中山管理評論

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中山管理評論  1995/9

第3卷第3期  p.1-14


題目
International Money Market Integration: An Application of GARCH Model with Consideration of Missing Data
International Money Market Integration: An Application of GARCH Model with Consideration of Missing Data
(75_03031_Full.pdf 5,739KB)

作者
Antsong Lin, Chung-Hua Shen/Department of Finance National Sun Yat-Sen University, Department of Banking National ChengChi University
Antsong Lin, Chung-Hua Shen/

Department of Finance National Sun Yat-Sen University, Department of Banking National ChengChi University


摘要(中文)

The purpose of this study is to re-examine Taiwan’s progress in entering the international financial arena and achievement in the liberalization of the banking industry by implementing a GARCH error correction model incorporating the missing-data effect. The evidence show that the causality relationships with consideration of missing data are drastically different from those without taking into account of them, confirming the existence of the missing- data effect. Bi-directional Granger causality relationships are supported for all pairings of markets when both heteroscedasticity and mis-specification of models are considered. In addition, Taiwan’s liberalization of the banking industry is more successful than previously believed, being proved by its long-term co-movements with Singapore and London.

(75_03031_Abs.pdf(檔案不存在))

關鍵字(中文)


摘要(英文)

The purpose of this study is to re-examine Taiwan’s progress in entering the international financial arena and achievement in the liberalization of the banking industry by implementing a GARCH error correction model incorporating the missing-data effect. The evidence show that the causality relationships with consideration of missing data are drastically different from those without taking into account of them, confirming the existence of the missing- data effect. Bi-directional Granger causality relationships are supported for all pairings of markets when both heteroscedasticity and mis-specification of models are considered. In addition, Taiwan’s liberalization of the banking industry is more successful than previously believed, being proved by its long-term co-movements with Singapore and London.

(75_03031_Abs.pdf(檔案不存在))

關鍵字(英文)


政策與管理意涵


參考文獻