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第一篇 王明昌、許婉琪、李飛涵與柯建全(2022),市場恐慌情緒對台股新聞事件之股價反應的影響,管理與系統,29(2):147-186。 何怡滿與陳雯琪(2019),投資人關注度對台灣50指數成分股之股票報酬與公司績效的影響,屏東大學學報-管理類,(2):73-103。 李永隆、杜玉振與王瑋瑄(2017),Google搜尋量指數對臺灣股票報酬與成交量之影響,管理與系統,24(4):565-590。 劉清標、林筱鳳與陳宏榮(2017),股價報酬與投資人情緒之預測,財金論文叢刊,(26):1-18。 趙慶祥、葉錦徽與梁景婷(2022),情緒與總經宣告對風險與期望報酬抵換關係之影響,證券市場發展季刊,34(1):135-176。 Ang, A., & Bekaert, G. (2007). Stock return predictability: Is it there?. Review of Financial Studies, 20(3), 651-707. Antweiler, W., & Frank, M. Z. (2004). Is all that talk just noise? The information content of internet stock message boards. Journal of Finance, 59(3), 1259-1294. Capaul, C., Rowley, I., & Sharpe, W. F. (1993). International value and growth stock returns. Financial Analysts Journal, 49(1), 27-36. Chai, D., Dai, M., Gharghori, P., & Hong, B. (2021). Internet search intensity and its relation with trading activity and stock returns. International Review of Finance, 21(1), 282-311. Da, Z., Engelberg, J., & Gao, P. (2011). In search of attention. Journal of Finance, 66(5), 1461-1499. Fama, E. F. (1976). Efficient capital markets: reply. Journal of Finance, 31(1), 143-145. Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. Journal of Finance, 47(2), 427-465. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. Fama, E. F., & French, K. R. (1995). Size and book‐to‐market factors in earnings and returns. Journal of Finance, 50(1), 131-155. Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. Journal of Finance, 51(1), 55-84. Fama, E. F., & French, K. R. (1998). Value versus growth: The international evidence. Journal of Finance, 53(6), 1975-1999. Hansen, B. E. (1999). Threshold effects in non-dynamic panels: Estimation, testing, and inference. Journal of Econometrics, 93(2), 345-368. Hausman, J. A. (1978). Specification tests in econometrics. Econometrica: Journal of the Econometric Society, 1251-1271. Hu, H., Tang, L., Zhang, S., & Wang, H. (2018). Predicting the direction of stock markets using optimized neural networks with Google Trends. Neurocomputing, 285, 188-195. Joseph, K., Wintoki, M. B., & Zhang, Z. (2011). Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search. International Journal of Forecasting, 27(4), 1116-1127. Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. Journal of Finance, 49(5), 1541-1578. Lo, A. W., & MacKinlay, A. C. (1988). Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies, 1(1), 41-66. Salisu, A. A., Ogbonna, A. E., & Adediran, I. (2021). Stock‐induced Google trends and the predictability of sectoral stock returns. Journal of Forecasting, 40(2), 327-345. Takeda, F., & Wakao, T. (2014). Google search intensity and its relationship with returns and trading volume of Japanese stocks. Pacific-Basin Finance Journal, 27, 1-18. Wanidwaranan, P., & Padungsaksawasdi, C. (2022). Unintentional herd behavior via the Google search volume index in international equity markets. Journal of International Financial Markets, Institutions and Money, 77, 101503.
