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題名：衝擊事件下投資人情緒與股價指數動能之研究
書刊名：東海管理評論
作者：李春安 引用關係／類惠貞
作者(外文)：Li, Chun-an／Ley, Huey-jean
出版日期：2008
卷期：10:1
頁次：頁1-45
主題關鍵詞：動能；反應不足；投資人情緒；Granger causality模型；Momentum；Underreaction；Investors sentiment；Granger causality 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(4) 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:4
  • 共同引用共同引用:99
  • 點閱點閱:75
期刊論文
1.Dennis, P. J.、Strickland, D.(2002)。Who Blinks in Volatile Markets, Individuals or Institutions?。Journal of Finance，57(5)，1923-1949。  new window
2.Richards, A. J.(1997)。Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained?。Journal of Finance，52(5)，2129-2144。  new window
3.Froot, Kenneth A.、Dabora, Emil M.(1999)。How Are Stock Prices Affected by the Location of Trade?。Journal of Financial Economics，53(2)，189-216。  new window
4.Ajayi, R. A.、Mehdian, S.、Perry, M. J.(2006)。A Test of US Equity Market Reaction to Surprises in An Era of High Trading Value。Applied Financial Economics，16，461-469。  new window
5.Arbel, A.、Jaggi, B.(1982)。Market Information Assimilation Related to Extreme Daily Price Jumps。Financial Analysts Journal，60-66。  new window
6.許溪南、郭玟秀、鄭乃誠(20050900)。投資人情緒與股價報酬波動之互動關係：臺灣股市之實證。臺灣金融財務季刊，6(3)，107-121。new window  延伸查詢new window
7.Fountas, S.、Segredakis, K. N.(2002)。Emerging Stock Markets Return Seasonalities: The January Effect and the Tax-Loss Selling Hypothesis。Applied Financial Economics，12，291-299。  new window
8.Ho, Y. K.(1990)。Stock Return Seasonality in Asia Pacific Market。Journal of International Financial Management & Accounting，2(1)，47-77。  new window
9.Hvidkjaer, S.(2006)。A Trade-Bassed Analysis of Momentum。Review of Financial Studies，19(2)，457-491。  new window
10.Ising, J.、Schiereck, D.、Simpson, M. W.、Thomas, T. W.(2006)。Stock Returns Following Large 1-Month Declines and Jumps: Evidence of Overoptimism in the German Market。Quarterly Review of Economics and Finance，46，598-619。  new window
11.Larson, S. J.、Madura, J.(2003)。What Drives Stock Price Behavior Following Extreme One-Day Returns。Journal of Financial Research，26，113-127。  new window
12.Lasfer, Ameziane M.、Melnik, Arie、Thomas, Dylan C.(2003)。Short-Term Reaction of Stock Markets in Stressful Circumstances。Journal of Banking and Finance，27，1959-1977。  new window
13.Park, Jinwoo(1995)。A Market Microstructure Explanation for Predictable Variations in Stock Returns following Large Price Changes。Journal of Financial and Quantitative Analysis，30，241-256。  new window
14.Pettengill, G. N.、Edwards, S. M.、Schmitt, D. E.(2006)。Is Momentum Investing a Viable Strategy for Individual Investors?。Financial Services Review，15，181-197。  new window
15.Richards, A. J.(1995)。Comovements in National Stock Market Returns: Evidence Predictability, but Not Cointegration。Journal of Monetary Economics，36(3)，631-655。  new window
16.Sturm, Ray R.(2003)。Investor Confidence and Returns Following Large One-Day Price Changes。Journal of Behavioral Finance，4，201-216。  new window
17.Zhou, C.(1999)。Information Asymmetry and Market Imperfections: Another Solution to the Equity Premium Puzzle。Journal of Financial and Quantitative Analysis，34，445-464。  new window
18.Bowman, R.、Iverson, D.(1998)。Short-Run Overreaction in the New Zealand Stock Market。Pacific-Basin Finance Journal，6(5)，475-491。  new window
19.Bremer, M. A.、Sweeney, R. J.(1991)。The Reversal of Large Stock-Price Decreases。Journal of Finance，46，747-757。  new window
20.Campbell, John Y.、Kyle, Albert S.(1993)。Smart Money, Noise Trading and Stock Price Behaviour。The Review of Economic Studies，60(1)，1-34。  new window
