參考文獻
一、中文部分
工商時報,2011.1.4,廖繼弘:量先價行,中長期挑戰9,859 (第B2版)。
古金尚,(2003),台灣股票市場投資者心理情緒影響因素之實證研究,朝陽科技大學財務金融研究所碩士論文。
周賓凰、張宇志、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,第19卷,第2期,153-190。洪培元,(2004),市場情緒指標與股價報酬關係之研究,國立雲林科技大學財務金融研究所碩士論文。
胡家瑜,(1994),我國股市日曆異常現象之探討,淡江大學管理科學研究所碩士論文。
倪衍森、黃寶玉、賴步昇,(2010),台灣股票市場資訊揭示與投資人情緒反應的互動關係,2010行為財務暨新興市場理論與實證研討會論文集,世新大學財務金融學系。黃俊榮,(1995),臺灣股票市場日曆異常現象之探討─各類指數報酬率分析與比較,國立中正大學財務金融研究所碩士論文。
黃致倫,(2007),投資人情緒與投資人行為偏誤之研究,國立台北大學企業管理研究所博士論文。經濟日報,2011.4.17,投資錦囊妙計 (第S03版)。
經濟日報,2010.12.5,量先價行 春節行情看好 (第A4版)。
葉俊彥,(2004),量縮作空 賺!量小作多 套!成交量代表人氣 有人氣股價才能往上漲,理財週刊,第208期,66-67。
蔡佩蓉、王元章、張眾卓,(2009),投資人情緒、公司特徵與台灣股票報酬之研究,經濟研究,第45卷,第2期,273-322。賴東陽,(2008),台灣股市過度反應與獲利因子之研究,真理大學管理科學研究所碩士論文。
劉龍昌,(2008),機構投資人與股票市場異常現象之研究—以台灣股票市場為例,長庚大學企業管理研究所碩士論文。
郭迺鋒、劉名寰、蔡獻逸、林筱寧、鄭如君,(2008),臺灣民眾自我預期實現 (Self-Fulfill) 之實證分析,貨幣觀測與信用評等,第72期,36-49。
二、英文部分
Amihud, Y. and Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics 17, 223-249.
Andersen, T. G. (1996). Return volatility and trading volume: an information flow interpretation of stochastic volatility. Journal of Finance 51, 169-204.
Baker, M. and Stein, J. C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets 7, 271-299.
Baker, M. and Wurgler, J. (2004). A catering theory of dividends. Journal of Finance 59, 1125-1165.
(2006). Investor sentiment and the cross-section of stock returns. Journal of Finance 61, 1645-1680.
Bandopadhyaya, A. and Jones, A. L. (2005). Measuring investor sentiment in equity markets. Working paper 1007, College of Management. University of Massachusetts Boston.
Barberis, N., Shleifer, A., and Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics 49, 307-343.
Basu, S. (1977). Investment performance of common stocks in relation to their price-earnings ratios: A test of efficient market hypothesis. Journal of Finance 32, 663-682.Bloomfield, R., O’Hara, M., and Saar, G. (2009). How noise trading affects markets: an experimental analysis. Review of Financial Studies 22, 2275-2302.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31, 307-327.
(1987). A conditionally heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics 69, 542-547.
Brennan, M. J., Chordia, T., and Subrahmanyam, A. (1998). Alternative factor specifications, security characteristics, and cross-section of expected stock returns. Journal of Financial Economics 49, 345-373.
Brown, G. and Cliff, M. (2004). Investor sentiment and near-term stock market. Journal of Empirical Finance 11, 1-27.
(2005). Investor sentiment and assets valuation. Journal of Business 78, 405-440.
Campbell, J. Y., Grossman, S. J., and Wang, J. (1993). Trading volume and serial correlation in stock returns. Quarterly Journal of Economics 108, 905-939.
Chordia T, Huh S.W., and Subrahmayam, A. (2007). The cross-section of expected trading activity. Review of Financial Studies 20, 709-740.
Chuang, W. J., Ou-Yang, L. Y., and Lo, W. C. (2009). Dynamic return-volume relation and future returns-implication for reducing investing risk. International Association of Computer Science and Information Technology-Spring Conference, Singapore, 296-300.
Colby, R. and Mayers, T. (1998). The encyclopedia of technical market indicators. Chicago:Irwin Professional Publishing.
Conrad, J.S., Hameed, A., and Niden, C. (1994). Volume and autocovariances in short-horizon individual security returns. Journal of Finance 49, 1305-1329.
Daniel, K., Hirshleifer, D., and Subrahmanyam, A. (1998). Investor psychology and security market under- and overreactions. Journal of Finance 53, 1839-1885.