第二篇 王明昌、許婉琪、李飛涵與柯建全(2022),市場恐慌情緒對台股新聞事件之股價反應的影響,管理與系統,29(2),147-186。 何怡滿與陳雯琪(2019),投資人關注度對臺灣50指數成分股之股票報酬與公司績效的影響,屏東大學學報—管理類,2,73-103。 李永隆、杜玉振與王瑋瑄(2017),Google搜尋量指數對臺灣股票報酬與成交量之影響,管理與系統,24(4),565-590。 胡星陽(1998),流動性對台灣股票報酬率的影響,中國財務學刊,5(4),1-19。 周賓凰、張宇志與林美珍(2019),投資人情緒與股票報酬互動關係,證券市場發展季刊:行為財務學特別專刊,153。 劉玉珍、周行一與潘璟靜(1996),臺灣股市價格限制與交易行為,中國財務學刊,4(2),41-60。 趙慶祥、葉錦徽與梁景婷(2022),情緒與總經宣告對風險與期望報酬抵換關係之影響,證券市場發展季刊,34(1),135-176。 謝文良與林苑宜(2012),台灣股市之流動性共變現象,證券市場發展季刊,24(4),135-186。 Antweiler, W., & Frank, M. Z. (2004). Is all that talk just noise? The information content of internet stock message boards. Journal of Finance, 59(3), 1259-1294. Bock, J. (2018). Quantifying macroeconomic expectations in stock markets using Google trends. SSRN Electronic Journal. Campbell, J. Y., Grossman, S. J., & Wang, J. (1993). Trading Volume and Serial Correlation in Stock Returns, Quarterly Journal of Economics,108(4), 905-939. Capaul, C., Rowley, I., & Sharpe, W. F. (1993). International value and growth stock returns. Financial Analysts Journal, 49(1), 27-36. Chai, D., Dai, M., Gharghori, P., & Hong, B. (2021). Internet search intensity and its relation with trading activity and stock returns. International Review of Finance, 21(1), 282-311. Chan, K. S. (1993). Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model. The Annals of Statistics ,21 (1): 520-533. Chordia, T., & Swaminathan, B. (2000). Trading Volume and Cross Autocorrelations in Stock Returns. Journal of Finance,55(2),913-935. Conrad, J. S., Hameed, A., & Niden, C. (1994). Volume and Autocovariances in Short Horizon Individual Security Returns, Journal of Finance,49(4), 1305-1330. Cooper, M. (1999), Filter Rules based on Price and Volume in Individual Security Overreaction, Review of Financial Studies,12(4), 901-935. Da, Z., Engelberg, J., & Gao, P. (2011). In search of attention. Journal of Finance, 66(5), 1461-1499. Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. Journal of Finance, 47(2), 427-465. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. Fama, E. F., & French, K. R. (1995). Size and book‐to‐market factors in earnings and returns. Journal of Finance, 50(1), 131-155. Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. Journal of Finance, 51(1), 55-84. Fama, E. F., & French, K. R. (1998). Value versus growth: The international evidence. Journal of Finance, 53(6), 1975-1999. Gervais, S., Kaniel, R., & Mingelgrin, D. H. (2001). The High-Volume Return Premium. Journal of Finance, 56(3), 877-919. Greene, W. (1999). Econometric Analysis, Macmillan, New York. Hansen, B. E. (1999). Threshold effects in non-dynamic panels: Estimation, testing, and inference. Journal of Econometrics, 93(2), 345-368. Hausman, J. A. (1978). Specification tests in econometrics. Econometrica: Journal of the Econometric Society, 1251-1271. Hu, H., Tang, L., Zhang, S., & Wang, H. (2018). Predicting the direction of stock markets using optimized neural networks with Google Trends. Neurocomputing, 285, 188-195. Joseph, K., Wintoki, M. B., & Zhang, Z. (2011). Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search. International Journal of Forecasting, 27(4), 1116-1127. Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. Journal of Finance, 49(5), 1541-1578. Lee, C. M., & Swaminathan, B. (2000). Price Momentum and Trading Volume. Journal of Finance, 55(5), 2017-2069. Lo, A. W., & MacKinlay, A. C. (1988). Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies, 1(1), 41-66. Takeda, F., & Wakao, T. (2014). Google search intensity and its relationship with returns and trading volume of Japanese stocks. Pacific-Basin Finance Journal, 27, 1-18. Vlastakis, N., & Markellos, R. N. (2012). Information demand and stock market volatility. Journal of Banking & Finance, 36(6), 1808-1821. Wanidwaranan, P., & Padungsaksawasdi, C. (2022). Unintentional herd behavior via the Google search volume index in international equity markets. Journal of International Financial Markets, Institutions and Money, 77, 101503.
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