:::

詳目顯示

回上一頁
題名:投資情緒在台灣股票市場中的角色研究:以「股市崩盤」和「動能」為例
作者:類惠貞
作者(外文):Huey-Jean Ley
校院名稱:國立雲林科技大學
系所名稱:企業管理博士班
指導教授:胥愛琦
李春安
學位類別:博士
出版日期:2008
主題關鍵詞:股市崩盤動能從眾交易投資情緒momentumherdinginvestor sentimentmarket crashes
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:40
以心理學解釋投資人決策行為的行為財務學在近年逐漸獲得學術界與實務界的青睞,她們解釋了投資人不理性的投資行為,也發現投資心理與情緒對於股票波動間存在著高度相關,故本研究將以投資情緒為基礎探討股票市場中的二種現象,包括股市崩盤與動能。研究樣本來自台灣股價指數日資料,研究期間為1995/1/1至2005/12/31。
在投資情緒與指數動能的研究中,本研究發現當臺灣股市處於正衝擊事件時,短期存在動能效應;負衝擊事件則有顯著的反轉現象。在面對負衝擊事件時,無論是機構投資人或非機構投資人,皆呈現類似展望理論中的損失嫌惡情形。其次,不同的市場狀態,投資人呈現不同的情緒反應;處於正衝擊事件下,投資人愈樂觀、散戶賣超愈少、法人買超愈少,動能規模愈大;負衝擊事件下,市場強度增加時,則動能規模較大。在投資情緒與指數動能動態關係中,「法人的交易型態」和「投資人從眾行為」具有領先指數報酬的傾向,其他情緒變數則多為落後指標。
在投資情緒與股市崩盤的研究中,本研究發現無論是1997年或2000年崩盤事件,皆發現市場價格為對數週期振動且呈現冪次法則加速。其次,投資情緒變數中除「從眾(非機構投資者)」外,其餘大多明顯呈現股價指數領先投資情緒的情形。最後以東南亞金融風暴前的亞洲市場進行再驗證。同樣發現,在接近崩盤事件關鍵點時,週期頻率加速的型態。
Behavioural finance is widely discussed in academic and practice in recent years. Behavioural finance explains the irrational trading behavior between traders, and high relationship between investor sentiment and stock fluctuation. This study examines two events i.e. market crashes and momentum based on investor sentiment. This data covers the period from January 01, 1995 to December 31, 2005.
The results of investor sentiment and momentum indicates consistent with the under- reaction hypothesis, positive shocks are followed by positive abnormal returns in short windows. Next, the size of momentum profits is larger as closed-end fund discount is decreased, institutional investors tend to be buying less, and retail investors are selling less after the positive shocks. Under the influence of negative shocks, the size of momentum profits is larger as investors tend to be selling more. Moreover, a lead-lag relationship exists between the Taiwan stock index and investor’s sentiment.
The results of investor sentiment and market crashes indicates the pattern of cycles speeding up as approaching to a crash point in 1997, 2000 year in Taiwan and four nations in Asia. This study finds the variance increases of frequency in stock index move ahead of the increase on investor sentiment variance as a crash approaches, except herding of noise trader.
江明鴻,2000,台灣股市短期反應之研究,清華大學,經濟研究所碩士論文。
呂立偉,2007,台灣三大法人交易資訊效率性與動能策略之探討,大葉大學,國際企業管理研究所碩士論文。
李春安,1999, “後見之明心裡與股市反應不足、過度反應理論” ,中國財務學刊,7卷,1期。new window
李春安、羅進水與蘇永裕,2006, “動能策略報酬、投資人情緒與景氣循環之研究” ,財務金融學刊,14卷,2期。new window
週賓凰、張宇志與林美珍,2007,”投資人情緒與股票報酬互動關係”,證券市場發展季刊,19卷,2期。
林淑芬,2005,投資人情緒與台灣股市動能效應相關性之研究,雲林科技大學,財務金融研究所碩士論文。
張春興,1989,張氏心理學辭典,東華出版社,台北。
莊幸雯,2007,台灣投資人情緒與動能策略研究,東華大學,企業管理研究所碩士論文。
許溪南、郭玟秀與鄭乃誠,2005, “投資人情緒與股價報酬波動之互動關係:台灣股市的實證”,台灣金融財務季刊,六卷,三期。new window
黃志傑,1995,公司特性、市場因素與股價報酬率中雜訊成分之實證研究,中正大學,國際經濟研究所碩士論文。
劉玉珍和黃仁甫,1995,”台灣股市交易資訊不對稱之實證研究-VAR模型之應用”,中國財務學刊,三卷,一期。
蔡憶唐,2003,台灣股市「反向操作」策略績效探討,輔仁大學,管理研究所碩士論文。
Goleman, Daniel, 1996,EQ,張美惠譯,時報出版,台北。
Abhyankar, A.H., 1995, “Return and volatility Dynamics in the FT-SE 100 stock index and stock index futures markets”, Journal of Futures Markets, vol.15, no.4, pp.457-488.
