The Impacts of Macroeconomic Variable on the FINANCE stock index returns : An Application of the TFARMA Model
碩士 === 國立中興大學 === 企業管理學系 === 84 === Many empirical investigations on the causal relationships among Taiwan''s stock returns,money supply,the general price level ,interest rate,and exchange rate have shown very different results. Monthly dat of...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1996
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/99195367983149502761 |
| Summary: | 碩士 === 國立中興大學 === 企業管理學系 === 84 === Many empirical investigations on the causal relationships
among Taiwan''s stock returns,money supply,the general price
level ,interest rate,and exchange rate have shown very different
results. Monthly dat of these series are collected from January
1981 to December 1995.The research procedure includes
indentication of stationality of a time series of each variable
using Augemented Dickey-Fuller test(ADF),causality tests using
Granger''s methodoloty,and estimation of TFARMA model.
|
|---|