ꆡꆡꆡꆡ막욱쫐뎡붻틗솿폫쫕틦싊뚯첬펰쿬맘쾵뗄볆솿볬퇩:맺쓚폫맺볊막욱쫐뎡뇈뷏럖컶헔헱좫ꆡ톦럡믛3ꆡꆡ쓚죝쳡튪ꆡ놾컄춨맽럖컶짏몣ꆢ쿣룛ꆢ얦풼막욱쫐뎡뗄죕붻틗쫽뻝,볬퇩쇋막욱쫐뎡붻틗솿뫍쫕틦싊횮볤뗄뚯첬펰쿬맘쾵,냼삨펰쿬랽쿲벰ퟷ폃잿뛈,늢뇈뷏룷쫐뎡퓋탐믺훆벰탅쾢킧싊뗄닮틬ꆣ춬쪱뛔얦풼뫍쿣룛ꆢ짏몣뫍쿣룛막욱쫐뎡횮볤뗄탅쾢뒫뗝킧펦뷸탐쇋볆솿럖컶,뷡맻뇭쏷얦풼뫍쿣룛솽룶쫐뎡횮볤듦퓚탅쾢뗄ꆰ틧돶킧펦ꆱ뫍ꆰ랴삡킧펦ꆱ,뛸짏몣뫍쿣룛쫐뎡횮볤쎻폐쿔훸뗄탅쾢뒫뗝,짏몣막욱쫐뎡뒦폚튻훖쿠뛔뗄탅쾢럢뇕ힴ첬ꆣ맘볼듊ꆡ쫕틦싊붻틗솿싶돥쿬펦몯쫽Granger틲맻볬퇩튻틽퇔막욱쫐뎡붻틗솿뫍쫕틦싊횮볤뗄뚯첬펰쿬맘쾵튻횱쫇횤좯쫐뎡샭싛퇐뺿뗄훘튪뿎쳢,튲쫇뷢컶횤좯쫐뎡캢맛뷡릹ꆢ움볛쫐뎡탅쾢뒫떼킧싊벰퇐뺿횤좯쫐뎡폐킧탔뗄훘튪쫖뛎ꆣ붻틗솿ퟷ캪막욱쫐뎡ퟮ죝틗믱뗃뫍뒦샭뗄탅쾢풴횮튻,뛔쫐뎡탅쾢뒫능폐훘튪ퟷ폃,쯼횱뷓쳥쿖돶막욱뗄폐킧릩쟳ힴ뿶,랴펳막욱쫐뎡쓚퓚뚯쓜쳘헷뫍뷡릹쳘헷,쫇막욱볛룱퓋뚯쟷쫆뗄잱퓚횸쪾뇤솿ꆣ틲듋,붻틗솿폫쫕틦싊횮볤뚯첬펰쿬맘쾵뗄퇐뺿컞싛뛔폚뷰죚샭싛뗄랢햹뮹쫇뛔뷰죚쪵볹뚼폐훘튪횸떼틢틥ꆣCopeland(1976)틔벰Jennings뗈(1981)랢쿖막욱볛룱뫍붻틗솿횮볤듦퓚헽쿲틲맻맘쾵;Karpoff(1987)횸돶막욱볛룱뫍붻틗솿횮볤뗄맘쾵쪮럖훘튪;Campbell뗈(1993)횸돶냩쯦듳돉붻솿뗄볛룱뇤뮯붫떼훂볛룱뗄랴;Blume뗈(1994)퇐뺿죏캪,붻틗헟룹뻝맽좥뗄볛룱뫍붻틗솿뿉틔믱뗃폐볛횵뗄탅쾢,붻틗솿쳡릩쇋맘폚맽좥볛룱퓋뚯훊솿뫍뺫좷뛈뗄탅쾢ꆣ퓚붻틗솿뒫듯뗄쫐뎡탅쾢폐훺폚풤닢쫕틦싊뗄쟩뿶쿂,쫐뎡쫇럇췪좫킧싊뗄,붻틗솿뿉틔ퟷ캪탅쾢뗄듺샭뇤솿ꆣퟔ좻,탅쾢퓚맺볊쫐뎡짏뗄뒫뗝튲펦룃퓚붻틗솿짏폐쯹쳥쿖,틲듋틔붻틗솿뫍쫕틦싊캪뇤솿,듳솿톧헟뷸탐쇋막욱쫐뎡볤탅쾢ꆰ틧돶킧펦ꆱ뗄럖컶,King뫍Wadhwani(1990)쳡돶쇋뒫좾샭싛,횸돶쒳튻쫐뎡뗄ꆰ탅쾢틬뎣ꆱ믡뒫뗝떽웤쯻쫐뎡;Hamao뗈(1990)랢쿖쇋쏀ꆢ펢솽맺막쫐폫죕놾막쫐횮볤뗄떥쿲탅쾢ꆰ틧돶킧펦ꆱ;Lee뫍Rui(2002)퇐뺿쇋얦풼ꆢ싗3헔헱좫:벪쇖듳톧쫽솿뺭볃퇐뺿훐탄ꆡ벪쇖듳톧짌톧풺ꆡ130012ꆡ뗧ퟓ탅쿤:zzquan2000@;톦럡믛:훐맺짧믡뿆톧풺쫽솿뺭볃폫벼쫵뺭볃퇐뺿쯹늩쪿뫳ꆡ100732ꆡ뗧ퟓ탅쿤:xuexie777@ꆡ뗧뮰:0431-5166334ꆣ놾컄뗃떽쇋2004쓪뷌폽늿훘듳쿮쒿(05JJD790005)ꆢ2005쓪맺볒짧믡뿆톧믹뷰쿮쒿(05BJY100)ꆢ2001쓪맺볒ퟔ좻뿆톧믹뷰쿮쒿(70173043)ꆢ2002쓪뷌폽늿훘듳쿮쒿(02JAZJD790007)ꆢ뺭볃럖컶폫풤닢헜톧짧믡뿆톧뒴탂믹뗘훺ꆣ쫀뷧뺭볃3ꆡ2005쓪뗚11웚ꆡꆤ64ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
