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題名:美國存託憑證與相關變數動態傳遞效果之研究--以中國上市公司為例
書刊名:朝陽商管評論
作者:蘇欣玫黃聖志黃健銘 引用關係陳玉瓏
作者(外文):Su, Hsin-meiHuang, Sheng-shihHuang, Chien-mingChen, Yu-lung
出版日期:2007
卷期:6:2
頁次:頁57-74
主題關鍵詞:香港H股美國存託憑證ARJI模型Hong Kong H-shareADRsARJI model
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(1) 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:26
  • 點閱點閱:55
期刊論文
1.Lieberman, O.、Ben-Zion, U.、Hauser, S.(1999)。A characterization of the price behavior of international dual stocks: an error correction approach。Journal of International Money and Finance,18(2),289-304。  new window
2.黃營杉、李銘章(20050300)。臺灣母公司股票報酬與其ADR報酬間資訊傳遞之研究。東吳經濟商學學報,48,1-32。new window  延伸查詢new window
3.Kutan, A. M.、Zhou, H.(2006)。Determinants of Returns and Volatility of Chinese ADRs at NYSE。Journal of Multinational Financial Management,16(1),1-15。  new window
4.Chang, K. H.、Kim, M. J.(2001)。Jump and Time-Varying Correlations in Daily Foreign Exchange Rates。Journal of International Money and Finance,20(5),611-637。  new window
5.Kim, Harold Y.、Mei, Jianping P.(200112)。What Makes the Stock Market Jump? An Analysis of Political Risk on Hong Kong Stock Returns。Journal of International Money and Finance,20(7),1003-1016。  new window
6.楊聲勇、董澍琦、王澤世、張德立(20050700)。美國存託憑證與其標的股之報酬與波動性的日內動態傳遞研究--以亞洲四小龍為例。經濟與管理論叢,1(2),119-141。new window  延伸查詢new window
7.Chen, S. Y.、Chou, L. C.、Yang, C. C.(2002)。Price Transmission Effect between GDRs and Their Underlying Stocks--Evidence from Taiwan。Review of Quantitative Finance and Accounting,19(2),181-214。  new window
8.Kim, M.、Szakmary, Andrew C.、Mathur, I.(2000)。Price Transmission Dynamics between ADRs and Their Underlying Foreign Securities。Journal of Banking and Finance,24(8),1359-1382。  new window
9.Park, J.、Tavakkol, A.(1994)。Are ADRs a Dollar Translation of Their Underlying Securities? The Case of Japanese ADRs。Journal of International Financial Markets, Institutions, and Money,4,77-87。  new window
10.Wang, S. S.、Rui, O. M.、Firth, M.(2002)。Return and Volatility Behavior of Dually-Traded Stocks: The Case of Hong Kong。Journal of International Money and Finance,21(2),265-293。  new window
11.Karolyi, G. A.、Stulz, R. M.(1996)。Why Do Markets Move Together? An Investigation of U.S.-- Japan Stock Return Co-movement。Journal of Finance,51(3),951-986。  new window
12.林玫吟、王麗娟、楊美瑄、蔡佳何、賴欣愉(20030600)。美國存託憑證與其他價格因素之連動關係--臺積電、聯電之實證研究。真理財經學報,8,51-76。new window  延伸查詢new window
13.Jiang, C. X.(1998)。Diversification with American Depository Receipts: The Dynamics and the Pricing Factors。Journal of Business Finance and Accounting,25,683-699。  new window
14.Alaganare, V. T.、Bhar, R.(2001)。Diversification Gains from American Depositary Receipts and Foreign Equities: Evidence from Australian Stocks。Journal of International Financial Markets, Institutions and Money,11,97-113。  new window
15.Kato, K.、Linn, S.、Schallheim, J.(1991)。Are There Arbitrage Opportunities in the Markets for American Depositary Receipts?。Journal of International Financial Markets, Institutions and Money,1,73-89。  new window
16.Lau, S. T.、Diltz, J. D.(1994)。Stock Returns and the Transfer of Information between the New York and Tokyo Stock Exchanges。Journal of International Money and Finance,13(2),211-222。  new window
17.Chan, W. H.、Maheu, J. M.(2002)。Conditional Jump Dynamics in Stock Market Returns。Journal of Business and Economic Statistics,20(3),377-389。  new window
18.林丙輝、葉仕國(19990900)。臺灣股票價格非連續跳躍變動與條件異質變異之研究。證券市場發展,11(1)=41,61-92。new window  延伸查詢new window
19.Nimalendran, M.(1994)。Estimating the Effects of Information Surprises and Trading on Stock Returns Using a Mixed Jump-Diffusion Model。Review of Financial Studies,7,451-473。  new window
20.Neumark, D.、Tinsley, P. A.、Tosini, S. S.(1991)。After Hours Stock Prices and Post Crash Hangovers。Journal of Finance,46,159-178。  new window
21.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
22.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
23.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
研究報告
1.Jaiswal-Dale, A.、Jithendranathan, T.(2001)。Fluctuating Returns of Dual Listings: Domestic and ADR Markets。University of St. Thomas。  new window
 
 
 
 
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