21.Cox, D. R.、Peterson, D. R.(1994)。Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Long-Term Performance。Journal of Finace，49(1)，255-267。  new window
22.Hughen, J. C.、McDonald, C. G.(2005)。Who Are the Noise Traders?。The Journal of Financial Research，28(2)，281-298。  new window
23.Romer, D.(1993)。Rational Asset-Price Movements Without News。American Economic Review，83(5)，1112-1130。  new window
24.Schnusenberg, O.、Madura, J.(2001)。Do U.S. Stock Market Indexes Over-or Underreact?。Journal of Financial Research，24(2)，179-205。  new window
25.Sias, R. W.(1997)。Price Pressure and the Role of Institutional Investors in Closed-End Funds。Journal of Financial Research，20(2)，211-229。  new window
26.Sias, R. W.、Starks, L. T.、Tinic, S. M.(2001)。Is Noise Trader Risk Priced?。Journal of Financial Research，24(3)，311-329。  new window
27.Dierkens, N.(1991)。Information Asymmetry and Equity Issues。Journal of Financial and Quantitative Analysis，26，181-199。  new window
28.Atkins, A. B.、Dyl, E. A.(1990)。Price Reversals, Bid-ask Spreads, and Market Efficiency。Journal of Financial and Quantitative Analysis，25，535-547。  new window
29.Korajczyk, R. A.、Sadka, R.(2004)。Are Momentum Profits Robust to Trading Costs?。Journal of Finance，59(3)，1039-1082。  new window
30.Gultekin, Mustafa N.、Gultekin, N. Bulent(1983)。Stock market seasonality: International Evidence。Journal of Financial Economics，12(4)，469-481。  new window
31.Brown, G. W.(1999)。Volatility, sentiment, and noise traders。Financial Analysts Journal，55(2)，82-90。  new window
32.Datar, V. T.、Naik, N. Y.、Radcliffe, R.(1998)。Liquidity and Stock Returns: An Alternative Test。Journal of Financial Markets，1(2)，203-219。  new window
33.Zarowin, P.(1990)。Size, Seasonality and Stock Market Overreaction。Journal of Financial and Quantitative Analysis，25(1)，113-126。  new window
34.Kahneman, D.、Tversky, A.(1979)。Prospect theory: An analysis of decision under risk。Econometrica，47(2)，263-291。  new window
35.Kumar, Alok、Lee, Charles M. C.(2006)。Retail Investor Sentiment and Return Comovements。Journal of Finance，61(5)，2451-2486。  new window
36.Easley, David、Hvidkjaer, Soeren、O'Hara, Maureen(2002)。Is Information Risk a Determinant of Asset Returns?。The Journal of Finance，57(5)，2185-2221。  new window
37.周賓凰、鍾惠民(19990800)。Formulation versus Holding Horizons, Time Series Predictability and the Performance of Contrarian Strategies。中國財務學刊，7(2)，1-27。new window  new window
38.Falkenstein, Eric G.(1996)。Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings。Journal of Finance，51(1)，111-135。  new window
39.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
40.黃仁甫、劉玉珍(19950700)。臺灣股市交易資訊不對稱之實證研究--VAR模型之應用。中國財務學刊，3(1)，95-117。new window  延伸查詢new window
41.Conrad, Jennifer、Kaul, Gautam(1998)。An Anatomy of Trading Strategies。The Review of Financial Studies，11(3)，489-519。  new window
42.Grundy, B. D.、McNichols, M.(1989)。Trade and the Revelation of Information Through Prices and Direct Disclosure。Review of Financial Studies，2(4)，495-526。  new window
43.Brown, K. C.、Harlow, W. V.、Ticnic, S. M.(19881200)。Risk Aversion, Uncertain Information, and Market Efficiency。Journal of Financial Economics，22(2)，355-385。  new window
44.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
45.Daniel, Kent、Titman, Sheridan(1999)。Market Efficiency in an Irrational World。Financial Analysts Journal，55(6)，28-40。  new window
46.Schiereck, Dirk、De Bondt, Werner、Weber, Martin(1999)。Contrarian and momentum strategies in Germany。Financial Analysts Journal，55(6)，104-116。  new window