헔헱좫ꆡ톦럡믛ꆡꆡ뛘뫍뚫뺩막쫐뇤솿횮볤뗄뚯첬틲맻맘쾵,랢쿖죽룶쫐뎡뗄붻틗솿횮볤듦퓚쿔훸뗄탅쾢ꆰ틧돶킧펦ꆱ뫍ꆰ랴삡킧펦ꆱ,늢쟒얦풼막쫐뗄붻틗솿뛔싗뛘뫍뚫뺩막쫐뗄붻틗솿ꆢ쫕틦싊뫍쫕틦싊뗄늨뚯폐풤닢ퟷ폃ꆣ맺쓚맘폚막욱쫐뎡붻틗솿뫍쫕틦싊횮볤뗄맘쾵퇐뺿훷튪벯훐폚솿볛뗄쿠맘탔럖컶(돂쇡ꆢ쯎럪쏷,2000;췵돐ꆢ컢돥럦,2002;헔쇴퇥ꆢ췵튻쏹,2003)벰뮦짮솽쫐횮볤뗄탅쾢뒫뗝킧펦(쇵뷰좫ꆢ듞뎩,2002),뛸헫뛔맺볊폫맺쓚횤좯쫐뎡횮볤뗄뇈뷏뫍뚯첬펰쿬퇐뺿쿠뛔뷏짙,헢헽쫇놾컄퇐뺿뗄돶랢뗣ꆣ쯦ퟅ훐맺볓죫쫀뷧쎳틗ퟩ횯(WTO)뫍뺭볃뗄좫쟲튻쳥뮯,훐맺뫍맺볊뷰죚쫐뎡뗄솪쾵죕틦뷴쏜,맺볊쪯폍볛룱짏헇뗈쫂볾틽웰좫쟲막쫐늨뚯,뛸훐맺헾뢮뛔뫪맛뺭볃뗄뗷뿘헾닟틽웰쇋쓚뗘뫍쿣룛쳘쟸막쫐뗄뗷헻ꆣ헢훖쫐뎡솪쾵뗄볓잿쫇럱쮵쏷막쫐뇤솿횮볤듦퓚쿠쯆뗄퓋탐맦싉벰탅쾢뗄ꆰ틧돶킧펦ꆱ쓘?놾컄샻폃뛠풪VAR랽램,톡좡죕붻틗솿ꆢ죕쫕틦싊뫍죕쫕틦싊늨뚯캪뇤솿,퇐뺿짏몣ꆢ쿣룛쳘쟸ꆢ얦풼막욱쫐뎡쓚뫍쫐뎡볤뇤솿뗄뚯첬쿟탔틲맻맘쾵,캪쫕틦싊뗄뿉풤닢탔뫍뺭볃뗄솪뚯탔퇐뺿쳡릩뺭퇩횤뻝ꆣHiemstra뫍Jones(1994)ꆢSilvapulle뫍Choi(1999)ꆢ췵돐뫍컢돥럦(2002)럖뇰쪹폃Baek뫍Brock(1992)뗄럇쿟탔틲맻맘쾵볬퇩랽램퇐뺿쇋막욱쫐뎡뗄솿볛맘쾵,퇐뺿뇭쏷얦풼ꆢ몫맺ꆢ훐맺막욱쫐뎡뗄붻틗솿뫍볛룱횮볤듦퓚쮫쿲럇쿟탔Granger틲맻맘쾵뫍떥쿲쿟탔Granger틲맻맘쾵ꆣ떫쫇헢훖럇쿟탔틲맻맘쾵볬퇩닉폃뗄쫇솪뫏룅싊볬퇩,쎻폐룸돶쏷좷뗄럇쿟탔쒣탍탎쪽,솿볛맘쾵늢늻쏷좷ꆣ컒쏇튲쫔춼톰헒돶튻훖잡떱뗄럇쿟탔맘쾵,떫쫇쎻폐뗃떽샭쿫뗄뷡맻ꆣ뇈뷏뛸퇔,쯤좻쿟탔틲맻맘쾵볬퇩랶캧뇈뷏쿁햭,떫쫇헢훖맘쾵쫇쏷좷뗄,볬퇩랽램돉쫬,볬퇩뷡맻컈뚨ꆢ쪵폃ꆣ틲듋놾퇐뺿톡폃쿟탔틲맻맘쾵볬퇩ꆣ뛾쫽뻝뗄닉벯뫍뒦샭(튻)쫽뻝뗄닉벯놾컄닉폃뗄쫽뻝캪1997쓪1퓂1죕훁2004쓪5퓂31죕짏몣횤좯붻틗쯹ꆢ쿣룛솪붻쯹뫍얦풼횤좯붻틗쯹뗄죕붻틗쫽뻝,냼삨짏몣ퟛ횸ꆢ쿣룛뫣짺횸쫽뫍뇪ힼ웕뛻500횸쫽쫕틦벰웤붻틗솿쫽뻝ꆣ평폚훐맺막욱쫐뎡퓚1997쓪틔잰뒦폚돵쪼랢햹ힴ첬,맦쒣킡,룷쿮램싉뫍맦퓲뚼늻붡좫ꆣ1996쓪12퓂16죕웰쪵탐뗄헇뗸럹쿞훆틽웰쇋막쫐뷡릹뗄훘튪룄뇤,1999쓪틔살짏몣쫐뎡ퟟ쫆훰붥잿폚짮?쫐뎡,2000쓪9퓂16죕웰짮?횤좯붻틗쯹춣횹랢탐탂막,횱훁2004쓪6퓂믱ힼ돉솢훐킡웳튵냥,닅훘탂뾪쪼탂막랢탐짏쫐ꆣ본폚틔짏풭틲,놾컄톡폃짏몣막욱쫐뎡듺뇭훐맺막쫐ꆣ쿣룛솪붻쯹쫇쿣룛쳘쟸캩튻뗄막욱붻틗쯹ꆣ얦풼횤좯붻틗쯹쫇쏀맺ퟮ듳뗄훷냥쫐뎡,짏쫐뇪ힼ뷏룟,뛸쟒훐맺막욱쫐뎡뗄붨솢뫍랢햹뷨본쇋얦풼횤좯붻틗쯹늻짙뺭퇩,틲듋폫짏몣쫐뎡퓚뗘캻뫍붻틗맦퓲뗈랽쏦듦퓚뿉뇈탔,쫐뎡뗄쓚퓚퓋탐믺훆펦룃듦퓚쿠쯆탔ꆣ쫽뻝살풴폚쏀맺뇪ힼ뮯쫽뻝릫쮾Bloomberg쫽뻝쾵춳ꆣ(뛾)쫽뻝뗄뒦샭평폚VAR쒣탍튪쟳뇤솿탲쇐놾짭쫇욽컈뗄믲헟탲쇐횮볤듦퓚킭헻맘쾵,쯹틔쫗쿈뛔붻틗솿탲쇐ꆢ횸쫽쫕틦싊벰웤늨뚯탲쇐뷸탐욽컈탔볬퇩ꆣ볬퇩뇭쏷죽룶쫐뎡뗄붻틗솿탲쇐ꆢ쫕틦싊벰웤늨뚯탲쇐뚼늻듦퓚떥캻룹,쫴폚욽컈탲쇐,뿉틔횱뷓뷸탐쿂튻늽뗄럖컶ꆣ캪쇋짮죫럖컶붻틗솿뫍쫕틦싊뗄맘쾵,쪹폃VAR쒣탍냑붻틗솿럖뷢캪풤웚붻틗솿뫍캴풤웚붻틗솿,틔캴풤웚붻틗솿뇭쪾탂탅쾢뛔쫐뎡뗄펰쿬,춨맽럖컶캴풤웚붻틗솿폫쫕틦싊뗄맘쾵,럖컶쫐뎡뛔탂탅쾢뗄랴펦쯙뛈뫍돌뛈ꆣ퓚짏몣ꆢ쿣룛뫍얦풼쫐뎡뗄붻틗솿ꆢ쫕틦싊뫍쫕틦싊뗄늨뚯싊횮볤럖뇰붨솢VAR쒣탍ꋙ,늢룹뻝AIC뫍SCힼ퓲톡좡쇋ퟮ폅훍뫳뷗ꋙ떱퇹놾죝솿뇈뷏듳뗄쪱뫲,룹뻝듳쫽뚨싉뫍쫐뎡죵폐킧탔,뿉횪퇹놾쟸볤뗄헻쳥욽뻹쫕틦싊뷼쯆캪쇣,틲뛸쫕틦싊뗄늨뚯싊뿉틔뷼쯆뗄뇭쪾캪:ꛅ2=(R2-R
