I. 中文部分
1.許溪南及呂鴻德,民國89年,封閉型基金與開放型基金相對績效之研究-新績效評估指標,交大管理學報,第二十卷第一期,頁71-102。
2.闕河士,民國90年,散戶心理對報酬率、價格波動性和交易活動的影響,輔仁管理評論,第八卷第一期,頁117-142。![new window](/gs32/images/newin.png)
II. In English
1. Abraham, Abraham, Don Elan, and A. J. Marcus, 1993, Does sentiment explain closed-end fund discounts: evidence from bond funds, The Financial Review 28, 607-616.
2. Andersen Torben G. and Tim Bollerslev, 1998, Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies, The Journal of Finance 53:1, 219-265.
3. Bennett, J. Andrea, 2002, Closed-end country fund discounts and systematic UK and US market movements: co-integration and error corrected Granger causality tests, Managerial Finance 28:1, 73-92.
4. Berry, T. T. and K. M. Howe, 1994, Public information arrival, The Journal of Finance 49, 1331-1346.
5. Bodurtha, J., E. Kim and C. Lee, 1995, Closed-end country funds and US market sentiment, Review of Financial Studies 8, 879-918.
6. Boudreaux, K. J., 1973, Discounts and premiums on closed-end mutual funds: a study in valuation, The Journal of Finance 28, 515-522.
7. Burch, T. R., Douglas R. Emery and Michael E. Fuerst, 2003, What can “Nine-Eleven” tell us about closed-end fund discounts and investor sentiment? The Financial Review 38, 515-529.
8. Chan, Y., Andy C. W. Chui and Chuck C. Y. Kwok, 2001, The impact of salient political and economic news on the trading activity, Pacific-Basin Finance Journal 9, 195-217.
9. Chan, Y. and K. C. J. Wei, 1996, Political risk and stock price volatility: The case of Hong Kong, Pacific-Basin Finance Journal 4, 259-275.
10. Chay, Jong-Bom and C. Trzcinka, 1999, Managerial performance and the cross-sectional pricing of closed-end funds, Journal of Financial Economics 52, 379-408.
11. Chen, Li-Wen, Shane A. Johnson, Ji-Chai Lin, and Yu-Jane Liu, 2004, Foreigh investors and profit opportunities in open-ending closed-end funds in Taiwan, Working Paper, presented in 2004 FMA Annual Meeting at New Orleans, U.S.A.
12. Ciccotello, C. S. and T. Grant, 1996, Information pricing: the evidence from equity mutual funds, The Financial Review 31-2, 365-380.
13. De Long, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann, 1990, Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.
14. Dimson, Elroy and Carolina Minio-kozerski, 1999, Closed-end funds: a survey, Financial Markets, Institutions & Instruments, Vol. 8, No. 2, 1-41.
15. Ederington, L. H. and J. H. Lee., 1993, How markets process information: News releases and Volatiltiy, The Journal of Finance 48, 1161-1191.
16. Enders, Walter, 1995, Applies Econometric Time Series, John Wiley & Sons, Inc.
17. Fair R. C., 2000, Events that shook the market, Journal of Business 75-4, 713-731.
18. Fama, E., 1970, Efficient capital markets: a review of theory and empirical work, The Journal of Finance 25, 383-417.
19. Fleming, M. J. and E. M. Remoolona, 1999, Price formation and liquidity in the US treasury market: the response to public information, The Journal of Finance 54, 1901-1915.
20. Frankel, Jeffrey and S. L. Schmukler,1996, Country fund discounts, asymmetric information, and the Mexican crisis of December 1994: Did local residents turn pessimistic before international investors?, Working paper 5714, NBER.
21. Frankel, Jeffrey, and S. L. Schmukler, 2000, Country funds and asymmetric information, International Journal of Finance and Economics 5-3, 177-195.
22. Gehrig, Thomas, 1993, An information based explanation of the domestic bias in international equity investment, Scandinavian Journal of Economics 9, 97-109.
