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題名:股票市場價格發現過程實證探討
書刊名:臺灣銀行季刊
作者:方文碩 引用關係楊永列葉志權 引用關係
出版日期:2002
卷期:53:2
頁次:頁234-261
主題關鍵詞:股票市場價格發現產業循環
原始連結:連回原系統網址new window
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  • 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:56
  • 點閱點閱:6
期刊論文
1.de Harris, F. H. B.、McInish, T. H.、Shoesmith, G. L.、Wood, R. A.(1995)。Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets。Journal of Financial and Quantitative Analysis,30(4),563-579。  new window
2.Schreiber, P. S.、Schwartz, R. A.(1986)。Price Discovery in Securities Markets。Journal of Portfolio Management,12(4),43-48。  new window
3.Johansen, S.(1991)。Estimation and Hypotheses in Testing of Cointegration Vector in Gaussian Vector Autoregressive Model。Econometrica,59,1551-1580。  new window
4.余尚武(19970000)。股價指數期貨之價格發現與領先效果之研究--Nikkei 225指數之實證。證券市場發展,9(3)=35,29-62。new window  延伸查詢new window
5.Osterwald-Lenum, M.(1992)。A Note with Quartiles of Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics。Oxford Bulletin of Economics and Statistics,54(3),461-472。  new window
6.Maysami, R. C.、Koh, T. S.(2000)。A Vector Error Correction Model of the Singapore Stock Market。International Review of Economics and Finance,9(1),79-96。  new window
7.McInish, T. H.、Wood, R. A.(1992)。An Analysis of Intraday Patterns in Bid-Ask Spreads for NYSE Stocks。The Journal of Finance,47(2),753-764。  new window
8.Chan, K. C.、Gup, B. E.、Pan, M. S.(1992)。An Empirical Analysis of Stock Prices in Major Asian Markets and the United States。The Financial Review,27(2),289-308。  new window
9.黃玉娟、徐守德(19970000)。臺股指數現貨與期貨市場價格動態關聯性之研究。證券市場發展,9(3)=35,1-28。new window  延伸查詢new window
10.方文碩、張富豪、林治邦(19980600)。臺灣地區貨幣數量、通貨膨脹與股票市場活動。臺灣銀行季刊,49(2),37-57。new window  延伸查詢new window
11.Cheung, Y. L.、Mak, S. C.(1992)。The International Transmission Of Stock Market Fluctuation Between the Developed Markets and the Asian Pacific Markets。Applied Financial Economics,2(1),43-47。  new window
12.吳壽山、李進生(19990300)。臺指市場呈逆價差狀況下修正指數期貨定價模式在實務應用之估計驗證--價格發現能力的改善。臺灣期貨市場,1(2),19-28。  延伸查詢new window
13.Granger, C. W. J.(1986)。Developments in the study of cointegrated economic variables。Oxford Bulletin of Economics and Statistics,48,213-228。  new window
14.Granger, W. J.(1988)。Some recent developments in a concept of causality。Journal of Econometrics,39,199-211。  new window
15.方文碩(20000500)。金融危機期間股票報酬風險貼水與貶值效果。風險管理學報,2(1),39-68。new window  延伸查詢new window
16.Johansen, S.(1988)。Statistic Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12,231-254。  new window
17.Johansen, S.、Juselius, K.(1990)。Maximum Likelihood Estimation and Inference on Co-integration--with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
18.Aggarwal, R.、Rivoli, P.(1989)。The relationship between the US and four Asian stock markets。ASEAN Economic Bulletin,6(1),110-117。  new window
19.Chu, Q. C.、Hsieh, W. G.、Tse, Y.(1999)。Price discovery on the S&P 500 index markets:An analysis of spot Index, index futures, and SPDRs。International Review of Financial Analysis,8(1),21-34。  new window
20.Dwyer, G. P.、Hafer, R. W.(1988)。Are national stock markets linked?。Federal Reserve Bank of San Francisco Economic Review,70(6),3-14。  new window
21.Engle, R. F.、Granger, C. W. J.(1987)。Co-integration and error correction: presentation, estimation, and testing。Econometrica,55,251-276。  new window
22.Fawson, C.、Glover, T. F.、Fang, W. S.、Chang, T. Y.(1996)。The Weak-Form Efficiency of the Taiwan Share Market。Applied Economics Letter,3,663-667。  new window
23.Granger, C.、Newbold, P.(1974)。Spurious Regressons in Econometrics。Journal of Econometrics,2,111-120。  new window
24.He, L. T.(1997)。Price discovery in the Hong Kong security markets: evidence from cointegration tests。Journal of International Financial Markets, Institutions and Money,7,157-169。  new window
25.Panton, D. B.、Lessig, V. P.、Joy, O. M.(1976)。Co-movements of international equity markets: a taxonomic approach。Journal of Financial and Quantitative Analysis,11,415-432。  new window
26.Ripley, D.(1973)。Systematic elements in the linkage of national stock market indices。The Review of Economics and Statistics,15,356-361。  new window
27.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
28.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
29.Kwiatkowski, Denis、Phillips, Peter C. B.、Schmidt, Peter、Shin, Yongcheol(1992)。Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?。Journal of Econometrics,54(1-3),159-178。  new window
30.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
會議論文
1.Chang, T. Y.、Fang, W. S.(2000)。International Transmission of Stock Price Movements between Taiwan and its Trading Parters, Hong Kong, Japan, and the United States。2000東吳經濟學術研討會,(會議日期: 2000/03/10)。Taipei:東吳大學。  new window
 
 
 
 
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