)ꇖR2tt1ꆣ쫀뷧뺭볃3ꆡ2005쓪뗚11웚ꆡꆤ65ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆡꆡ막욱쫐뎡붻틗솿폫쫕틦싊뚯첬펰쿬맘쾵뗄볆솿볬퇩:맺쓚폫맺볊막욱쫐뎡뇈뷏럖컶쫽,쯼쏇럖뇰캪7ꆢ5뫍5ꆣ룹뻝쎿룶VAR쒣탍훐뗄붻틗솿랽돌,폃믘맩닐닮뇭쪾쫐뎡훐캴풤웚붻틗솿,믘맩랽돌뗄풤닢횵ퟷ캪쫐뎡훐춶헟뗄풤웚붻틗솿ꆣ캪쇋뿘훆컳닮럖늼뗄럇헽첬탔,쪹폃GARCH쒣탍뛔쫕틦싊탲쇐뷸탐쇋훘탂쓢뫏,뷡맻뇭쏷GARCH(1,1)쒣탍쓜릻뫜뫃뗘쏨쫶쫕틦싊탲쇐뗄쳵볾틬랽닮쳘탔ꆣ죽쫐뎡쓚뇤솿볤뚯첬펰쿬맘쾵뗄볆솿볬퇩(튻)붻틗솿뫍쫕틦싊횮볤뗄Granger틲맻맘쾵볬퇩에뛏솽룶뇤솿횮볤뗄Granger뚯첬펰쿬맘쾵,탨튪쿈맀볆뛾풪VAR쒣탍,좻뫳퓚볲뮯쪽랽돌훐볬퇩훍뫳뷢쫍뇤솿뗄쾵쫽쿔훸탔:Yt=ꛁ10+ꇆpꛁ1iYt-i+ꇆpꛂ1iX(t-i1)i=1i=1Xt=ꛁ20+ꇆpꛁ2iYt-i+ꇆpꛂ2iX(t-i2)i=1i=1ꆡꆡ죧맻볬퇩뻜뻸풭볙짨H0ꇃꛂ1i=0,i=1,ꆭ,p,퓲죏캪X쫇Y뗄Granger풭틲,벴뇤솿X뻟폐뷢쫍뫍풤닢Y뗄쓜솦ꆣ죧맻볬퇩뻜뻸풭볙짨H0ꇃꛁ2=0,i=1,ꆭ,p,퓲죏캪Y쫇X뗄Granger풭틲,벴Y뗄훍뫳횵i뻟폐췆뛏X탐캪뗄쓜솦ꆣ뇭1룸돶쇋쫐뎡쓚솽뇤솿뗄틲맻맘쾵볬퇩뷡맻ꆣ뇭1쫐뎡쓚솽뇤솿뗄틲맻맘쾵볬퇩뷡맻풭볙짨H0F춳볆솿(짏몣막쫐)F춳볆솿(쿣룛막쫐)F춳볆솿(얦풼막쫐)V럇Granger펰쿬()()()Ve럇Granger펰쿬()()()Vu럇Granger펰쿬()()()R럇Granger펰쿬()()()R럇Granger펰쿬()()()R럇Granger펰쿬()()()V럇Granger펰쿬()()()Ve럇Granger펰쿬()()()Vu럇Granger펰쿬()()()R2럇Granger펰쿬()()()R2럇Granger펰쿬()()()R2럇Granger펰쿬()()()ttV럇Granger펰쿬()()()ttVe럇Granger펰쿬()()()ttVu럇Granger펰쿬()()()ttGarch-R2럇Granger펰쿬()()()ttGarch-R2럇Granger펰쿬()()()ttGarch-R2럇Granger펰쿬()()()ttꆡꆡ쮵쏷:V캪붻틗솿,Ve캪풤웚붻틗솿,Vu캪캴풤웚붻틗솿,R캪죕쫕틦싊,R2캪죕늨뚯싊,Garch-R2캪샻폃GARCHtttttt(1,1)쒣탍볆쯣뗄죕늨뚯싊,삨뫅쓚캪p횵ꆣ쫀뷧뺭볃3ꆡ2005쓪뗚11웚ꆡꆤ66ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
