:::

詳目顯示

回上一頁
題名:臺灣股市雜訊交易因素及其對股價影響性之研究--融合時間序列橫剖面迴歸模式
書刊名:風險管理學報
作者:賴素鈴楊靜琪
作者(外文):Lai, Sue-lingYang, Ching-chi
出版日期:2004
卷期:6:1
頁次:頁5-31
主題關鍵詞:雜訊變異數比率融合時間序列橫剖面迴歸模式NoiseVariance ratio testTime series cross-section regression
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(8) 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:8
  • 共同引用共同引用:39
  • 點閱點閱:64
期刊論文
1.翁霓、劉維琪、陳隆麒(19951100)。投資績效分析:低股價效果及小股本效果之實證研究。管理科學學報,12(3),335-359。  延伸查詢new window
2.Bhushan, R.、Brown, D. P.、Mello, A. S.(1997)。Do Noise Traders 'Create Their Own Space'?。Journal of Financial and Quantitative Analysis,32,25-45。  new window
3.French, Kenneth R.、Roll, Richard(1986)。Stock Return Variances: The Arrival of Information and The Reaction of Traders。Journal of Financial Economics,17(1),5-26。  new window
4.Poterba, J. M.、Summers, L. H.(1988)。Mean Reversion in Stock Prices: Evidence and Implication。Journal of Financial Economics,22(1),27-59。  new window
5.Shiller, R. J.(1981)。Does Stock Prices Move Too Much to Be Justified by Subsequent Changes In Dividends?。American Economic Review,71,421-436。  new window
6.葉銀華、鄭文選(19971000)。監視制度對雜訊交易與報酬波動性影響之實證研究。證券金融,55,41-66。  延伸查詢new window
7.Kaul, Gautam、Nimalendran, M.(1990)。Price Reversals: Bid-ask Errors or Market Overreaction?。Journal of Financial Economics,28(1/2),67-93。  new window
8.Lo, A. W.、MacKinlay, A. Craig(1989)。The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation。Journal of Econometrics,40(2),203-238。  new window
9.Oldfield, G. S.、Rogalski, R. J.(1980)。A Theory of Common Stock Returns Over Trading and Non-trading Periods。Journal of Finance,35(3),729-751。  new window
10.Parks, Richard W.(1967)。Efficient Estimation of A System of Regression Equations when Disturbances are Both Serially and Contemporaneously Correlated。Journal of the American Statistical Association,62(318),500-509。  new window
11.翁霓、劉維琪、陳隆麒(19940700)。雜訊投資人主觀偏好對股價影響之實證研究。Proceedings of the National Science Council. Part C, Humanities and Social Sciences,4(2),264-285。  延伸查詢new window
12.陳隆麒、翁霓、郭敏華(19950100)。雜訊交易對臺灣地區投資人行為及股價之影響。證券市場發展,7(1)=25,101-124。new window  延伸查詢new window
13.薛立言、黃志傑(19960700)。影響國內股市雜訊交易之因素分析。證券市場發展,8(3)=31,63-88。new window  延伸查詢new window
14.Neal, Robert、Wheatley, Simon M.(1998)。Do Measures of Investor Sentiment Predict Returns?。Journal of Financial and Quantitative Analysis,33(4),523-547。  new window
15.Shleifer, A.、Vishny, R. W.(1997)。The Limits of Arbitrage。Journal of Finance,52,35-55。  new window
16.黃荃(20000300)。資訊內涵市場過度反應假設之研究--以董監事及關係人持股異動為例。東吳經濟商學學報,28,61-107。new window  延伸查詢new window
17.劉玉珍、何怡滿(19940100)。公司特性與資訊結構--臺灣股市之實證研究。Proceedings of the National Science Council. Part C, Humanities and Social Sciences,4(1),114-132。  延伸查詢new window
18.顏錫銘(19910500)。亞太盆地股票市場價格行為之比較研究。管理科學學報,8(1),1-18。  延伸查詢new window
19.劉書助、蕭榮興、李順斌(20010900)。除權事件下股價漲跌預測模式之研究。國立屏東科技大學學報,10(3),247-254。  延伸查詢new window
20.李春安(20010900)。雜訊交易對貨幣政策與股價關聯性影響之研究。經濟論文叢刊,29(3),339-364。new window  延伸查詢new window
21.Lee, Charles M. C.、Shleifer, Andrei、Thaler, Richard H.(1991)。Investor Sentiment and the Closed-End Fund Puzzle。The Journal of Finance,46(1),75-109。  new window
