. . .
| 24.08.2017 | |
| 1,6 M |
. ,
, , , , .
. , , , . , ; - .
. , , ; . , .
. , , , , , . , , . - , .
2001-06 . ; 2008 ., Lehman Brothers, . , , , , , , . , , , .
, . , . , ; . ; . , .
. , ; . , .
; , , , , . event study . , . , , . . , , , .
, , . . , , , ARIMAX.
1. , . ., & , . . , . // . 2014. 2. . 14-31.
2. . . , . . -- .: , 2007. -- 960 .
3. . . - : // , . - .: - I, 2007. - . 162-190.
4. , . . . // . 2006. . 3. C. 353-401.
5. . "" // . . 3. . 293-357 ( . .: . . IV. ., 2001).
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1
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: Fawley, B. W., & Neely, C. J., 2015
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: Bank of Japan, 2017
3
1. - . .
|
19.12.2008 |
-0.125 |
-0.015 |
-0.006 |
-0.039 |
-0.006 |
0.000 |
-0.007 |
0.000 |
-0.013 |
|
|
22.01.2009 |
-0.011 |
0.015 |
-0.004 |
-0.005 |
-0.014 |
0.074 |
-0.065 |
0.000 |
-0.023 |
|
|
01.12.2009 |
-0.266 |
-0.017 |
-0.016 |
-0.017 |
0.026 |
-0.082 |
0.010 |
0.007 |
-0.031 |
|
|
17.03.2010 |
-0.017 |
-0.032 |
-0.001 |
-0.009 |
-0.038 |
0.014 |
-0.053 |
-0.006 |
-0.025 |
|
|
21.05.2010 |
-0.007 |
0.006 |
0.010 |
-0.054 |
NA |
NA |
-0.141 |
NA |
-0.010 |
|
|
30.08.2010 |
-0.018 |
0.005 |
0.019 |
0.004 |
0.001 |
0.018 |
0.019 |
0.010 |
0.005 |
|
|
05.10.2010 |
-0.091 |
0.002 |
0.026 |
NA |
-0.001 |
0.081 |
0.000 |
0.005 |
-0.004 |
|
|
14.03.2011 |
-0.193 |
-0.007 |
-0.003 |
-0.004 |
-0.001 |
0.044 |
0.081 |
0.004 |
-0.004 |
|
|
04.08.2011 |
0.000 |
0.000 |
-0.018 |
-0.001 |
-0.006 |
0.014 |
0.028 |
-0.003 |
0.000 |
|
|
14.02.2012 |
-0.008 |
0.000 |
-0.001 |
0.005 |
-0.005 |
0.000 |
NA |
0.000 |
0.001 |
|
|
27.04.2012 |
0.000 |
-0.001 |
-0.001 |
-0.001 |
0.000 |
0.024 |
NA |
0.000 |
-0.004 |
|
|
30.10.2012 |
0.000 |
-0.011 |
-0.008 |
-0.040 |
-0.001 |
-0.006 |
0.000 |
-0.018 |
-0.005 |
|
|
20.12.2012 |
0.000 |
-0.003 |
-0.011 |
0.000 |
0.006 |
0.023 |
NA |
0.000 |
-0.006 |
|
|
04.04.2013 |
0* |
0.000 |
-0.080 |
-0.013 |
0.002 |
NA |
NA |
0.000 |
-0.018 |
|
|
31.10.2014 |
0,01* |
-0.001 |
0.003 |
-0.028 |
-0.002 |
0.000 |
NA |
0.000 |
-0.005 |
|
|
29.01.2016 |
-0.044* |
0.001 |
-0.034 |
0.011 |
-0.010 |
NA |
-0.013 |
-0.001 |
-0.008 |
|
|
29.07.2016 |
0.087* |
0.000 |
-0.005 |
-0.001 |
0.010 |
NA |
-0.005 |
0.000 |
0.000 |
|
|
21.09.2016 |
0.039* |
-0.003 |
-0.010 |
0.005 |
NA |
NA |
-0.014 |
0.001 |
-0.004 |
|
|
|
-0.057 |
-0.003 |
-0.008 |
-0.011 |
-0.003 |
0.016 |
-0.012 |
0.000 |
-0.009 |
|
|
|
-0.074 |
-0.006 |
0.000 |
-0.020 |
-0.006 |
0.005 |
-0.040 |
0.002 |
-0.010 |
|
|
-0.042 |
-0.003 |
-0.002 |
-0.007 |
-0.001 |
0.026 |
0.027 |
-0.002 |
0.004 |
||
|
0.021 |
0.000 |
-0.025 |
-0.005 |
0.000 |
0.000 |
-0.011 |
0.000 |
-0.007 |
* - ,
:Bloomberg, 2017;
2. - .