헔헱좫ꆡ톦럡믛ꆡꆡ뺭퇩뷡맻뇭쏷,짏몣쫐뎡뗄붻틗솿쫇쫕틦싊뗄Granger풭틲,뿉틔룹뻝붻틗솿풤닢막욱뗄쫕틦싊,춬쪱쫕틦싊벰웤늨뚯폖쫇붻틗솿뗄Granger풭틲,쓇쎴떱죕뗄붻틗솿랴펳쇋잰죕뗄볛룱뫍늨뚯탅쾢,춬쪱튲쫇듎죕볛룱뇤뮯뗄풭틲ꆣ퓚헢훖뒫떼믺훆쿂,막욱볛룱쎻폐돤럖랴펳샺쪷탅쾢,샻폃샺쪷볛룱뫍붻틗솿뿉틔풤닢쿖퓚뗄볛룱,내헕Fama뗄폐킧쫐뎡샭싛,짏몣막욱쫐뎡늻쫇췪좫폐킧뗄,떫쫇늢늻틢캶뿉틔룹뻝헢훖럇췪좫킧싊쪵쿖막쫐짏뗄컞럧쿕펯샻,틲캪붻틗솿뛔쫕틦싊뗄Granger풭틲훷튪살ퟔ캴풤웚붻틗솿뗄뷢쫍쓜솦,뛸뿉풤웚뗄붻틗솿쎻폐뷢쫍쓜솦ꆣ떫쫇붻틗솿뫍쫕틦싊늨뚯횮볤횻폐떥쿲틲맻맘쾵,쫕틦싊늨뚯뇈뷏컈뚨,늻쫜붻틗솿뗄펰쿬ꆣ탨튪쮵쏷뗄쫇,짮?횤좯붻틗쯹ퟔ2000쓪9퓂춣횹탂막쫗듎릫뾪랢탐뗄훆뛈낲업쪹뗃짏몣횤좯붻틗쯹믱뗃쇋톸쯙랢햹,돯뛮햼떽헻룶쫐뎡뗄뷼80%,막욱쫐뎡뷡릹랢짺쇋뇤뮯,틲듋폐뇘튪럖쟸볤쳖싛짮붻쯹춣랢탂막잰뫳짏몣막욱쫐뎡붻틗솿뫍쫕틦싊맘쾵뗄뇤뮯ꆣ쪹폃춬퇹뗄럖컶랽램ꋙ,퇐뺿랢쿖짮붻쯹춣랢탂막잰뫳,짏몣막욱쫐뎡붻틗솿뫍쫕틦싊뗄맘쾵믹놾늻뇤,떫붻틗솿뫍쫕틦싊늨뚯퓚짮붻쯹춣랢탂막잰쫇랴삡맘쾵,춣랢탂막뫳,붻틗솿늻퓙쫇쫕틦싊늨뚯뗄Granger풭틲,헢폫헻룶퇹놾웚뗄뷡맻쿠튻훂ꆣ럖컶뷡맻쫗쿈쮵쏷짮붻쯹춣랢탂막틔뫳뗄헢뛎쪱웚쫇훷떼쪱웚,퓚헻룶짏붻쯹뗄랢햹훐웰훷튪ퟷ폃,뻶뚨쇋짏몣막욱쫐뎡뗄랢햹뷸돌뫍쟷쫆;웤듎쮵쏷짮붻쯹춣랢탂막쪹짏붻쯹랢짺쇋뷡릹탔뇤뮯,듳맦쒣뗄삩죝쪹뗃붻틗솿뛔쫕틦싊늨뚯뗄풤닢ퟷ폃쿷죵쇋,벸뫵늻쓜릹돉쫕틦싊늨뚯뗄Granger풭틲ꆣ쿣룛쫐뎡뗄볬퇩뷡맻뫍짏몣쫐뎡듳쳥튻훂,횻쫇붻틗솿뛔늨뚯뗄펰쿬룼캪쿔훸,뇭쏷늨뚯뮹쫇쫐뎡쓚늿릩쟳뇤뮯뗄뷡맻,늻듦퓚ꆰ컞솿짏헇ꆱ뫍ꆰ컞솿쿂뗸ꆱ뗄럇샭탔쿖쿳ꆣ얦풼쫐뎡뗄죎뫎붻틗솿뚼늻쓜릻뷢쫍쫕틦싊,쫕틦싊좴쫇붻틗솿뫍풤웚붻틗솿뗄Granger풭틲,떫뛔캴풤웚붻틗솿뗄펰쿬늻쏷쿔,헢폫Lee뫍Rui(2002)뛔얦풼쫐뎡뗄퇐뺿뷡싛튻훂,막욱볛룱돤럖랴펳쇋쯹폐샺쪷탅쾢,늢쟒풤웚붻틗솿폫쫕틦싊늨뚯뗄쿔훸랴삡맘쾵튲뇭쏷,쫐뎡뛔탅쾢뗄뒫뗝쫇톸쯙뗄,뷓뷼Fama쯹돆뗄냫잿쪽폐킧쫐뎡뗄쳘헷ꆣ(뛾)뇤솿볤뗄뚯첬맘쾵볬퇩톡좡싶돥쿬펦몯쫽뛈솿뇤솿횮볤뗄뚯첬펰쿬맘쾵ꋚ,룹뻝죽룶쫐뎡뗄VAR쒣탍,럖뇰룸돶쎿룶쫐뎡룷뇤솿뗄싶돥쿬펦몯쫽,볻춼1ꆣ듓싶돥쿬펦몯쫽뿉틔뾴돶,죽룶쫐뎡뗄붻틗솿뛔폚ퟔ짭돥믷뗄랴펦뇈뷏쏴룐,쿈톸쯙퓶볓쯦뫳랴펦복죵,뺭맽10룶붻틗죕뮹쎻폐췪좫쿻돽;퇓뎤랴펦웚훘탂맀볆랢쿖,짏몣막욱쫐뎡붻틗솿뇤뚯뗄돖탸쪱볤뷏뎤,뺭맽60룶붻틗죕닅훰붥쟷폚쇣,쿣룛쫐뎡뗄돖탸쪱볤풼캪튻룶퓂,뛸얦풼쫐뎡뗄돖탸쪱볤뷓뷼냫쓪ꆣ헢훖붻틗솿돥믷돖탸탔뗄닮뇰퓚폚쫐뎡훷쳥쳘탔뗄늻춬:짏몣뫍얦풼막욱쫐뎡틔쓜풴ꆢ훆퓬뗈튻ꆢ뛾닺튵캪훷쳥,샻죳컈뚨,닺튵짽벶뮻듺훜웚뎤,틲듋쫜떽돥믷쪱뗷헻쯙뛈싽,뛸쿣룛막욱쫐뎡틔뷰죚ꆢ뗘닺뗈뗚죽닺튵캪쫐뎡훷쳥,헢킩탐튵쫜뺭볃뮷뺳뫍맺볊뷰죚쫐뎡늨뚯펰쿬뷏듳,랴펦튲톸쯙,듓뛸뇭쿖돶헻룶쫐뎡뛔싶돥쿬펦뗄쿻뮯컼쫕쯙뛈뷏뿬ꆣ뷸튻늽듓탅쾢뒫뗝뷇뛈럖컶,짏몣뫍얦풼막욱쫐뎡붻틗솿돥믷뎤돖탸탔뗄쳘헷늻춬ꆣ얦풼막욱쫐뎡쫇릫죏ퟮ돉쫬뗄쫐뎡,탅쾢엻슶훆뛈붡좫,헦쪵탅쾢뇈샽룟,탅쾢퓚쫐뎡훐뗄뒫뗝쫇훰늽삩즢맽돌,쪱볤쿠뛔싾뎤,얦풼막쫐붻틗솿싶돥쿬펦뗄뎤웚돖탸탔쫇쫐뎡ퟔ짭쿻뮯탅쾢뗄맽돌,잡잡랴펳쇋쫐뎡뗄맦랶뫍뛀솢탔;뛸짏몣막욱쫐뎡평폚릦쓜뚨캻좱쿝뫍훆뛈붨짨뗄훍뫳,쫜헾뢮룉풤퇏훘,헾닟뫍쳢닄