23. Gemmill, G., 1992, Political risk and market efficiency: tests based in British stock and options markets in the 1987 election, Journal of Banking and Finance 16, 211-231.
24. Gemmill, G. and Dylan C. Thomas, 2002, Noise-trading, costly arbitrage, and asset prices: evidence from closed end funds, The Journal of Finance 57-6, 2571-2594.
25. Granger, C. W. J., 1969, Investigating causal relations by econometric models and cross-spectral models, Econometrica 37, 424-438.
26. Greene, William H., 2000, Econometric Analysis, Prentice-Hall, Inc (New Jersey).
27. Grundy, B. D., and Youngsoo Kim, 2002, Stock market volatility in a heterogeneous information economy, Journal of Financial and Quantitative Analysis 37-1, 1-27.
28. Hardouvelis, Gikas, Rafael LaPorta, and Thierry A. Wizman, 1994, What moves the discount on closed-end country funds?, in Jeffrey Frankel, ed.: The Inter-
nationalization of Equity Markets (University of Chicago Press, Chicago, I11).
29. Hsiao, C., 1986, Analysis of Panel Data, Cambridge: Cambridge University Press.
30. Johnson, Timothy C., 2002, Rational momentum effects, The Journal of Finance 57-2, 585-608.
31. Kaminsky G. L. and S. L. Schmukler, 1999, What triggers market jitters? A chronicle of the Asian crisis, Journal of International Money and Finance, 537-560.
32. Kim, H. Y. and J. Mei, 2001, What makes the stock market jump? An analysis of political risk on stock returns, Journal of International Money and Finance 20-7, 1003-1016.
33. Klibanoff, Peter, O. Lamont, and T. A. Wizman, 1998, Investor reaction to salient news in closed-end country funds, The Journal of Finance 53, 673-699.
34. Kumar, Raman and G. M. Noronha, 1992, A re-examination of the relationship between closed-end fund discounts and expenses, Journal of Financial Research 15, 139-147.
35. Lee, Bong-Soo and Gwangheon Hong, 2002, On the dual characteristics of closed-end country funds, Journal of International Money and Finance 21, 589-618.
36. Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler, 1990, Anomalies: closed-end mutual funds, Journal of Economic Perspectives Vol. 4, No. 4, 153-164.
37. Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler, 1991, Investor sentiment and the closed-end fund puzzle, The Journal of Finance 46, 75-109.
38. Lee, Jason and Cheong H Yi, 2001, Trade size and information-motivated trading in the options and stock markets, Journal of Financial and Quantitative Analysis 36-4, 485-501.
39. Levy-Yeyati and Angel Ubide, 2000, Crised, Contagion, and the closed-end country fund puzzle, IMF Staff Papers, Vol. 47, No. 1, 54-89.
40. Malkiel, Burton G., 1977, The valuation of closed-end investment-company shares, The Journal of Finance 32, 847-858.
41. Mitchell, M. L. and J. H. Mulherin, 1994, The impact of public information on the stock market, The Journal of Finance 49, 923-950.
42. Pan, M. S., K. C. Chan and David J. Wright, 2001, Divergent expectations and the Asia financial crisis of 1997, Journal of Financial Research, Vol. 24, No. 2, 219-238.
43. Pearce, D. K. and Vance V. Roley, 1985, Stock prices and economic news, The Journal of Business 58-1, 49-67.
44. Pontiff, Jeffrey, 1997, Excess volatility and closed-end funds, American Economic Review 87, 115-169.
45. Tong, Xin-da, 2004, The application of skewness-adjusted t-statistic and VaR adjusted Jensen index to the returns of high-turnover mutual funds in Taiwan, unpublished thesis, Shih Chien University.
46. Weiss, Kathleen, 1989, The post-offering price performance of closed-end funds, Financial Management Autumn, 57-67.
47. Zweig, Martin E., 1973, An investor expectations stock price predictive model using closed-end fund premiums, The Journal of Finance 28, 67-78.