重要事項 Import Notes

重要事項 Import Notes
修習國際金融專題學生,
請務必參見 課程網頁維護重要事項 Import Notes
Registered students MUST see the Import Notes

2015-11-01

國際金融學習記事 林秉毅

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1/4

期末報告

美英製造業降溫 歐元區火熱

Fed鷹派喊話 加快升息步伐


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12/28

期末報告

2015…78年來最難賺錢的一年

FT大預言 希拉蕊當選總統


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12/21


1. 研究的過程中是不能只靠軟體應用

2. Engle-Granger是延續計量方法的使用方式

3. 整合變數(Integrated of order k)是K階整合變數，是一種非定態的時間序列變數Y，經過k次差分之後變成定態。

4. 如果整合相同，但是有降階的現象，即為共整合。

5. 非定態變數：意思就是變數會亂跑，但是有一定的規則，報告最好會有隱含意義，正向或是反向。共整合如果存在的話，是允許短期偏離現象，因此就可以使用誤差修正模型。









新興市場 面臨四威脅

亞洲資本外流 召喚創新救援


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12/14

停課

路透：初級交易商估聯準會Q1將再升息

美國升息確立 法人建議避開高收益債

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12/7

Efficiency稱為估計量錯誤，落後期很重要，如果錯誤就將不會有白噪音的情況，關於效率問題，以及標準差問題。

    所有數如果是有隨機性的，就是有誤差，可能是人為誤差或其他因素。

    殘差有自我相關，會影響到BLUE。

    在統計樣本的部分，樣本小用約AIC(約100)
                  樣本大用SBC/HQC


UIP=報酬是相等的，但是可能要加入risk因子才有可能相等。
1+i=(1-i*)
Se/S
 risk +
premium

特性方程式是一個根矩陣有特殊意義方程式(root是解)



  IID，包含單跟檢定並尋找落後期，需要把殘差轉變成為白噪音。


單根檢定(數學的減(特性方程式的減)、數學性質是存在的，求解的方程式，落在複數座標，圓外就是沒有單根，圓內是有單根。






金價創4月來最大漲幅

美元反彈 就業數據強化升息前景




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Cointegration between stock prices and exchange rates in Asia-Pacific countries

Abidin, S., Walters, C., Lim, K. and Banchit, A. (2013). Cointegration between stock prices andexchange rates in Asia-Pacific countries. Investment Management and Financial Innovations, 10(2), pp.142-146.

Abstract
There is considerable interest surrounding the relationship between stock markets and exchange rates due to the potential predicatory power for policy makers and investors. From a sample of seven Australasian countries, the authors find that there is no evidence of a long run cointegration between stock markets and exchange rates. This result interfaces with some of Bahmani-Oskooee and Sohrabian’s (1992) and Nieh and Lee’s (2001) findings, but contrasts to previous literature which suggests that there should be some cointegration relationship between the two markets (Lin, 2000). Although Japan showes some evidence of cointegration, Ramasay and Yeung (2005) suggest that such anomalies could merely be the product of the time period chosen, providing resolve to our conclusion that there is no long run significant relationship between stock markets and exchange rates.

Keywords 
Cointegration, Stock Prices, Exchange Rates, Investments.

期中報告影片網址:https://www.youtube.com/watch?v=-ZUe8fbl1uQ

期末資料來源
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PO 文注意事項 (Notes about your posts required for this course)

每位同學必需建立與維護 2 個網頁: (updated on 2010.9.19)
Every registered student MUST post and maintain TWO pages at this site.

1. 你的期末報告想要仿照的原始 paper 重點摘要頁, 見 [範例]
A summary of the paper you choose to follow in your term-project. (see a suggestive [summary example ]).

2. 你的學習紀錄頁, 見 [範例]
A "learning weblog" of your progress during this course (see [example]). This example is demonstrative rather than required to conform to.

3. 記得每一頁要在頁尾處輸入你的「標籤」, 包含學號後5碼, 名字或暱稱, 和 其它你自訂的關鍵字, 例 ADF、共整合、PPP、等
When you edit your pages, be sure to write appropriate "Tags" (as many as you wish) (around the bottom of editing screen) for your posted pages to let me identify your required contributions. The tags should at least include your last 5-digit student ID and keywords about the page.

4. 請同學在你所選的 paper 加上標籤:「已選」
If you have already decided a paper to follow and post a page for it. Please be sure to attach that page a specific tag named "selected or 已選." It is of course possible that two or more students may choose the same paper to follow as their term-project. BUT only one of them can be authorized to follow the specific paper. The decision will be based on a first-come-first-serve rule. That is, the one who posts the summary page of a paper gets the first priority to follow that paper posted with a tag named"selected" paper .

5. 在你的 學習紀錄頁加上標籤:「學習記事」
Don't forget to stick a tag "weblog" with your "learning weblog" page in addition to your last 5-digit student ID.


== Posted on 2009.10.05 ==
請同學在你所選的 paper 加上標籤:「已選」
在你的 學習紀錄頁加上標籤:「學習記事」