|
19.12.2008 |
-0.015 |
-0.018 |
-0.027 |
-0.031 |
0.006 |
-0.001 |
-0.025 |
0.003 |
-0.013 |
-0.010 |
-0.013 |
|
|
22.01.2009 |
0.039 |
0.015 |
0.035 |
0.032 |
0.021 |
0.032 |
0.014 |
0.044 |
0.013 |
NA |
0.026 |
|
|
01.12.2009 |
-0.005 |
-0.019 |
-0.019 |
0.001 |
0.006 |
-0.011 |
0.015 |
0.017 |
0.025 |
-0.003 |
0.001 |
|
|
17.03.2010 |
0.014 |
0.014 |
0.020 |
-0.006 |
NA |
0.022 |
0.003 |
-0.002 |
0.000 |
0.012 |
0.008 |
|
|
21.05.2010 |
-0.009 |
0.023 |
NA |
-0.010 |
-0.014 |
NA |
-0.011 |
-0.008 |
-0.012 |
-0.007 |
-0.006 |
|
|
30.08.2010 |
0.008 |
0.013 |
0.007 |
0.013 |
0.011 |
0.018 |
0.006 |
0.010 |
0.002 |
-0.002 |
0.009 |
|
|
05.10.2010 |
0.017 |
NA |
-0.011 |
-0.005 |
0.000 |
-0.002 |
0.010 |
-0.022 |
-0.014 |
-0.006 |
-0.006 |
|
|
14.03.2011 |
-0.046 |
0.009 |
0.020 |
0.023 |
0.021 |
0.021 |
0.014 |
0.008 |
0.006 |
0.003 |
0.014 |
|
|
04.08.2011 |
0.024 |
0.002 |
0.014 |
-0.004 |
0.006 |
0.003 |
0.007 |
0.015 |
0.007 |
-0.002 |
0.006 |
|
|
27.10.2011 |
0.022 |
-0.004 |
0.027 |
NA |
0.012 |
0.012 |
NA |
0.014 |
NA |
-0.002 |
0.010 |
|
|
14.02.2012 |
0.000 |
-0.003 |
-0.004 |
0.003 |
-0.015 |
-0.008 |
0.001 |
-0.009 |
-0.002 |
-0.010 |
-0.005 |
|
|
27.04.2012 |
-0.004 |
-0.003 |
-0.011 |
0.002 |
-0.008 |
0.005 |
-0.008 |
-0.012 |
-0.001 |
0.000 |
-0.004 |
|
|
19.09.2012 |
0.016 |
0.013 |
0.014 |
NA |
0.012 |
0.000 |
0.005 |
0.001 |
0.006 |
0.010 |
0.008 |
|
|
30.10.2012 |
-0.009 |
0.005 |
-0.002 |
-0.011 |
0.009 |
0.004 |
0.001 |
0.007 |
0.012 |
0.019 |
0.005 |
|
|
20.12.2012 |
-0.036 |
0.003 |
-0.004 |
-0.008 |
0.001 |
NA |
-0.001 |
-0.012 |
0.005 |
-0.015 |
-0.004 |
|
|
04.04.2013 |
-0.008 |
NA |
0.001 |
-0.005 |
-0.017 |
-0.011 |
0.002 |
-0.015 |
-0.005 |
NA |
-0.007 |
|
|
31.10.2014 |
0.040 |
0.005 |
0.017 |
0.009 |
0.009 |
0.004 |
0.005 |
-0.005 |
0.009 |
0.011 |
0.007 |
|
|
29.01.2016 |
0.035 |
0.060 |
0.018 |
0.019 |
-0.002 |
-0.002 |
0.018 |
0.010 |
0.019 |
0.015 |
0.017 |
|
|
29.07.2016 |
0.017 |
-0.006 |
-0.011 |
-0.007 |
-0.021 |
0.000 |
0.000 |
0.002 |
-0.009 |
-0.012 |
-0.007 |
|
|
21.09.2016 |
0.021 |
0.002 |