Abreu, D. and Brunnermeier, M.K., 2003, “Bubbles and crashes”, Econometrica, vol.71, no.1, pp.173-204.new window
Admati, A.R. and Pfleiderer, P., 1988, “A theory of intraday patterns: Volume and price variability”, Review of Financial Studies, vol.1, no.1, pp.3-40.new window
Ajayi, R.A., Mehdian, S. and Perry, M.J., 2006, “A test of US equity market reaction to surprises in an era of high trading value”, Applied Financial Economics, vol.16, pp. 461-469.
Ali, A. and Trombley, M.A., 2006, “Short sales constraints and momentum in stock returns”, Journal of Business Finance and Accounting, vol.33, pp.587-615.
Allen, F. and Gorton, G., 1991, “Stock price manipulation, marker microstructure and asymmetric informatic”, Working Paper, no.3862, NBER(National Bureau of Economic Research Inc.)
Allen, F. and Gorton, G., 1993, “Churning bubbles”, Review of Economic Studies, vol.60, no.205, pp.813-836.
Arbel, A. and Jaggi, B., 1982, “Market information assimilation related to extreme daily price jumps”, Financial Analysts Journal, vol. 38, pp. 60-66.
Atkins, A.B. and Dyl, E., 1990, “Price reversals, bid-ask spreads, and market efficiency”, Journal of Financial and Quantitative Analysis, vol. 25, pp. 535-547.
Badrinath, S.G. and Wahal, S., 2002, “Momentum trading by Institutions”, Journal of Finance, vol.57, no.6, pp.2449-2478.
Baker, M. and Stain, J.C., 2004, “Market liquidity as a sentiment indicator”, Journal of Financial Markets, vol.7, pp. 271-299.
Baker, M. and Wurgler, J., 2006, “Investor sentiment and the cross-section of stock returns”, Journal of Finance, vol.61, no.4, pp.1645-1680.
Barber, B., 1999, “Noise trader risk, odd-lot trading, and security returns”, Working Paper, University of California at Davis.
Barberies, N., Shleifer, A., and Vishny, R., 1998, “A model of investor sentiment”, Journal of Financial Economics, vol.49, no.3, pp.307-343.
Black, F., 1986, “Noise”, Journal of Finance, vol. 41, no.3, pp.529-543.
Blanchard, O.J. and Watson, M.W., 1982, Bubbles, rational expectations and speculative markets, In Wachtel, P. (Ed.), Crises in Economic and Financial Structure:Bubbles, burstm and shocks, Lexington Books, Lexington.
Bohl, M.T., 2003, “Periodically collapsing bubbles in the US stock market?”, International Review of Economics and Finance, vol.12, no.3, pp.385-397.
Bollerslev, T., 1986, “Generalized autoregressive conditional heteroskedasticity”, Journal of Econometrics, vol.31, no.3, pp.307-327.
Bowman, R. and Iverson, D., 1998, “Short-run overreaction in the New Zealand stock market”, Pacific-Basin Finance Journal, vol.6, no.5, pp.475-491.
Bremer, M.A. and Sweeney, R.J., 1991, “The reversal of large stock-price decrease”, Journal of Finance, vol.46.pp. 747-757.
Brown, G..W. and Cliff, M., 2004, “Investor sentiment and the near-term stock market”, Journal of Empirical Finance, vol.11, pp. 1-27.
