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DEUTSCHEMARK DOMINANCE OF EMS CURRENCIES: EVIDENCE FROM DAILY SPOT EXCHANGE RATES
Peggy E Swanson,Parvez Ahmed People&Global Business Association 1997 Global Business and Finance Review Vol.2 No.1
This study investigates the German dominance hypothesis from the perspective of foreign exchange rates within the EMS. The findings indicate that the value of the German deutschemark affects the values of other EMS currencies more than values of the other currencies affect the deutschemark. Bi-directional effects exist, however, and the mark is not independent of the remaining EMS currencies. Further, the strength of the mark in determining values of the other currencies appears to have strengthened since the German reunification.
A PRELIMINARY INVESTIGATION OF THE EFFECTS OF EXCHANGE RATES ON NATIONAL EQUITY MARKET RELATIONSHIPS
Peggy E Swanson People&Global Business Association 2000 Global Business and Finance Review Vol.5 No.2
This paper analyzes the effect of exchange rate changes on relationships existing between equity markets in the U.S., Canada, France, Germany, Japan, and United Kingdom during the period 1990-1995. Close equity market linkages are found between the U.S. and Canada, France, Germany, and United Kingdom. Exchange rate effects on those linkages are important only for the U.S. and the three European countries. Intertemporal analysis finds that exchange rate effects for the relationship between the U.S. and Japan, which were not significant for the entire period, have become significant only after 1994.
A DUAL APPROACH TO MEASURING EQUITY MARKET INTERRELATIONSHIPS
Peggy E Swanson People&Global Business Association 2004 Global Business and Finance Review Vol.9 No.1
This paper incorporates both mean returns and volatility effects in investigating relationships between and among international equity markets. As proxies for world equity markets, the US, Germany, and Japan are selected to represent their respective regions of the world. The more significant findings include: returns causalities are stronger than volatilities causalities, unconditional volatility (measured as rolling standard deviation of returns) affects returns more than conditional volatility (measured by GARCH effects).
THE ASIAN CRISIS AND MARKET EFFICIENCY: A DIFFERENT PERSPECTIVE
Raj Aroskar,Peggy E Swanson People&Global Business Association 2002 Global Business and Finance Review Vol.7 No.2
This paper investigates the effects of the 1997 Asian financial market crisis on the efficiency of foreign exchange markets for the Indonesian rupiah, Philippine peso, Malaysian ringgit, Thai baht, and Korean won. Based on a crisis and a non-crisis period, indications of inefficiency are found via one cointegrating vector during the crisis period, but minimal evidence of inefficiency is found during the non-crisis period. Additional efficiency tests, however, reveal that random walk tests dominate error correction models in predictive ability during the crisis period. Thus evidence of inefficiency is diminished and inefficiencies in foreign exchange markets do not appear to be a significant problem during either periods of relative calm or periods of extreme volatility.
GLOBAL BOND MARKETS: DETERMINANTS OF GOVERNMENT BORROWING COSTS FOR DEVELOPED AND EMERGING MARKETS
Hasan Baklaci,Peggy E Swanson People&Global Business Association 2004 Global Business and Finance Review Vol.9 No.2
This study examines the determinants of government borrowing costs by investigating whether government bond yields in developed and in emerging markets are driven by domestic factors, global factors, or both. The study's contributions include: (1) a new methodology to determine the relative dominance of domestic and global factors, (2) inclusion of new variables which are significant determinants of yields, and (3) analysis of commonalities and differences within and between developed and emerging markets. The findings indicate that domestic factors are dominant in the Eastern European countries, global factors are dominant in the Western European countries, and domestic and global factors are roughly equivalent in the Asian countries.