22.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
23.Black, Fisher(1986)。Noise。Journal of Finance,41(3),529-543。  new window
24.de Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Noise trader risk in financial markets。Journal of Political Economy,98(4),703-738。  new window
25.Fisher, Kenneth L.、Statman, Meir(2000)。Investor Sentiment And Stock Returns。Financial Analysts Journal,56(2),16-23。  new window
26.Shleifer, Andrei、Summers, Lawrence H.(1990)。The Noise Trader Approach to Finance。Journal of Economic Perspectives,4(2),19-33。  new window
27.Abarbanell, Jeffery S.、Bushee, Brian J.(1997)。Fundamental Analysis, Future Earnings, and Stock Prices。Journal of Accounting Research,35(1),1-24。  new window
28.Bernard, Victor L.、Thomas, Jacob K.(1989)。Posting-Earning-Announcement Drift: Delayed Price Response or Risk Premium?。Journal of Accounting Research,27,1-36。  new window
29.Daniel, Kent D.、Hirshleifer, David A.、Subrahmanyam, Avanidhar(1998)。Investor Psychology and Security Market under- and Overreactions。The Journal of Finance,53(6),1839-1885。  new window
30.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。  new window
31.LeRoy, Stephen F.、Porter, Richard D.(1981)。The Present-Value Relation: Tests Based on Implied Variance Bounds。Econometrica,49(3),555-574。  new window
32.Lo, Andrew W.、MacKinlay, A. Craig(1988)。Stock market prices do not follow random walks: Evidence from a simple specification test。Review of Financial Studies,1(1),41-66。  new window
33.Bernard, Victor L.、Thomas, Jacob K.(1990)。Evidence that stock prices do not fully reflect the implications of current earnings for future earnings。Journal of Accounting and Economics,13(4),305-340。  new window
34.李春安(19990400)。後見之明心理與股市反應不足、過度反應理論。中國財務學刊,7(1),17-58。new window  延伸查詢new window
研究報告
1.Christie, A. A.(1981)。On Efficient Estimation and Intra-week Behavior of Common Stock Variances。Rochester, NY:University of Rochester。  new window
學位論文
1.翁霓(1993)。雜訊交易對股價行為影響之研究(博士論文)。國立政治大學。new window  延伸查詢new window
2.丁國玄(1996)。台灣股市的隨機漫步假說與平均反轉現象(碩士論文)。國立清華大學。  延伸查詢new window
3.王惠中(1991)。台灣股市弱式效率檢定與異質變異數模型之應用(碩士論文)。淡江大學。  延伸查詢new window
4.李岳桓(2000)。融資融券餘額、成交量對股價報酬率影響之研究--以電子股為例(碩士論文)。國立台北大學。  延伸查詢new window
5.周文玲(1990)。台灣主要產業上市股票價格波動之研究(碩士論文)。國立政治大學。  延伸查詢new window
6.張升寶(1990)。股價震盪幅度的衡量與分析(碩士論文)。國立中山大學。  延伸查詢new window
7.黃叔鈞(1999)。亞洲股市流動性與股票報酬率關係之實證研究(碩士論文)。國立臺灣大學。  延伸查詢new window
8.李文順(1993)。雜訊交易在臺灣股市是否存在(碩士論文)。淡江大學。  延伸查詢new window
9.蔡啟明(1996)。利用變異數比率檢定台灣股票市場效率性之研究(碩士論文)。國立交通大學。  延伸查詢new window
10.趙美蘭(1989)。融資融券比率調整對股價交易量影響之實證研究(碩士論文)。國立中興大學。  延伸查詢new window
11.葉順吉(1994)。臺灣股市封閉型基金折溢價之研究(碩士論文)。國立中山大學。  延伸查詢new window
圖書
1.周文賢(2000)。計量經濟與時間序列分析--SAS/ETS之運用。  延伸查詢new window
2.Granger, C. W. J.、Morgenstern, O.(1970)。Predictability of Stock Market Prices。Lexington, MA:Heath-Lexington。  new window
3.Campbell, John Y.、Lo, Andrew W.-C.、MacKinlay, A. Craig(1997)。The Econometrics of Financial Markets。Princeton University Press。  new window
圖書論文
1.Bernard, V. L.(1992)。Stock Price Reactions to Earnings Announcements。Advances in Behavioral Finance。New York:Russel Sage Foundation。  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