Brown, G.W., 1999, “Volatility, sentiment, and noise traders”, Financial Analysts Journal, vol.55, no.2, pp.82-89.
Brown, K.C. and Tinic, W.V., 1988, “Risk aversion, uncertain information, and market efficiency”, Journal of Financial Economics, vol. 22, pp.355-386.
Brown, S.J., Goetzmann, W.N., Hiraki, T., Shiraishi, N., and Watanabe, M., 2002, “Investor sentiment in Japanese and U.S. daily mutual funds flows, ” Working Paper, no.9470, NBER(National Bureau of Economic Research Inc.).
Campbell, J.Y. and Kyle, A.S., 1993, “Smart money, noise trading and stock price behaviour”, Review of Economic Studies, vol.60, no.202, pp.1-34.
Chan, K., Chan, K.C. and Karolyi, A., 2000, “Intraday volatility in the stock index and stock index futures markets”, Review of Financial Studies, vol.4, pp.657-684.
Chan, K., Chan, K.C., and Karolyi, A., 1991, “Intraday volatility in the stock index and stock index futures markets”, Review of Financial Studies, vol.4, pp.657-684.
Chan, K., Hameed, A., and Tong, W., 2000, “Profitability of momentum strategies in the international equity markets”, Journal of Financial and Quantitative analysis, vol.35, no.2, pp.153-172.
Chan, L.K.C., Jegadeesh, N., and Lakonishok, J., 1996, “Momentum strategies”, Journal of Finance, vol.51, no.5, pp.1681-1713.
Chen, N., Kan, R., and Miller, M.H., 1993, “Are the discounts on closed-end funds a sentiment index?”, Journal of Finance, vol.48, no.2, pp.795-800.
Choe, H., Kho, B.C., and Stulz, R.M., 1997, “Do foreign investors destabilize stock markets? The Korean experience in 1997”, Dice Center Working Paper no. 98-6.
Chordia, T. and Shivakumar, L., 2002, “Momentum, Business Cycle, and Time-varying Expected Returns”, Journal of Finance, vol.57, no.2, pp.985-1019.
Chou, P.H. and Chung, H., 1999, “Formulation versus holding horizons, time series predictability and the performance of contrarian strategies”, Journal of Financial Studies, vol.7, no.2, pp.1-27.
Choudhry, T., 1996, “Stock market volatility and the crash of 1987: Evidence from six emerging markets”, Journal of International Money and Finance, vol.15, no.6, 1996, pp.969-981.
Chuang, W.I. and Lee, B.S., 2006, “An empirical evaluation of the overconfidence hypothesis”, Journal of Banking and Finance, vol. 30, no. 9, pp.2489-2515.
Clarke, R.G. and Statman, M., 1998, “Bullish or bearish?”, Financial Analysts Journal, vol.54, no.3, pp.63-72.
Conrad, J. and Kaul, G., 1998, “An anatomy of trading strategies”, Review of Financial Studies, vol.11, no.3, pp. 489-519.
Conrad, J. and Kaul, G.., 1998, “An anatomy of trading strategies,” Review of Financial Studies, vol.11, no.3, pp.489-519.
Cox, D.R. and Peterson, D.R., 1994, “Stock returns following large one-day declines: Evidence on short-term reversals and long-term performance”, Journal of Finace, vol.49, no.1, pp.255-267.new window
Cunado, J., Gil-Alana, L.A., and Gracia, F.P., 2005, “A test for rational bubbles in the Nasdaq stock index: Afractionally integrated approach”, Journal of Banking and Finance, vol.29, no.10, pp.2633-2654.
Cutler, D.M., Poterba, J.M., and Summers, L.H., 1989, “What moves stock prices?”, Journal of Portfolio Management, vol.15, no.3, pp.4-12.
Daniel, K. and Titman, S., 1999, “Market efficiency in an irrational world”, Financial Analysts Journal, 1999, vol.55, no.6, pp.28-42.
Daniel, K., Hirshleifer, D., and Subrahmanyam, A., 1998, “Investor psychology and security market under- and overreactions”, Journal of Finance, vol.53, no.6, pp.1839-1885.