0.007 |
0.003 |
0.011 |
0.000 |
-0.001 |
-0.012 |
-0.002 |
0.006 |
0.002 |
|
|
|
0.006 |
0.006 |
0.005 |
0.001 |
0.003 |
0.005 |
0.003 |
0.002 |
0.002 |
0.000 |
0.003 |
|
|
|
0.005 |
0.005 |
0.003 |
0.000 |
0.006 |
0.012 |
0.000 |
0.011 |
0.003 |
-0.002 |
0.004 |
|
|
-0.002 |
0.003 |
0.005 |
0.000 |
0.004 |
0.004 |
0.004 |
-0.001 |
0.003 |
0.000 |
0.002 |
||
|
0.021 |
0.015 |
0.006 |
0.004 |
-0.004 |
-0.002 |
0.005 |
-0.004 |
0.002 |
0.005 |
0.002 |
: Yahoo Finance, 2017; Google Finance, 2017;
3. - .
|
19.12.2008 |
-0.027 |
0.005 |
-0.001 |
0.028 |
0.018 |
0.027 |
0.015 |
0.008 |
0.013 |
0.006 |
0.013 |
|
|
22.01.2009 |
0.009 |
0.000 |
0.000 |
-0.006 |
0.019 |
0.013 |
0.018 |
0.004 |
0.008 |
-0.005 |
0.006 |
|
|
01.12.2009 |
0.007 |
0.000 |
0.000 |
-0.005 |
0.000 |
-0.008 |
-0.019 |
-0.029 |
0.003 |
-0.001 |
-0.007 |
|
|
17.03.2010 |
0.002 |
0.000 |
0.000 |
0.001 |
0.000 |
-0.003 |
0.000 |
-0.001 |
0.001 |
-0.003 |
0.000 |
|
|
21.05.2010 |
0.031 |
0.000 |
0.000 |
-0.006 |
0.015 |
-0.044 |
-0.013 |
-0.003 |
-0.013 |
-0.002 |
-0.007 |
|
|
30.08.2010 |
0.018 |
0.000 |
0.000 |
0.002 |
-0.009 |
0.008 |
0.001 |
0.004 |
-0.001 |
0.000 |
0.000 |
|
|
05.10.2010 |
0.005 |
0.000 |
0.000 |
0.004 |
0.003 |
0.003 |
0.005 |
0.004 |
0.005 |
-0.014 |
0.001 |
|
|
14.03.2011 |
-0.021 |
-0.002 |
0.000 |
-0.003 |
-0.003 |
-0.013 |
-0.007 |
-0.001 |
-0.007 |
-0.001 |
-0.004 |
|
|
04.08.2011 |
-0.001 |
-0.001 |
0.000 |
-0.003 |
-0.021 |
-0.009 |
-0.018 |
-0.002 |
-0.008 |
0.000 |
-0.007 |
|
|
27.10.2011 |
0.001 |
0.000 |
0.000 |
0.002 |
0.001 |
0.001 |
-0.002 |
0.005 |
0.004 |
-2.817 |
-0.312 |
|
|
14.02.2012 |
-0.003 |
0.001 |
0.000 |
-0.001 |
-0.004 |
0.000 |
0.000 |
-0.009 |
-0.003 |
-0.009 |
-0.003 |
|
|
27.04.2012 |
-0.002 |
0.000 |
0.000 |
0.000 |
-0.001 |
-0.003 |
0.001 |
-0.002 |
0.001 |
-0.003 |
-0.001 |
|
|
19.09.2012 |
-0.003 |
0.003 |
0.000 |
0.006 |
0.009 |
0.004 |
0.000 |
0.001 |
-0.002 |
0.003 |
0.003 |
|
|
30.10.2012 |
0.009 |
-0.006 |
0.000 |
0.010 |
-0.006 |
0.050 |
0.050 |
-0.002 |
-0.001 |
0.001 |
0.011 |
|
|
20.12.2012 |
-0.007 |
