics , Springer, New York, NY, 569-593.\nElliott, G., T. J. Rothenberg, and J. H. Stock (1996), “Efficient tests for an autoregressive unit root,” Econometrica, 64(4), 813-836.\nEnders, W. and P. Jones (2016), “Grain prices, oil prices, and multiple smooth breaks in a VAR,” Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.\nGenesove, D. and C. Mayer (2001), “Loss aversion and seller behavior: evidence from the housing market,” The Quarterly Journal of Economics, 116(4), 1233-1260.\nGoupillaud, P., A. Grossmann, and J. Morlet (1984), “Cycle-octave and related transforms in seismic signal analysis,” Geoexploration, 23(1), 85-102.\nHacker, R. S., and A. Hatemi-J (2006), “Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application,”\nApplied Economics, 38(13), 1489-1500.\nHatemi-J, A. (2002), “Export performance and economic growth nexus in Japan: a bootstrap approach,” Japan and the World Economy, 14(1), 25-33.\nHort, K. (2000), “Prices and turnover in the market for owner-occupied homes,” Regional Science and Urban Economics, 30, 99-119.\nKirikkaleli, D. (2019), “Time-frequency dependency of financial risk and economic risk: evidence from Greece,” Journal of Economic Structures, 8(1), 1-10.\nKirikkaleli, D. (2020), “Does political risk matter for economic and financial risks in Venezuela?” Journal of Economic Structures, 9(1), 1-10.\nKirikkaleli, D. and H. Güngör (2021), “Co-movement of commodity price indexes and energy price index: a wavelet coherence approach,” Financial Innovation, 7(1), 1-18.\nKwiatkowski, D., P. C. 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, 54(1-3), 159-178.\nLi, L. H. and K. S. Cheung (2017), “Housing price and transaction intensity correlation in Hong Kong : implications for government housing policy,” Journal\nof Housing and the Built Environment, 32(2), 269-287.\nLütkepohl, H. (2005), “New introduction to multiple time series analysis,” Springer Science and Business Media, 103-320.\nMantalos, P. (2000), “A graphical investigation of the size and power of the Granger-causality tests in integrated-cointegrated VAR systems,” Studies in Nonlinear\nDynamics & Econometrics, 4(1), 17-33.\nNazlioglu, S., N. A. Gormus, and U. Soytas (2016), “Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission\nanalysis,” Energy Economics, 60, 168-175.\nNazlioglu, S., A. Gormus, and U. Soytas (2019), “Oil prices and monetary policy in emerging markets: structural shifts in causal linkages,” Emerging Markets Finance and Trade, 55(1), 105-117.\nNong, H. (2022), “Understanding housing price–volume connectedness: the case of housing markets in major megacities of China,” Applied Spatial Analysis\nand Policy, 1-19.\nOrtalo-Magne, F., and S. Rady (2006), “Housing market dynamics: on the contribution of income shocks and credit constraints,” The Review of Economic Studies, 73(2), 459-485.\nPhillips, P. C. and P. Perron (1988), “Testing for a unit root in time series regression,” Biometrika, 75(2), 335-346.\nReimers, H. E. (1992), “Comparisons of tests for multivariate cointegration,” Statistical Papers, 33(1), 335-359.\nSaid, S. E., and D. A. Dickey (1984), “Testing for unit roots in autoregressivemoving average models of unknown order,” Biometrika, 71(3), 599-607.\nStein, J. C. (1995), “Prices and trading volume in the housing market: a model with down-payment effects,” The Quarterly Journal of Economics, 110(2), 379-406.\nToda, H. Y. and T. Yamamoto (1995), “Statistical inference in vector autoregressions with possibly integrated process,” Journal of Econometrics, 66(1-2), 225-250.\nZivot, E. and D. W. K. Andrews (2002), “Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis,” Journal of Business and Economic Statistics, 20(1), 25-44.; G0109258004; https://nccur.lib.nccu.edu.tw//handle/140.119/140686; https://nccur.lib.nccu.edu.tw/bitstream/140.119/140686/1/800401.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/140686
https://doi.org/10.6814/NCCU202200566
https://nccur.lib.nccu.edu.tw/bitstream/140.119/140686/1/800401.pdf