Datar, V.T., Naik, N.Y., and Radcliffe, R., 1998, “Liquidity and stock returns: An altermative test”, Journal of Financial Markets, no.1, pp.203-219.new window
De Bondt, W.F.M. and Thaler, R., 1985, “Does the stock market overreact?”, Journal of Finance, vol.40, no.3, pp.793-808.
De Long, J.B., Shleifer, A., Summers, L.H., and Waldmann, R.J., 1989, “The size and incidence of the losses from noise trading”, Journal of Finance, vol.44, no.3, pp.681-696.
De Long, J.B., Shleifer, A., Summers, L.H., and Waldmann, R.J., 1990a, “Noise trader risk in financial markets”, Journal of Political Economy, vol.98, no.4, pp.703-738.
De Long, J.B., Shleifer, A., Summers, L.H., and Waldmann, R.J., 1990b, “Positive feedback investment strategies and destabilizing rational speculation”, Journal of Finance, vol.45, no.2, pp.379-396.
DeBondt, W.F.M. and Thaler, R.H., 1985, “Does the stock market overreact?”, Journal of Finance, vol.40, no.3, pp.793-805.
Dennis, P.J. and Strickland, D., 2002, “Who blinks in volatile markets, individuals or institutions?”, Journal of Finance, vol.57, no.5, pp.1923-1949.
Diba, B.T. and Grossman, H.L., 1988, “Explosive rational bubbles in stock prices?”, American Economic Review, vol.78, no.3, pp.520-530.
Dierkens N., 1991, “Information asymmetry, and equity issues”, Journal of Financial Quantitative Analysis, vol.26 , pp.181-199.
Drozdz, S., Grummer, F., Ruf, F., and Septh, J., 2003, “Log-periodic self-similarity: An emerging financial law”, Physica A, vol.324, pp.174-182.
Drozdz, S., Ruf, F., Speth, J., and Wojcik, M., 1999, “Imprints of log-periodic self-similarity in the stock market”, The European Physical Journal B, vol.10, pp.589-593
Dubrulle, B., Graner, F., and Sornette, D. (Eds.), 1997, Scaoe invariance and beyond, EDP Sciences and Springer, Berlin
Easley, D., Hvidkjaer, S. and O’Hara, M., 2002, “Is information risk a determinant of asset returns?”, Journal of Finance, vol.57, no.5, pp.2185-2221.
Embrenchts, P., Kluppelberg, C., and Mikosch, T., 1997, Modeling extremal events, Spring-Verlag, Berlin.
Engle, R.F., 1982, “Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation”, Econometrica, vol.50, no.4, pp.987-1007.
Evans, G.W., 1991, “Pitfalls in testing for explosive bubbles in asset prices”, American Economic Review, vol.81, no.4, pp.922-931.
Falkenstein, E., 1996, “Preferences for stock characteristics as revealed by mutual fund portfolio holdings”, Journal of Finance, vol.51, pp.111-136.
Fama, E.F. and French, K.R., 1993, “Common risk factors in the returns on stocks and bonds”, Journal of Financial Economics, vol.33, no.1, pp.3-56.new window
Fama, E.F. and French, K.R., 1996, “Multifactor explanations of asset pricing anomalies”, Journal of Finance, vol. 51, no.1 , pp.55-84.new window
Fama, E.F. and MacBeth, J.D., 1973, “Risk, return, and equilibrium: Empirical tests”, Journal of Political Economy, vol.81, no.3, pp.607-626.
Feigenbaum, J.A. and Freund, P.G.O., 1996, “Discrete scale invariance in stock markets before crashes”, International Journal of Modern Physics B, vol.10, pp.3737-3745.
Fisher, K.L. and Statman, M., 2000, ”Investor sentiment and stock returns”, Financial Analysts Journal , vol.56, no.2, pp.16-23.
Fountas, S. and Segredakis, K.N., 2002, “Emerging stock markets return seasonalities: The January effect and the tax-loss selling hypothesis”, Applied Financial Economics, vol.12, pp.291-299.
French, K.R. and Roll, R., 1986, “Stock return variances: the arrival of information and reaction of traders”, Journal of Financial Economics, vol.17, no.1, pp.5-26.new window
Froot, K.A. and Dabora, E.M., 1999, “How are stock prices affected by the location of trade?”, Journal of Financial Economics, vol.53, no.2, pp.189-216.