돉캪돥믷쫐뎡뗄훷튪탅쾢살풴,뫪맛뺭볃뗄컈뚨퓶뎤뛔막쫐쎻폐뛌웚ꋙ본폚욪럹풭틲뫍쯹쪹폃랽램뗄뷼쯆탔,듋뒦뗄럖컶뷡맻벰쿪쾸럖컶맽돌쎻폐룸돶,뮶펭폐탋좤뗄뛁헟쿲ퟷ헟쯷좡ꆣꋚ싶돥쿬펦몯쫽뛈솿뗄쫇쒳튻뇤솿뛔웤쯻뇤솿쎿떥캻뇪ힼ닮뇤뮯뗄랴펦돌뛈뫍랽쿲,뇤솿y쿠뛔폚췢짺죅뚯w뗄랴펦몯쫽뿉틔tt뚨틥캪:L=9y/9w=<j,ꆭꆣt1,j=0,1jt+j쫀뷧뺭볃3ꆡ2005쓪뗚11웚ꆡꆤ67ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆡꆡ막욱쫐뎡붻틗솿폫쫕틦싊뚯첬펰쿬맘쾵뗄볆솿볬퇩:맺쓚폫맺볊막욱쫐뎡뇈뷏럖컶쾵춳탔ퟷ폃,횻폐헾닟탅쾢캪볛룱뎴ퟷ쳡릩쇋쳢닄,틽웰쫐뎡붻틗솿뫍볛룱뗄늨뚯,뎴ퟷ췪돉쪱늨뚯훜웚뷡쫸ꆣ짏몣쫐뎡붻틗솿뛔폚쫕틦싊뫍쫕틦싊늨뚯뗄돥믷ꆢ랴펦뗄돌뛈뫍돖탸탔뚼뷏쿣룛뫍얦풼막쫐잿쇒뫍쏷쿔,폫훐맺춶헟춶탐캪뗄ꆰ퇲좺킧펦ꆱ컇뫏,쫕틦싊벰웤늨뚯뗄뇤뮯쫇춶헟에뛏쫐뎡탅쾢뗄쿔탔횸뇪,붻틗솿뗄톸쯙퓶볓쫇춶헟럇샭탔뫍탅쾢늻뛔돆뗄뇭쿖ꆣ춼1ꆡ죽룶쫐뎡룷뇤솿뗄싶돥쿬펦몯쫽ꆡꆡ죽룶쫐뎡쫕틦싊뫍쫕틦싊늨뚯뗄싶돥쿬펦쒣쪽샠쯆,뚼쎻폐쏷쿔뗄돖탸탔ꆣ쫕틦싊뛔폚ퟔ짭돥믷톸쯙닺짺헽쿲랴펦,늢퓚튻쳬쓚톸쯙쮥복,뇭쏷쫕틦싊뗄튻뷗훍뫳킧펦쏷쿔,튲쮵쏷막쫐쫕틦뇤뮯뗄쯦믺탔춬퇹쿔훸ꆣ쫕틦싊늨뚯뗄샠쯆랴펳듓쇭튻룶닠쏦뇭쏷쇋늨뚯뗄GARCH(1,1)쳘헷ꆣ쯄쫐뎡볤탅쾢ꆰ틧돶킧펦ꆱ뫍ꆰ랴삡킧펦ꆱ뗄볆솿볬퇩평폚훐맺뗄췢믣맜훆뫍놾쿮쒿쇷뚯뗄쿞훆,틔벰춶훷쳥뛔폚쏀맺막욱쫐뎡쫬쾤돌뛈늻릻,뿉틔죏캪훐맺막쫐뫍쏀맺막쫐횮볤늻듦퓚탅쾢뒫뗝,벴쪹폐튲쫇캢죵뫍떥쿲뗄,쏀맺막쫐뛔폚훐맺막쫐뗄퓋탐튲늻믡닺짺쏷쿔뫍돖탸뗄펰쿬,놾컄늻쳖싛솽헟횮볤맘쾵ꆣ컒쏇맘탄뗄쫇쯦ퟅ쿣룛뫍쓚뗘뺭쎳솪쾵뗄볓잿,듳솿쓚뗘폅훊웳튵럗럗퓚솪붻쯹짏쫐,쓚뗘막쫐뫍쿣룛막쫐횮볤쫇럱듦퓚쿔훸뗄탅쾢ꆰ틧돶킧펦ꆱ뫍ꆰ랴삡킧펦ꆱꆣ뛸쿣룛뫍얦풼막욱쫐뎡뻹캪쫀뷧짏돉쫬뗄놾쫐뎡,퓋탐맦퓲뗄붡좫뫍믺훆뗄췪짆쪹쫀뷧뺭볃3ꆡ2005쓪뗚11웚ꆡꆤ68ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
헔헱좫ꆡ톦럡믛ꆡꆡ컒쏇폐샭평쿠탅솽룶쫐뎡횮볤탅쾢뗄뒫뗝뫍랴삡쫇톸쯙뫍쏷쿔뗄ꆣ컒쏇춬퇹쪹폃Granger틲맻볬퇩뗄랽램퇐뺿쫐뎡횮볤뗄탅쾢뒫뗝맽돌ꆣ볬퇩뷡맻럖뇰볻뇭2뫍뇭3ꆣ뇭2ꆡ얦풼뫍쿣룛막욱쫐뎡횮볤탅쾢뒫뗝볬퇩뷡맻뇭3ꆡ짏몣뫍쿣룛막욱쫐뎡횮볤탅쾢뒫뗝볬퇩뷡맻풭볙짨H0VtVeVu풭볙짨H0VtVeVuttttV2럇Granger펰쿬럇Granger펰쿬ꆡ()()()ꆡ()()()R3럇Granger펰쿬럇Granger펰쿬ꆡ()()()ꆡ()()()R2럇Granger펰쿬럇Granger펰쿬ꆡ()()()ꆡ()()()V3럇Granger펰쿬럇Granger펰쿬ꆡ()()()ꆡ()()()R22럇Granger펰쿬럇Granger펰쿬ꆡ()()()ꆡ()()()V3럇Granger펰쿬럇Granger펰쿬ꆡ()()()ꆡ()()()V2럇Granger펰쿬럇Granger펰쿬ꆡ()()()ꆡ()()()R23럇Granger펰쿬럇Granger펰쿬ꆡ()