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題名:美國存託憑證與標的股票交易量與匯率對報酬波動的影響--以臺灣電子企業發行之存託憑證為例
書刊名:僑光學報
作者:鍾國貴 引用關係彭桂麗
作者(外文):Chung, Kuo-kuePeng, Kuel-li
出版日期:2005
卷期:25
頁次:頁101-114
主題關鍵詞:美國存託憑證價格波動效果一般化自我迴歸條件異質變異數模型ADRsPrice volatility effectGARCH
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(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:12
  • 點閱點閱:24
期刊論文
1.林玫吟、王麗娟、楊美瑄、賴欣愉(2003)。美國存託憑證與其他價格因素之連動關係--台積電、聯電之實證研究。真理財金學報,8,51-76。new window  延伸查詢new window
2.高櫻芬、莊奕貞(2004)。美國存託憑證的發行對於標的股預期報酬與波動的影響--台灣與曰本上市公司之實證研究。台灣銀行季刊,55(4),263-276。new window  延伸查詢new window
3.Choi, Y. K.、Kim, D. S.(2000)。Determinants of American Depositary Receipts and Their Underlying Stock Returns--Implication for International Diversification。International Review of Financial Analysis,9,351-368。  new window
4.Foerster, Stephen R.、Karolyi, G. Andrew(1999)。The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States。Journal of Finance,54,981-1013。  new window
5.Jiang, C. X.(1998)。Diversification with American Depositary Receip: The Dynamics and the Pricing Factors。Journal of Business Financing and Accounting,25,683-699。  new window
6.Jithendranathan, Thadavillil、Nirmalanandan, T. R.、Tandon, Kishore(2000)。Barriers to International Investing and Market Segmentation: Evidence from Indian GDR Market。Pacific-Basin Finance Journal,8,399-417。  new window
7.Kim, M.、Szakmary, A. C.、Mathur, I.(2000)。Price Transmission Dynamics between ADRs and Their Underlying Foreign Securities。Journal of Banking & Finance,24(8),1359-1382。  new window
8.Liang, Y.、Mougoue, M.(1996)。The Pricing of Foreign Exchange Risk: Evidence from ADRs。International Review of Economics and Finance,5(4),337-385。  new window
9.Lowengrub, P.、Melvin, M.(2002)。Before and After International Cross-Listing: an Intraday Examination of Volume and Volatility。Journal of International Financial Markets, Institutions and Money,12(2),139-155。  new window
10.Mathur, I.、Gleason, K. C.、Singh, M.(1998)。Did Markets React Efficiently to the 1994 Mexican Peso Crisis Evidence from Mexican ADRS。Journal of Multinational Financial Management,8,39-48。  new window
11.Officer, D. T.、Hoffmeister , J. R.(1987)。ADR: A Substitute For the Real Things。Journal of Portfolio Management,7,61-65。  new window
12.沈中華、邱志豪(19990800)。交易成本,GDR與股價的套利--門檻共整合應用。中國財務學刊,7(2),89-112。new window  延伸查詢new window
13.蔡璧徽、黃志典(20030700)。區隔市場下存託憑證與原股折溢價關係之研究--以臺灣企業發行之海外存託憑證為例。管理與系統,10(3),263-284。new window  延伸查詢new window
14.沈中華(19980000)。海外存託憑證與普通股之間價格傳遞關係--臺灣之實驗研究。證券市場發展,10(2)=38,37-62。new window  延伸查詢new window
15.Patro, Dilip Kumar(2000)。Return Behavior and Pricing of American Depositary Receipts。Journal of International Financial Markets, Institutions and Money,10(1),43-67。  new window
學位論文
1.游千慧(2001)。國際資本市場整合度之研究--以台灣上市公司海外發行ADR探討(碩士論文)。輔仁大學。  延伸查詢new window
2.Park, Jinwoo(1990)。The Impact of Information on ADR Returns and Variances: Some Implications (International Information Transmission)(博士論文)。The University of Lowa。  new window
 
 
 
 
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