Froot, K.A. and Dabora, E.M., 1999, “How are stock prices affected by the location of trade?”, Journal of Financial Economics, vol.53, no.2, pp.189-216.
Froot, K.A. and Obstfeld, M., 1991, “Intrinsic bubbles:The case of stock prices”, American Economic Reviews, vol.81, no.5, pp.1989-1214.
Fuertes, A.M., Miffre, J., and Tan, W.H., 2005, “Momentum profits and non-normality risks”, Working Paper, University of City at London.
Glaser, M. and Weber, M., 2002, “Momentum and turnover: Evidence from the German stock market”, EFA 2002 Berlin Meetings Presented Paper.
Gnacinski, P. and Makowiec, D., 2004, “Another type of log-periodic oscillations on Polish stock market”, Physica A, vol.344, pp.322-325.
Goetzmann, W.N., Massa, M., and Rouwenhorst, K.G., 1999, “Behavioral factors in mutual fund flows”, Working Paper, Yale School of Management.
Granger, C.W.J., 1969, “Investigating causal relations by econometric models and cross-spectral methods”, Econometrica, vol.37, no.3, pp.424-438.
Grinblatt, M. and Keloharju, M., 2000, “The investment behavior and performance of various investor types: A study of Finland’s unique data set”, Journal of Financial Economics, vol.55, no.1, pp.43-67.new window
Grinblatt, M., Titman, S., and Wermers, R., 1995, “Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior”, American Economic Reviews, vol.85, no.5, pp.1088-1105.
Grossman, S. and Stiglitz, J.E., 1980, “On the impossibility of informationally efficient markets”, American Economic Review, vol.70, pp.393-408.
Grundy, B.D. and Martin, J.S., 2001, “Understanding the nature of the risks and the source of the rewards to momentum investing”, Review of Financial Studies, vol.14, no.1, pp.29-78.new window
Grundy, B.D. and McNichols, M., 1989, “Trade and the revelation of information through prices and direct disclosure”, Review of Financial Studies, vol.2, no.4, pp.495-526.
Gultekin, M.N. and Gultekin, N.B., 1983, “Stock market seasonality: International evidence”, Journal of Financial Economics, vol.12, pp.469-481.
Gutierrez Jr., R.C. and Pirinsky, C., 2004, “Momentum, reversal, and the trading behaviors of institutions”, Working Paper, SSRN(Social Science Research Network).
Hansen, L.P. and Singleton, K.J., 1982, “Generalized instrumental variables estimation of nonlinear rational expectations models”, Econometrica, vol.50, no.5, pp.1269-1286.
Hausman, J.A., 1978, “Specification tests in econometrics”, Econometrica, vol.46, no.6., pp.1251-1271.
Ho, Y.K., 1999, “Stock return seasonality in Asia Pacific Market”, Journal of International Financial Management & Accounting, vol.2, no.1, pp.47-77.new window
Hong, H. and Stein, J.C., 1999, “A unified theory of underreaction, movement trading and overreaction in asset markets”, Journal of Finance, vol.56. no.6, pp.2143-2184.
Hong, H., Lim, T. and Stein, J.C., 2000, “Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies”, Journal of Finance, vol.55, no.1, pp.265-295.new window
Hong, H.S. and Stein, J.C., 2001, “Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices”, Journal of Financial Economics, vol.61, no.3, pp.345-381.
Hughen, J.C. and McDonald, C.G., 2005, “Who are the noise traders?”, The Journal of Financial Research, vol.28, no.2, pp.281-298.
Hvidkjaer, S., 2006, “A trade-bassed analysis of momentum”, Review of Financial Studies, vol. 19, no.2, pp.457-491.
Iihara, Y., Kato, H.K., and Tokunaga, T., 2001, “Investors’ herding on the Tokyo stock exchange”, International Review of Finance, vol.2, No.1/2, pp.71-98.new window
Ising, J., Schiereck, D. Simpson, M.W. and Thomas, T.W., 2006, “Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market”, Quarterly Review of Economics and Finance, vol. 46, pp.598-619.