()()ꆡ()()()ꆡꆡ쮵쏷:V캪죕붻틗솿,R캪죕쫕틦싊,R2캪죕늨뚯싊,쿂뇪ꆡꆡ쮵쏷:V캪죕붻틗솿,R캪죕쫕틦싊,R2캪죕늨뚯싊,쿂뇪1ꆢ2ꆢ3럖뇰뇭쪾짏몣ꆢ쿣룛뫍얦풼막욱쫐뎡,삨뫅쓚캪p횵ꆣ1ꆢ2ꆢ3럖뇰뇭쪾짏몣ꆢ쿣룛뫍얦풼막욱쫐뎡,삨뫅쓚캪p횵ꆣꆡꆡ듓뇭2뿉틔뾴돶,얦풼막욱쫐뎡뫍쿣룛막욱쫐뎡뗄탅쾢뒫뗝훷튪쳥쿖퓚붻틗솿뫍쫕틦싊늨뚯짏ꆣ얦풼쫐뎡뗄붻틗솿쫇쿣룛쫐뎡쫕틦싊늨뚯뗄Granger풭틲,떫쿣룛쫐뎡뗄늨뚯늻믡틽웰얦풼쫐뎡붻틗솿뗄쿔훸뇤뮯,뇭쏷얦풼쫐뎡붻틗솿뒫듯뗄탅쾢퓚쿣룛쫐뎡짏폐쯹쳥쿖,듦퓚얦풼쫐뎡떽쿣룛쫐뎡뗄탅쾢ꆰ틧돶킧펦ꆱꆣ춬쪱,쿣룛쫐뎡뗄붻틗솿뫍얦풼쫐뎡뗄쫕틦싊늨뚯뮥캪Granger풭틲,듦퓚랴삡맘쾵ꆣퟷ캪돉쫬뗄놾쫐뎡,쿣룛뫍얦풼막욱쫐뎡쫜떽죋캪닙ퟝ뗄룅싊뫜킡,웤붻틗솿뫍쫕틦싊벰웤늨뚯뗄뇤뮯룼뛠뗄쫇뛔폚폫뷰죚쫐뎡뫍쫀뷧뺭볃퓶뎤폐맘탅쾢뗄랴펳,평폚맦쒣뫍뺭볃뮷뺳뗄늻춬,얦풼막욱쫐뎡뛔탅쾢뗄랴펳쯙뛈뫍펰쿬솦잿폚쿣룛막욱쫐뎡ꆣ룹뻝뇭3컒쏇뿉횪,짏몣막욱쫐뎡뫍쿣룛막욱쫐뎡뗄붻틗솿뫍쫕틦싊벰쫕틦싊늨뚯횮볤ퟜ쳥짏늻듦퓚쏷쿔뗄틲맻맘쾵,쫐뎡뗄퓋탐쿠뮥뛀솢,짏몣막욱쫐뎡뫍쿣룛솪붻쯹횮볤쎻폐탅쾢뗄ꆰ틧돶킧펦ꆱ뫍ꆰ랴삡킧펦ꆱ,헢폫컒쏇뗄횱뻵늻쿠럻뫏ꆣ웤풭틲퓚폚쿣룛쫴폚췢쎳틀췐탍뺭볃,룼쫇훘튪뗄맺볊뷰죚쫐뎡,막욱쫐뎡뗄뇭쿖룼뛠뗄랴펳맺볊뺭볃탎쫆뫍뷰죚쫐뎡뗄뇤뮯,늻돉쫬뗄짏몣막쫐뗄탅쾢늻펦룃퓚돉쫬뗄쿣룛막쫐짏뗃떽랴펳ꆣ짏몣막쫐뗄퓋탐뫍랢햹뒦폚첽쯷뫍췪짆훐,뻟폐쏷쿔뗄훐맺쳘즫,훷튪랴펳헾뢮틢풸,웤쯻쫐뎡뛔막쫐뗄펰쿬폐쿞ꆣ컥ꆡ뷡ꆡ싛놾컄춨맽럖컶짏몣ꆢ쿣룛ꆢ얦풼막욱쫐뎡뗄죕붻틗쫽뻝,쪹폃VAR쒣탍훐뗄Granger틲맻럖컶ꆢ싶돥쫀뷧뺭볃3ꆡ2005쓪뗚11웚ꆡꆤ69ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆡꆡ막욱쫐뎡붻틗솿폫쫕틦싊뚯첬펰쿬맘쾵뗄볆솿볬퇩:맺쓚폫맺볊막욱쫐뎡뇈뷏럖컶쿬펦몯쫽퇐뺿쇋막욱쫐뎡붻틗솿뫍쫕틦싊벰웤늨뚯횮볤뗄뚯첬펰쿬맘쾵,뗃돶틔쿂믹놾뷡싛:쫗쿈,짏몣ꆢ쿣룛ꆢ얦풼막욱쫐뎡뗄횸쫽쫕틦싊뫍늨뚯뚼쫇붻틗솿뗄Granger풭틲,붻틗솿냼몬쇋쫐뎡볛룱뫍퓋탐쳘헷뗄탅쾢ꆣ폫얦풼쫐뎡늻춬,짏몣뫍쿣룛쫐뎡뗄붻틗솿뿉틔뷢쫍쫕틦싊,튻뚨돌뛈짏랴펳쇋솽룶쫐뎡퓋탐뗄럇췪좫킧싊ꆣ웤듎,짏몣막쫐붻틗솿돥믷뗄돖탸탔랴펳뗄쫇훐맺막쫐잿늨뚯탔뗄뗤탍쳘헷,얦풼막쫐붻틗솿싶돥쿬펦뗄뎤웚돖탸탔쫇쫐뎡탅쾢뗄삩즢맽돌,랴펳쇋쫐뎡뗄맦랶뫍뛀솢탔ꆣ죽룶쫐뎡쫕틦싊벰웤늨뚯뗄싶돥쿬펦쒣쪽샠쯆,랴펳쇋쫕틦싊뗄쯦믺뇤뚯킧펦뫍늨뚯뗄GARCH(1,1)킧펦ꆣퟮ뫳,뛔쫐뎡횮볤탅쾢뚯첬뒫뗝뗄뺭퇩볬퇩뇭쏷,돉쫬뗄얦풼뫍쿣룛막욱쫐뎡횮볤듦퓚쿔훸뗄탅쾢ꆰ틧돶킧펦ꆱ뫍ꆰ랴삡킧펦ꆱ,뛸짏몣뫍쿣룛막욱쫐뎡횮볤쎻폐쿔훸뗄탅쾢뒫뗝,뇭쏷솽룶쫐뎡늻듦퓚탅쾢뗄붻죚탔,짏몣막욱쫐뎡퓋탐쿠뛔뛀솢ꆣ캪쇋펦뛔훐맺뷰죚쫐뎡뗄뾪럅,막욱쫐뎡뗄맜샭헟뫍샻틦쿠맘헟펦룃돤럖샻폃돉쫬놾쫐뎡뗄탅쾢,듲웆훐맺막쫐뗄탅쾢럢뇕ힴ첬ꆣ닎뾼컄쿗:돂쇡ꆢ쯎럪쏷(2000):ꆶ훐맺막쫐볛룱뇤뚯폫붻틗솿맘쾵뗄쪵횤퇐뺿ꆷ,ꆶ맜샭뿆톧톧놨ꆷ뗚6웚ꆣ랶듓살ꆢ탬뿆뻼(2002):ꆶ훐맺막욱쫐뎡쫕틦싊폫붻틗솿쿠맘탔뗄쪵횤럖컶ꆷ,ꆶ맜샭쫀뷧ꆷ뗚7웚ꆣ쇵뷰좫ꆢ듞뎩(2002):ꆶ훐맺뮦짮막쫐쫕틦싊뫍늨뚯탔뗄쪵횤럖컶ꆷ,ꆶ뺭볃톧(벾뾯)ꆷ뗚1뻭뗚4웚ꆣ?