Datar, V. T., Naik, N. Y., and Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets 1, 203-219.De Bondt, W. and Thaler, R. (1985). Does the stock market overreact? Journal of Finance 40, 793-805.
De Long, J., Shleifer, A., Summers, L., and Waldmann, R. (1990) Noise trader risk in financial markets. Journal of Political Economy 98, 703-738.
Edmans, A., García, G., and Norli, Ø. (2007). Sports Sentiment and Stock Returns. Journal of Finance 62, 1967-1998.
Eichengreen, B., Rose, A., and Wyplosz, C. (1996). Contagious currency crisis: First tests. Scandinavian Journal of Economics 98, 463-484.
Engle, R., Lilien, D., and Robins, R. (1987). Estimating time varying risk premia in the term structure: The ARCH-M model. Econometrica 55, 391-407.
Fama, E. and French, K. (1992). The cross-section of expected stock returns. Journal of Finance 47, 427-465.
Fisher, K. L. and Statman, M. (2000). Investor sentiment and stock returns. Financial Analysts Journal 56, 16-23.
(2003). Consumer confidence and stock returns. Journal of Portfolio Management 30, 115-128.
Gervais, S., Kaniel, R., and Mingelgrin, D. H. (2001). The high-volume return premium. Journal of Finance 56, 877-919.
Gervais, S. and Odean, T. (2001). Learning to be overconfident. Review of Financial Studies 14, 1-27.
Glosten, L., Jagannathan, R., and Runkle, D. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 48, 1779-1801.
Granger, C. W. J. and Newbold, P., (1974). Spurious regressions in econometrics. Journal of Econometrics 2, 111–120.
Grossman, S.J. and Miller, M.H. (1988). Liquidity and market structure. Journal of Finance 43, 617-633.
Hart, S. and Tauman, Y. (2004). Market crashes without external shocks. Journal of Business 77, 1-8.
Kaniel, R., Saar, G., and Titman, S. (2008). Individual investor trading and stock returns. Journal of Finance 88, 273-310.
Kumar, M. S. and Persaud, A. (2002). Pure contagion and investors’ shifting risk appetite: analytical issue and empirical evidence. International Finance 5, 401-436.
Lakonishok, J., Shleifer, A., and Vishny, R. (1994). Contrarian investment, extrapolation, and risk. Journal of Finance 49, 1541-1578.
Lashgari, M. (2000). The role of TED spread and confidence index in explaining the behavior of stock prices. American Business Review 18, 9-11.
Lee, C., Shleifer, A., and Thaler, R.(1991). Investor sentiment and the closed-end fund puzzle. Journal of Finance 46, 75-109.
Lee, C.M.C. and Swaminathan, B. (2000). Price momentum and trading volume. Journal of Finance 55, 2017-2069.
Lee, W., Jiang, C., and Indro, D. (2002). Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking and Finance 26, 2277-2299.
Llorente, G., Michaely, R., Saar, G., and Wang, J. (2002). Dynamic volume-return relation of individual stocks. Review of Financial Studies 15, 1005-1047.
Lo, A.W. and Wang, J. (2000). Trading volume: Definitions, data analysis, and implications of portfolio theory. Review of Financial Studies 13, 257-300.
Neal, R. and Wheatley, S. (1998). Do measures of investor sentiment predict returns? Journal of Financial and Quantitative Analysis 33, 523-547.
Odean, T. (1998a). Volume, volatility, prices, and profit when all traders are above average. Journal of Finance 53, 1775-1798.
(1998b). Are investors reluctant to realize their losses? Journal of Finance 53, 1775-1798.
Siegel, J. (1998). Stocks for the long run. New York: McGraw Hill.
Shefrin, H. and Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of Finance 40, 777-790.
Shiller, R. (1984). Stock prices and social dynamics. Brookings Papers on Economic Activity 2, 457-498.
Shiller, R. (2000). Irrational exuberance. New Jersey: Princeton.
Statman, M. and Thorley, S. (1999). Overconfidence, deposition, and trading volume. Unpublished paper. Santa Clara University.
Statman, M., Thorley, S., and Vorkink, K. (2006). Investor overconfidence and trading volume. Review of Financial Studies 19, 531-1565.
Tetlock, P. (2007). Giving content to investor sentiment: The role of media in the stock market. Journal of Finance 62, 1139-1168.
Thaler, R. (1999). The end of behavioral finance. Financial Analysts Journal 55, 12-17.
Zweig, M. E. (1973). An investor expectations stock price predictive model using close-end fund premium. Journal of Finance 28, 67-87.