Jegadeesh, N. and Titman, S., 1993, “Returns to buying winners and selling losers: Implications for stock market efficiency”, Journal of Finance, vol.48, no.1, pp. 65-91.new window
Jegadeesh, N. and Titman, S., 2001, “Profitability of momentum strategies: An evaluation of alternative explanations”, Journal of Finance, vol.56, no.2, pp. 699-720.
Jegadessh, N., 1990, “Evidence of predictable behavior of security returns”, Journal of Finance, vol.45, pp.881-898.
Johansen A., Ledoit, O., and Sornette, D., 2000, “Carashes as critical points”, International Journal of Theoretical and Applied Finance, vol.3, no.2, pp.219-255.
Johansen, A. and Sornette, D., 1998, “Stock market crashes are outliers”, European Physica Journal B, vol.9, no.1, pp.141-143.new window
Johansen, A. and Sornette, D., 1999a, “Critical crash”, Risk, vol.2, pp.91-94.
Johansen, A. and Sornette, D., 1999b, “Modeling the stock market prior to large crashes”, The European Physical Journal B, vol.9, pp.167-174.
Johansen, A. and Sornette, D., 2000, “The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash”, The European Physical Journal B, vol.17, pp.319-328.
Johansen, A. and Sornette, D., 2002a, “Large stock market price drawdowns are outlier”, Risk, vol.4, no.2, pp.69-110.
Johansen, A. and Sornette, D., 2002b, “Endogenous versus exogenous crashes in financial markets”, Working Paper, SSRN(Social Since Research Network).
Johansen, A., 2004, “Original of crashes in three US stock markets:Shocks and bubbles”, Physica A, vol.338, pp.135-142.
Johansen, A., and Sornette, D., 2001, “Bubbles and anti-bubbles in Latin-American, Asian and Western stock markets: An empirical study”, International Journal of Theoretical and Applied Finance, vol.4, no.6, pp.853-920.
John, A.G. and Mendenhall, R.R., 1992, “The relation between the Value Line enigma and post-earnings-announcement drift”, Journal of Financial Economics, vol.31, no.1, pp.75-96.new window
Kahneman, D. and Tversky, A., 1979, “Prospect theory:An analysis of decision under risk”, Econometrica, vol.47, no.2, pp.236-291.
Karmakar, M.V., 2005, “Modeling conditional volatility of the Indian stock markets”, The Journal for Decision Makers, vol.30, no.3, pp.21-37.
Keppler, M., 1991, ”The importance of dividend yields in country selection”, Journal of Portfolio Management, vol.17, no.2, pp.24-29.
Korajczyk, R.A. and Sadka, R., 2004, “Are momentum profits robust to trading costs?”, Journal of Finance, vol.59, no.3, pp.1039-1082.
Koutianoudies, T. and Wang, S., 2002, “Is the January effect economically exploitable? Evidence from Athens Stock Exchange”, Working paper, SSRN Electronic Library, 1-30.
Kumar, A. and Lee, C.M.C., 2006, “Retail investor sentiment and return comovements”, Journal of Finance, vol. 61, no. 5, pp.2451-2486.
Kyle, A.S., 1985, “Continuous auctions and insider trading”, Journal of Business, vol.53, no.1, pp.1315-1336.new window
Lakonishok, J. and Shleifer, A., 1994, “Contrarian investment, extrapolation and risk”, Journal of Finance, vol.49, no.5, pp.1541-1578.
Lakonishok, J., Shleifer, A., and Vishny, R., 1996, “The impact of institutional trading on stock prices”, Journal of Financial Economics, vol.32, no.1, pp.23-43.new window
LaPorta, R., 1996, “Expectations and the cross-section of stock returns”, Journal of Finance, vol.5, no.5, pp.1715-1742.
Larson, S. J. and Madura, J., 2003, “What drives stock price behavior following extreme one-day returns”, Journal of Financial Research, vol.26, pp.113-127.
Lasfer, M.A., Melnik, A., and Thomas, D.C., 2003, “Short-term reaction of stock markets in stressful circumstances”, Journal of Banking and Finance, vol. 27, pp.1959-1977.
Lee, C.M.C. and Swaminathan, B., 2000, “Price momentum and trading volume”, Journal of Finances, vol.55, no.5, pp.2017-2069.