المؤلفون: 周清宥, Chou, Qing-You

المساهمون: 徐士勛, Hsu, Shih-Hsun

مصطلحات موضوعية: 匯率, 黃金期貨價格, 頻域因果關係檢定, Granger因果關係檢定

وصف الملف: 1467378 bytes; application/pdf

Relation: [1] Breitung, J., and B. Candelon(2006).“Testing for Short and Long Run Causality:A FrequencyDomain Approach. Journal of Econometrics, 132(2),363-378.\n[2] Bhunia, A., and Pakira, S., (2014).“Investing the impact of gold price and exchange rates on sensex:An evidence of India.”European Journal of Accounting,Finance of Business, 2(1), 1-11.\n[3] Dickey, D.A. and W.A. Fuller (1981). “Likelihood ratio statistics for autoregressive time series with a unit root.”Econometrica, 49,1057–1072.\n[4] Geweke, J., (1982). “Measurement of linear dependence and feedback between multiple time series.” Journal of the American Statistical Association, 77, 304–313.\n[5] Granger,C.W.J (1969).“Investigating casual relations by econometric models and cross spectral methods. Econometrica, 37,424–438.\n[6] Hosoya, Y., (1991).“The decomposition and measurement of the interdependency between secondorder\nstationary processes.”Probability Theory Relat Fields, 88, pp. 429-444.\n[7] Hosoya, Y., (2001).“Elimination of third‐series effect and defining partial measures of causality.”Journal of time series analysis, 22(5),537-554.\n[8] Le, T.H., and Chang, Y.,(2013).“Dynamic Relationships between the Price of Oil, Gold and Financial Variables in Japan: A Bounds Testing\nApproach.”Online at http://mpra.ub.unimuenchen.\nde/33030/ MPRA , Paper No. 33030.\n[9] Nelson, C. R., and Plosser, C. R.,(1982). “Trends and random walks in macroeconmic time series: some evidence and implications.”Journal of monetary economics, 10(2), 139-162.\n[10] Schaling,E., Ndlovu,X., and Alagidede,P.,(2014).“Modelling the rand and commodity prices: A Ganger causality and cointegration analysis.” Sajems Ns ,17,No 5:673–690.\n[11] Yao, F., and Hosoya, Y., (2000). “Inference on one way effect and evidence in japanese macroeconomic data.”Journal of Econometrics, 98, 225–255.; G0107258028; https://nccur.lib.nccu.edu.tw//handle/140.119/131183; https://nccur.lib.nccu.edu.tw/bitstream/140.119/131183/1/802801.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/131183
https://doi.org/10.6814/NCCU202000699
https://nccur.lib.nccu.edu.tw/bitstream/140.119/131183/1/802801.pdf

المؤلفون: 王羿婷, Wang, Yi-Ting

المساهمون: 徐士勛, Hsu, Shih-Hsun

مصطلحات موضوعية: 股市報酬, 頻域因果關係, Granger因果關係檢定

وصف الملف: 929686 bytes; application/pdf

Relation: [1] 姜文怡 (2000)，「股票報酬預測產出之不對稱性效果」，碩士論文， 淡江大學，財務金融研究所。\n[2] 董澍琦，楊聲勇與藍淑鳳 (2005)，「股票報酬與經濟成長–亞太新興 國家之實證研究」，東海管理評論，7，285–304。\n[3] Breitung, J. and B. Candelon (2006), “Testing for short- and long- run causality: a frequency-domain approach,”Journal of Economet- rics, 132, 363–378.\n[4] Dickey, D.A. and W.A. Fuller (1981), “Likelihood ratio statistics for autoregressive time series with a unit root,”Econometrica: journal of the Econometric Society, 49,1057–1072.\n[5] Dufour,J.M.andE.Renault(1998),“ShortRunandLongRunCausal- ity in Time Series:Theory,”Econometrica, 66, 1099–1125.\n[6] Fama, E. F.(1990), “Stock returns, expected returns, and real activ- ity,”The Journal of Finance, 45, 1089-1108.\n[7] Geweke, J. (1982), “Measurement of linear dependence and feedback between multiple time series,” Journal of the American Statistical As- sociation, 77, 304–313.\n[8] Granger, C.W.J. (1969), “Investigating causal relations by economet- ric models and cross-spectral methods,”Econometrica: journal of the Econometric Society, 37, 424–438.\n[9] Hosoya, Y. (1991), “The decomposition and measurement of the in- terdependence between second-order stationary process,”Probability Theory and Related Fields, 88, 429–444.\n[10] Hou, H. and S.Y. Cheng (2010), “The roles of stock market in the finance-growth nexus: time series cointegration and causality evi- dence from Taiwan,”Applied Financial Economics, 20, 975-981.\n[11] Huang, B.N. and C.W. Yang (2004), “Industrial Output and Stock Price Revisited: An Application of the Multivariate Indirect Causal- ity Model,”The Manchester School, 72, 347-362.\n[12] Ibrahim, H.M. (1999), “Macroeconomic variables and stock prices in Malaysia: an empirical analysis,”Asian Economic Journal, 13, 219– 231.\n[13] Kaplan, M. (2008), “The impact of stock market on real economic ac- tivity: evidence from Turkey,”Journal of Applied Sciences, 8, 374– 378.\n[14] Pearce, D.K. (1983), “Stock prices and the economy,” Federal reserve bank of Kansas city economic review, 68, 7–22.\n[15] Singh, D. (2010), “Causal relationship between macro-economic vari- ables and stock market: A case study for India,”Pakistan Journal of Social Sciences, 30, 263–274.\n[16] Thach, N.N., L.H. Anh and H.T.N. Phuong (2019), “Frequency Do- main Causality Analysis of Stock Market and Economic Activites in Vietnam,” In: Kreinovich V., Sriboonchitta S. (eds) Structural Changes and their Econometric Modeling. TES 2019. Studies in Com- putational Intelligence, 808. Springer, Cham\n[17] Tiwari, A. K., M. I. Mutascu, C. T. Albulescu and P. Kyophilavong (2015), “Frequency domain causality analysis of stock market and eco- nomic activity in India,”International Review of Economics and Fi- nance, 39, 224 - 238.; G0107258022; https://nccur.lib.nccu.edu.tw//handle/140.119/131181; https://nccur.lib.nccu.edu.tw/bitstream/140.119/131181/1/802201.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/131181
https://doi.org/10.6814/NCCU202000664
https://nccur.lib.nccu.edu.tw/bitstream/140.119/131181/1/802201.pdf