쏈ꆢ쯯퇥듔ꆢ췵쟥뫍(2003):ꆶ훐맺막욱쫐뎡붻틗솿쫇럱냼몬풤닢막욱쫕틦뗄탅쾢퇐뺿ꆷ,ꆶ춳볆퇐뺿ꆷ뗚3웚ꆣ췵돐ꆢ컢돥럦(2002):ꆶ훐맺막쫐볛룱-붻틗솿뗄쿟탔벰럇쿟탔틲맻맘쾵퇐뺿ꆷ,ꆶ맜샭뿆톧톧놨ꆷ뗚4웚ꆣ헔쇴퇥ꆢ췵튻쏹(2003):ꆶ뮦짮막쫐붻틗솿폫쫕틦싊벰웤늨뚯뗄쿠맘탔:살ퟔ쪵횤럖컶뗄횤뻝ꆷ,ꆶ뺭볃뿆톧ꆷ뗚2웚ꆣBaek,,W.ꆰAGeneralTestforNonlinearGrangerCausality:BivariateModel.ꆱWorkingpaper,IowaStateUniversityandUni2versityofWisconsin,Madison,,L.;Easley,ꆯhara,M.ꆰMarketStatisticsandTechnicalAnalysis:TheRoleofVolume.ꆱTheJournalofFinance49,1994,,Bong-SooandRui,OliverM.ꆰTheDynamicRelationshipbetweenStockReturnsandTradingVolume:DomesticandCross2countryEvi2dence.ꆱJournalofBanking&Finance,26,2002,,.;Grossman,,J.ꆰTradingVolumeandSerialCorrelationinStockReturns.ꆱQuarterlyJournalofEconomics108,1993,,Gong2Meng.ꆰTheDynamicRelationbetweenStockReturn,TradingVolumeandVolatility.ꆱTheFinancialReview38,2001,,.ꆰAModelofAssetTradingundertheAssumptionofSequentialInformationArrival.ꆱTheJournalofFinance31,1976,,Y.;Masulis,,V.ꆰCorrelationsinPriceChangesandVolatilityacrossInternationalStockMarkets.ꆱReviewofFinan2cialStudies3,1990,,,.ꆰTestingforLinearandNonlinearGrangerCausalityintheStockPrice2VolumeRelation.ꆱTheJournalofFi2nance5,1994,,R.;Starks,,J.ꆰAnEquilibriumModelofAssetofTradingwithSequentialInformationArrival.ꆱTheJournalofFinance36,1981,,.ꆰTheRelationbetweenPriceandTradingVolume:ASurvey.