0.000 |
0.000 |
-0.005 |
0.000 |
-0.001 |
0.002 |
-0.004 |
0.004 |
0.001 |
0.000 |
|
|
04.04.2013 |
-0.007 |
0.000 |
0.000 |
-0.003 |
0.002 |
-0.028 |
-0.022 |
0.005 |
0.000 |
0.000 |
-0.005 |
|
|
31.10.2014 |
-0.003 |
0.001 |
0.001 |
0.001 |
0.008 |
-0.007 |
0.003 |
0.005 |
-0.005 |
-0.015 |
-0.001 |
|
|
29.01.2016 |
0.003 |
0.000 |
0.000 |
-0.008 |
0.003 |
-0.009 |
-0.017 |
-0.002 |
-0.008 |
-0.004 |
-0.005 |
|
|
29.07.2016 |
-0.003 |
-0.001 |
0.000 |
0.002 |
0.002 |
0.000 |
-0.008 |
-0.001 |
0.009 |
-0.003 |
0.000 |
|
|
21.09.2016 |
0.002 |
0.001 |
0.000 |
0.002 |
0.003 |
0.004 |
0.000 |
0.002 |
0.003 |
0.007 |
0.003 |
|
|
|
0.000 |
0.000 |
0.000 |
0.001 |
0.002 |
-0.001 |
-0.001 |
-0.001 |
0.000 |
-0.143 |
-0.016 |
|
|
|
0.007 |
0.001 |
0.000 |
0.002 |
0.007 |
-0.001 |
0.000 |
-0.003 |
0.002 |
-0.001 |
0.001 |
|
|
-0.003 |
0.000 |
0.000 |
0.001 |
-0.002 |
0.003 |
0.003 |
-0.001 |
-0.001 |
-0.315 |
-0.035 |
||
|
-0.002 |
0.000 |
0.000 |
-0.001 |
0.004 |
-0.008 |
-0.009 |
0.002 |
0.000 |
-0.003 |
-0.002 |
: Yahoo Finance, 2017;
4
1-
. 1. 1-
. 2. 1-
. 3. 1-
: Bloomberg, 2017;
5
1-
. 1. 1-
. 2. 1-
. 3. 1-
: Bloomberg, 2017;
6
1- :
. 1. 1-
. 2. 1-
. 3. 1-
. 4. 1-
. 5. 1-
. 6. 1-
. 7. 1-
: Bloomberg, 2017;
7
Nikkei 225
. 1. Nikkei 225
. 2. Nikkei 225
. 3. Nikkei 225
: Yahoo Finance, 2017;
8
. 1.
. 2.
. 3.
: Yahoo Finance, 2017; Google Finance, 2017;
9
:
. 1. Jakarta Composite Index
. 2. Philippines Stock Exchange PSEi Index
. 3. Philippines Stock Exchange PSEi Index .
. 4. SSE Composite Index
: Yahoo Finance, 2017;
10
. 1.
. 2.
. 3.
: Yahoo Finance, 2017;
11
. 1.
. 2.
. 3.
: Yahoo Finance, 2017;
12
:
. 1.
. 2.
. 3.
. 4.
: Yahoo Finance, 2017;
Allbest.ru
. - . . . , .
[543,6 K], 28.10.20161825-1876 ., . , . . 1905-1914 .
[61,3 K], 13.04.201250- XX . - " ". . , " ".
[63,3 K], 01.06.2009. , . , , .
[29,2 K], 22.05.2014, . . , .
[28,4 K], 07.02.2015. , . , - .
[60,7 K], 16.02.2010, . - - . . .
[68,5 K], 24.11.2008. " ". , - . . . .
[108,2 K], 12.10.200990- 2008-2010 , . . (, , ) .
[308,2 K], 09.11.2012" ". . - . , .
[23,4 K], 06.10.2010
