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題名:機構投資人買賣超與成交量對臺股報酬率與條件波動性之影響
書刊名:國立屏東商業技術學院學報
作者:陳正佑 引用關係徐守德 引用關係
出版日期:2004
卷期:6
頁次:頁161-187
主題關鍵詞:機構投資人買賣超成交量不對稱GARCH模型
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(1) 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:66
  • 點閱點閱:46
期刊論文
1.林華德、王甡(19951000)。臺灣股市成交量對股價波動的影響1986-1994--GARCH修正模型的應用。企銀季刊,19(2),40-58。  延伸查詢new window
2.Fung, W.、Hsieh, D. A.(2000)。Measuring the Market Impact of Hedge Funds。Journal of Empirical Finance,7,1-36。  new window
3.張宮熊(20000100)。臺灣股票市場三大法人與一般投資人間資訊傳遞結構之研究--以農曆新年效應為例。證券金融,64,87-105。  延伸查詢new window
4.Admati, A.、Pfleiderer, P.(1988)。A Thoery of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1,13-40。  new window
5.Braun, P. A.、Nelson, D. B.、Sunier, A. M.(1995)。Good news, bads news, volatility and betas。Journal of Finance,50(5),1575-1603。  new window
6.田慧琦(19990100)。外資買賣對短期市場之衝擊與長期績效。證交資料,441,13-19。  延伸查詢new window
7.林楚雄、劉維琪、吳欽杉(19990300)。臺灣股票店頭市場股價報酬波動行為的研究。企業管理學報,44,165-191。new window  延伸查詢new window
8.許溪南、黃文芳(1997)。臺灣股市價量線性與非線性關係之研究。管理學報,14(2),177-195。new window  延伸查詢new window
9.楊朝成、陳立國(19940300)。臺灣股市日內價量關係之研究。證券市場發展,22,323-340。new window  延伸查詢new window
10.Jones, C. M.、Kaul, G.、Lipson, M. L.(1994)。Transactions, Volume, and Volatility。Review of Financial Studies,7(4),631-651。  new window
11.Shalen, Catherine T.(1993)。Volume, volatility, and the dispersion of beliefs。Review of Financial Studies,6(2),405-434。  new window
12.Yang, S. R.、Brorsen, B. W.(1993)。Nonlinear dynamics of daily futures prices: conditional heteroskedasticity or chaos?。Journal of Futures Markets,13(2),175-191。  new window
13.Bessembinder, Hendrik、Seguin, Paul J.(1993)。Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets。Journal of Financial and Quantitative Analysis,28(1),21-39。  new window
14.Gervais, S.、Kaniel, R.、Mingelgrin, D. H.(2001)。The High-Volume Return Premium。The Journal of Finance,56(3),877-919。  new window
15.王毓敏、陳正佑(20010500)。臺股認購權證與標的股票交易量及資訊不對稱對於波動性之影響。風險管理學報,3(1),49-69。new window  延伸查詢new window
16.林哲鵬、郭慧玲、李麗秋、容珮蘭、蔡詩凡(19970400)。臺灣宣告外資開放與股價之變動--產業別之觀察。證券市場發展,9(2)=34,59-81。new window  延伸查詢new window
17.Park, Tae H.、Switzer, Lorne N.、Bedrossian, Robert(1999)。The interactions between trading volume and volatility: Evidence from the equity options markets。Applied Financial Economics,9(6),627-637。  new window
18.Karpoff, J. M.(1987)。The relation between price change and trading volume: A survey。The Journal of Financial and Quantitative Analysis,22,109-126。  new window
19.Gallant, A. R.、Rossi, P. E.、Tauchen, G.(1992)。Stock Prices and Volume。The Review of Financial Studies,5(2),199-242。  new window
20.Wood, R. A.、McInish, T. H.、Ord, J. K.(1985)。An Investigation of Transactions Data for NYSE Stocks。Journal of Finance,40(3),723-739。  new window
21.王甡(19950100)。報酬衝擊對條件波動所造成之不對稱效果--臺灣股票市場之實證分析。證券市場發展,7(1)=25,125-161。new window  延伸查詢new window
22.劉曦敏、葛豐瑞(19960100)。臺灣股價指數報酬率之線性及非線性變動。經濟研究. 臺北大學經濟學系,34(1),73-109。new window  延伸查詢new window
23.Rabemananjara, R.、Zakoïan, J. M.(1993)。Threshold ARCH Models and Asymmetries in Volatility。Journal of Applied Econometrics,8,31-49。  new window
24.Aggarwal, R.、Chen, S. N.(1990)。The Adjustment of Stock Returns to Block Trading Information。Quarterly Journal of Business and Economics,29,46-56。  new window
25.張麗娟(19980400)。臺灣股市自營商及外資鉅額交易對股票報酬率之影響。企銀季刊,21(4),57-70。  延伸查詢new window
26.Reilly, Frank K.、Wright, David J.(1984)。Block trading and aggregate stock price volatility。Financial Analysts Journal,40(2),54-60。  new window
27.Shleifer, Andrei(1986)。Do Demand Curves for Stocks Slope Down?。Journal of Finance,41(3),579-590。  new window
28.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
29.Hiemstra, C.、Jones, J. D.(1994)。Testing for linear and nonlinear granger causality in the stock price-volume relation。The Journal of Finance,49(5),1639-1664。  new window
30.Blume, Lawrence、Easley, David、O'Hara, Maureen(1994)。Market Statistics and Technical Analysis: The Role of Volume。The Journal of Finance,49(1),153-181。  new window
31.Wermers, Russ(1999)。Mutual Fund Herding and the Impact on Stock Prices。Journal of Finance,54(2),581-622。  new window
32.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
33.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
34.Ding, Zhuanxin、Granger, Clive W. J.、Engle, Robert F.(1993)。A long memory property of stock market returns and a new model。Journal of Empirical Finance,1(1),83-106。  new window
35.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1992)。The Impact of Institutional Trading on Stock Prices。Journal of Financial Economics,32(1),23-43。  new window
36.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。  new window
37.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
38.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
39.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
40.Gopinath, S.、Krishnamuthy, C.(2001)。Number of Transactions and Volatility : An Empirical Study Using High-Frequency Data from Nasdaq Stock。The Journal of Financial Research,24(2),205-218。  new window
會議論文
1.沈中華、李紀珠、李建興(2000)。機構投資人買賣超對台灣股價加權指數影響之研究:模糊有序類別分析法之應用。義守大學八十八年亞太金融中心研討會。  延伸查詢new window
2.林楚雄、劉維琪、吳欽杉(1996)。台灣股票市場條件波動性不對稱性反轉之研究。第五屆證券暨金融市場理論與實務研討會。  延伸查詢new window
研究報告
1.Fornari, F.、Mele, A.(1995)。Sign- and Volitility- Switching ARCH Model: Theory and Applications to International Stock Market。University of Paris。  new window
2.Schwartz, R.、Shapiro, J.(1992)。The challenge of institutionalization for the equity market。New York University。  new window
學位論文
1.張皇輝(1995)。外資及自營商的買賣策略對臺灣股市報酬率與波動性影響之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
2.陳志源(1995)。自營商及外資鉅額交易資訊內涵之研究(碩士論文)。國立政治大學。  延伸查詢new window
3.杜樹森(1996)。機構投資人交易行為對股票市場之影響:以國內共同基金為例(碩士論文)。國立政治大學。  延伸查詢new window
圖書
1.劉憶如(1999)。證券市場。臺北:華泰書局。  延伸查詢new window
 
 
 
 
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