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題名:延時交易對臺股指數效率性的影響--變異數比率檢定之應用
書刊名:輔仁管理評論
作者:洪瑞成 引用關係劉洪鈞顏偉倫
作者(外文):Hung, Jui-chengLiu, Hung-chunYen, Wei-lun
出版日期:2008
卷期:15:2
頁次:頁41-59
主題關鍵詞:變異數比率檢定多重變異數比率檢定弱式效率市場延長交易時間Variance ratio testsMultiple ratio testsWeak-form efficient marketExtending trading hour
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(2) 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:1
  • 共同引用共同引用:0
  • 點閱點閱:19
期刊論文
1.Sidak, Z.(1967)。Rectangular Confidence Regions for the Means of Multivariate Normal Distributions。Journal of the American Statistical Association,62,626-633。  new window
2.Ayadi, O. F.(1994)。An Application of Variance Ratio Test to the Korean Securities Market。Journal of Banking and Finance,18,643-658。  new window
3.Bark, H. K.(1991)。Risk, Return, and Equilibrium in the Emerging Markets: Evidence from the Korean Stock Market。Journal of Economics and Business,43,353-362。  new window
4.Belaire-Franch, J.、Opong, K. K.(2005)。Some Evidence of Random Walk Behavior of Euro Exchange Rates using Ranks and Signs。Journal of Banking and Finance,29(7),1631-1643。  new window
5.Belaire-Franch, J.、Opong, K. K.(2005)。A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices using Ranks and Signs。Review of Quantitative Finance and Accounting,24,93-107。  new window
6.Campbell, B.、Dufour, J. M.(1997)。Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter。International Economic Review,38,151-173。  new window
7.Chang, K. P.、Ting, K. S.(2000)。A Variance Ratio Test of the Random Walk Hypothesis for Taiwan’s Stock Market。Applied Financial Economics,10(5),525-532。  new window
8.Copper, J. C. B.(1983)。The Korean Stock Exchange: A Qualitative and Quantitative Assessment。The Investment Analyst,70,5-12。  new window
9.Hochberg, Y.(1974)。Some Generalizations of T-method in Simultaneous Inference。Journal of Multivariate Analysis,4,224-234。  new window
10.Huang, Bwo-Nung(1995)。Do Asian Stock Market Prices Follow Random Walks? Evidence from the Variance Ratio Test。Applied Financial Economics,5(4),251-256。  new window
11.Hurst, H.(1951)。Long Term Storage Capacity of Reserviors。Transactions of the American Society of Civil Engineers,116,770-799。  new window
12.Kawakatsu, H.、Morey, M. O.(1999)。An Empirical Examination of Financial Liberalization and the Efficiency of Emerging Market Stock Prices。Journal of Financial Research,22,385-411。  new window
13.Kim, J. H.、Shamsuddin, A.(2007)。Are Asian Stock Markets Efficient? Evidence from new Multiple Variance Ratio Tests。Journal of Empirical Finance。  new window
14.Lee, C. F.(2001)。Stock Returns and Volatility on China's Stock Markets。Journal of Financial Research,24,523-543。  new window
15.Lima, E. J. A.、Tabak, B. B.(2004)。Test of the Random Walk Hypothesis for Equity Markets: Evidence from China, Hong Kong and Singapore。Applied Economics Letters,11,255-258。  new window
16.Lo, A. W.、Mackinlay, A. C.(1989)。The Size and Power Variance Ratio test in Finite Samples: A Monte Carlo Investigation。Journal of Econometrics,40,203-238。  new window
17.Luger, R.(2003)。Exact Non-parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroskedasticity。Journal of Econometrics,115,259-276。  new window
18.Ryoo, H. J.、Smith, G.(2002)。Korean Stock Prices under Price Limits: Variance Ratio Tests of Random。Walks, Applied Financial Economics,12(8),545-553。  new window
19.Wright, J. H.(2000)。Alternative Variance-ratio Tests using Ranks and Signs。Journal of Business & Economic Statistics,18(1),1-9。  new window
20.Evans, T.。Efficiency Tests of the UK Financial Futures Markets and the Impact of Electronic Trading System。Applied Financial Economics,16,1273-1283。  new window
21.Lo, A. W.(1991)。Long-term memory in stock market prices。Econometrica,59(5),1279-1313。  new window
22.Jarque, C. M.、Bera, A. K.(1987)。A Test for Normality of Observations and Regression Residuals。International Statistical Review,55(2),163-172。  new window
23.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
24.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
25.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
26.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
27.Chow, K. V.、Denning, K. C.(1993)。A Simple Multiple Variance Ratio Test。Journal of Econometrics,58,385-401。  new window
28.Liu, C. Y.、He, J.(1991)。A Variance-Ratio Test of Random Walks in Foreign Exchange Rates。The Journal of Finance,46(2),773-785。  new window
研究報告
1.Belaire-Franch, J.、Contreras, D.(2004)。Ranks and Signs-based Multiple Variance Ratio Tests。University of Valencia。  new window
學位論文
1.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
2.陳淑容(1993)。中、日、港、新四國股市弱式效率市場假說檢定(碩士論文)。淡江大學。  延伸查詢new window
3.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
 
 
 
 
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