Lee, C.M.C., Shleifer, A., and Thaler, R.H., 1991, “Investor sentiment and the closed-end fund puzzle”, Journal of Finance, vol.46, no.1, pp.75-109.new window
Lee, W.Y., Jiang, C.X., and Indro, D.C., 2002, “Stock market volatility, excess returns, and the role of investor sentiment”, Journal of Banking and Finance, vol.26, pp.2277-2299.
Lemmon, M. and Portniaguina, E., 2006, “Consumer confidence and asset prices: Some empirical evidence”, Review of Financial Studies. vol.19, no.4, pp.1499-1529.
LeRoy, S.F. and Porter, R.D., 1981, “The present-value relation: tests based on implies variance ounds”, Econometrica, vol.49, no.3, pp.555-574.
Macedo, R., 1995, Country-selection style, In Equity Style Management, Irwin Professional Publishing, pp.333-335.
Mankiw, N.G., Romer, D., and Shapiro, M.D., 1985, “An unbiased reexamination of stock market volatility”, Journal of Finance, vol.40, no.3., pp.677-687.
Marsh, T.A. and Merton, R., 1986, “Dividend variability and variance bounds tests for the rationality of stock market prices”, American Economic Review, vol.76, no.3, pp.483-495.
Montier, J., 2002, Behavior finance: Insights into irrational minds and markets, John Wiley & Sons, Ltd,.
Moskowitz, T. J. and Grinblatt, M., 1999, “Do industries explain momentum?”, Journal of Finance, vol.54, no.4, pp.1249-1290.
Neal, R. and Wheatley, S., 1998, “Do measures of investor sentiment predict returns”, Journal of Financial & Quantitative Analysis, vol.33, no.4, pp.523-547.
Nofsinger, J.R. and Sias, R.W., 1999, “Herding and feedback trading by institutional investors”, Journal of Finance, vol.54, no.6, pp.2263-2316.
Park, J., 1995, “A market microstructure explanation for predictable variations in stock returns following large price changes”, Journal of Financial and Quantitative Analysis, vol. 30, pp.241-256.
Pederzoli, C., 2006, “Stochastic volatility and GARCH: A comparison based on UK stock data”, European Journal of Finance, vol.12, no.1, pp.41-59.new window
Pettengill, G.N., Edwards, S.M. and Schmitt, D.E., 2006, “Is momentum investing a viable strategy for individual investors?”, Financial Services Review, vol. 15, pp.181-197.
Pontiff, J., 1995, “Closed-end fund premia and returns implications for financial market equilibrium”, Financial Economics, vol.37, no.3, pp.341-370.
Qiu, L. and Welch, I., 2004, “Investment sentiment measures”, Working paper, no.10794, NBER(National Bureau of Economic Research Inc.), pp.1-35.,
Rappoport, P.W., White, E.N., 1994, “The New York market in the 1920s and 1930s: Did stock prices move together too much?”, Working Paper, no.4627, NBER(National Bureau of Economic Research Inc.).
Richards, A.J., 1995, “Comovements in national stock market returns: Evidence predictability, but not cointegration”, Journal of Monetary Economics, vol.36, no.3, pp.631-655.
Richards, A.J., 1997, “Winner-loser reversals in national stock market indices: Can they be explained?”, Journal of Finance, vol.52, no.5, pp.2129-2144
Roll, R., 1988, “R2”, Journal of Finance, vol.43, no.3, pp.541-566.
Romer, D., 1993, “Rational asset-price movements without news”, American Economic Review, vol.83, no.5, pp.1112-1130.
Rouwenhorst, K.G., 1998a, “International momentum strategies”, Journal of Finance, vol. 53, no.1, pp.267-284.new window
Rouwenhorst, K.G., 1998b, “Local return factors and turnover in emerging stock markets”, Working Paper, Yale School of Management’s Management Research Network, pp.1-37.
Scharfstein, D., and Stein, J., 1990, “Herd behavior and investment”, American Economic Review, vol.80, no.3, pp.465-479.
Schiereck, D., DeBondt, W., and Weber, M., 1999, “Contrarian and momentum strategies in Germany”, Financial Analysts Journal, Nov/Dec, pp. 104-116.