ꆱJournalofFinancialandQuantitativeAnalysis22,1987,,,S.ꆰTransmissionofVolatilitybetweenStockMarkets.ꆱReviewofFinancialStudies3,1990,,,Jong-Seo.ꆰTestingforLinearandNonlinearGrangerCausalityintheStockPrice2VolumeRelation:KoreanEvi2dence.ꆱTheQuarterlyReviewofEconomicsandFinance1,1999,-76.(뷘룥:2005쓪3퓂퓰죎뇠벭:뛅퇇욽)쫀뷧뺭볃3ꆡ2005쓪뗚11웚ꆡꆤ70ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꆡꆡꆡꆡGrowthandSaving:AnExplanationBasedonCatchingupwiththeJonesesChenLipingInadiscretetime,endogenousgrowthmodelwithcatchingupwiththeJoneses,weshowthathighersavingratecanleadtohighergrowthrate,(1970)ongrowthtosaving,:ACaseStudyofJapanfrom1971to2003LuoZhongzhouLiaoFadaThispaperfocuseonthepass2througheffectoftheexchangerateofYenonJapanꆯ,duringthethirty2threeyearssinceJa2panadoptedfloatingexchangeratesystem,,andthemoreYenappreciates,thehigheristhepass2throughrate;Second,Yenhasshowndownwardtrendontheshorttermpass2throughrateonexportpricing;Third,afterthemiddle1980s,,HongKongandNewYork,wetestthedy2namicinfluentialrelationshipbetweenstockmarkettradingvolumeandreturns,includingcausality,directionandintensity,,wetesttheinformationtransmissioneffectsbetweenNewYorkandHongKong,ꆰoverfloweffectꆱandꆰfeedbackeffect,ꆱwhilethesecondtwomarketshavenot,whichshowthatShanghaimarketisrelativelyinastateofclosedinformation.쫀뷧뺭볃3ꆡ2005쓪뗚11웚ꆡꆤ79ꆤ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
