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dc.contributor.authorCai, Yijieen_US
dc.contributor.authorChou, Ray Yeutienen_US
dc.contributor.authorLi, Danen_US
dc.date.accessioned2014-12-08T15:20:00Z-
dc.date.available2014-12-08T15:20:00Z-
dc.date.issued2009-11-01en_US
dc.identifier.issn0378-4266en_US
dc.identifier.urihttp://dx.doi.org/10.1016/j.jbankfin.2009.05.013en_US
dc.identifier.urihttp://hdl.handle.net/11536/14160-
dc.description.abstractThis paper investigates the dynamic correlations among six international stock market indices and their relationship to inflation fluctuation and market volatility. The current research uses a newly developed time series model, the Double Smooth Transition Conditional Correlation with Conditional Auto Regressive Range (DSTCC-CARR) model. Findings reveal that international stock correlations are significantly time-varying and the evolution among them is related to cyclical fluctuations of inflation rates and stock volatility. The higher/lower correlations emerge between countries when both countries experience a contractionary/expansionary phase or higher/lower volatilities. (C) 2009 Elsevier B.V. All rights reserved.en_US
dc.language.isoen_USen_US
dc.subjectInternational stock marketsen_US
dc.subjectCPI ratesen_US
dc.subjectGlobal volatilityen_US
dc.subjectSmooth transitionen_US
dc.subjectCARRen_US
dc.titleExplaining international stock correlations with CPI fluctuations and market volatilityen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.jbankfin.2009.05.013en_US
dc.identifier.journalJOURNAL OF BANKING & FINANCEen_US
dc.citation.volume33en_US
dc.citation.issue11en_US
dc.citation.spage2026en_US
dc.citation.epage2035en_US
dc.contributor.department交大名義發表zh_TW
dc.contributor.departmentNational Chiao Tung Universityen_US
dc.identifier.wosnumberWOS:000271343700008-
dc.citation.woscount22-
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