Schnusenberg, O. and Madura, J., 2001, “Do U.S. stock market indexes over- or underreact?”, Journal of Financial Research, vol.24, no.2, pp.179-205.
Shiller, R.J., 1981, “Do stock prices move too much to be justified by subsequent changes in dividends?”, American Economic Review, vol.71, no.3., pp.421-436.
Shiller, R.J., Kon-Ya, F., and Tsutsui, Y., 1992, “Speculative behavior in the stock markets: evidence from the United States and Japan”, Working Paper, no.3613, NBER(National Bureau of Economic Research Inc.).
Shleifer, A., 2000, “Inefficient markets: An introduction to behavioral finance”, Oxford University Press, Oxford New York.
Shu, T., 2005, “Does positive-feedback trading by institutions contribute to stock return momentum?”, Working Paper, University of Texas at Austin.
Sias, R.W., 1997, “Price pressure and the role of institutional investors in closed-end funds”, Journal of Financial Research, vol.20, no.2, pp.211-229.
Sias, R.W., Starks, L.T., and Tinic, S.M., 2001, “Is noise trader risk priced?”, Journal of Financial Research, vol. 24, no.3, pp.311-329.
Skinner, D. and Sloan, R., 1999, “Earning surprises, growth expectations and stock returns”, Working Paper, University of Michigan.
Sornette, D. and Zhou, W-X., 2004, “Evidence of fueling of the 2000 new economy bubble by foreign capital inflow: Implications for the future of the US economy and its stock market”, Pysica A, no.332, pp.412-440.
Sornette, D., Johansen, A, 2001, “Significance of log-periodic precursors to financial crashes”, Quantitative Finance, vol.1, no.4, pp.452-471.new window
Sornette, D., Johansen, A., and Bouchaud, J.P., 1996, “Stock market crashes, precursors and replicas”, Journal of Physics I France, vol.6, pp.167-175.
Sornette, D., 2003, “Critical market crashes”, Physical Reports, pp.1-98.
Sturm, R.R., 2003, “Investor confidence and returns following large one-day price changes”, Journal of Behavioral Finance, vol.4, pp.201-216.
Tirole, J., 1982, “On the possibility of speculation under rational expectation”, Econometrica, vol.50, no.5, pp.1163-1181.
Trueman, B., 1988, “A theory of noise trading in securities markets”, Journal of Finance, vol.43, no.1, pp.83-95.new window
Vandewalle, N., Ausloos, M., Boveroux, P., and Minguet, A., 1999, “Visualizing the log-periodic pattern before crashes”, The European Physical Journal B, vol.9, 1999, pp.355-359.
Wang, C., 2000, “Investor sentiment, market timing, and futures returns”, Working Paper, National University of Singapore
West, K.D., 1987, “A specification test for speculative bubbles”, Quarterly Journal of Economics, vol.102, no.3, pp.553-580.
Womack, K.L., 1996, “Do brokerage analysts’ recommendations have investment value?”, Journal of Finance, vol.51, no.1, pp.137-167.new window
Youssefmir, M, Huberman, B., and Hogg, T., 1998, “Bubbles and market crashes”, Working Paper, no.9409001, EconWPA(Economics Working Paper Archive).
Zarowin, P., 1990, “Size, seasonality and stock market overreaction”, Journal of Financial and Quantitative Analysis, vol.25, no.1, pp. 113-125.new window
Zhou W.-X., Sornette, D., 2003, “Evidence of a worldwide stock market log-periodic anti-bubbles since mid-2000”, Physica A, vol.330, pp.543-583.
Zhou, C., 1999, “Information Asymmetry and Market Imperfections:Another solution to the equity premium puzzle”, Journal of Financial and Quantitative Analysis, vol.34, pp.445-464.
Zhou, W.-X. and Sornette, D., 2004, “Antibubble and prediction of China’s stock market and real-estate”, Physica A, vol.337, pp.243-268.
Zweig, M.E., 1973, “An investor expectations stock price predictive model suing closed-end fund premiums”, Journal of Finance, vol.28, no.1, pp.67-78.new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關書籍
 
無相關著作
 
QR Code
QRCODE