47.Nofsinger, John R.、Sias, Richard W.(1999)。Herding and Feedback Trading by Institutional and Individual Investors。The Journal of Finance，54(6)，2263-2295。  new window
48.Chordia, Tarun、Shivakumar, Lakshmanan(2002)。Momentum, Business Cycle, and Time-varying Expected Returns。Journal of Finance，57(2)，985-1019。  new window
49.Lee, Charles M. C.、Swaminathan, Bhaskaran(2000)。Price Momentum and Trading Volume。The Journal of Finance，55(5)，2017-2069。  new window
50.Moskowitz, Tobias J.、Grinblatt, Mark(1999)。Do Industries Explain Momentum?。The Journal of Finance，54(4)，1249-1290。  new window
51.Chuang, Wen-I、Lee, Bong-Soo(2006)。An Empirical Evaluation of the Overconfidence Hypothesis。Journal of Banking and Finance，30(9)，2489-2515。  new window
52.Grossman, Sanford J.、Stiglitz, Joseph E.(1980)。On the Impossibility of Informationally Efficient Markets。The American Economic Review，70(3)，393-408。  new window
53.Lemmon, M.、Portniaguina, E.(2006)。Consumer confidence and asset prices: Some empirical evidence。Review of Financial Studies，19(4)，1499-1529。  new window
54.周賓凰、張宇志、林美珍(20070700)。投資人情緒與股票報酬互動關係。證券市場發展季刊，19(2)=74，153-190。new window  延伸查詢new window
55.Baker, Malcolm、Stein, Jeremy C.(2004)。Market liquidity as a sentiment indicator。Journal of Financial Markets，7(3)，271-299。  new window
56.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics，49(3)，307-343。  new window
57.Black, Fisher(1986)。Noise。Journal of Finance，41(3)，529-543。  new window
58.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
59.Brown, Gregory W.、Cliff, Michael T.(2004)。Investor sentiment and the near-term stock market。Journal of Empirical Finance，11(1)，1-27。  new window
60.Rouwenhorst, K. Geert(1998)。International Momentum Strategies。The Journal of Finance，53(1)，267-284。  new window
61.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics，33(1)，3-56。  new window
62.Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。The Journal of Finance，61(4)，1645-1680。  new window
63.Lee, Wayne Y.、Jiang, Christine X.、Indro, Daniel C.(2002)。Stock Market Volatility, Excess Returns, and the Role of Investor Sentiment。Journal of Banking & Finance，26(12)，2277-2299。  new window
64.Chan, Kalok、Chan, K. C.、Karolyi, G. Andrew(1991)。Intraday Volatility in the Stock Index and Stock Index Futures Markets。The Review of Financial Studies，4(4)，657-684。  new window
65.Badrinath, Swaminathan G.、Wahal, Sunil(2002)。Momentum trading by institutions。The Journal of Finance，57(6)，2449-2478。  new window
66.Grinblatt, Mark、Titman, Sheridan、Wermers, Russ(1995)。Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior。The American Economic Review，85(5)，1088-1105。  new window
67.Womack, Kent L.(1996)。Do Brokerage Analysts' Recommendations Have Investment Value?。The Journal of Finance，51(1)，137-167。  new window
68.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance，48(1)，65-91。  new window
69.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1994)。Contrarian Investment, Extrapolation, and Risk。Journal of Finance，49(5)，1541-1578。  new window
70.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
71.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance，40(3)，793-805。  new window
72.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
73.李春安、羅進水、蘇永裕(20060600)。動能策略報酬、投資人情緒與景氣循環之研究。財務金融學刊，14(2)，73-109。new window  延伸查詢new window
74.Chan, Kalok、Hameed, Allaudeen、Tong, Wilson(2000)。Profitability of Momentum Strategies in the International Equity Markets。Journal of Financial and Quantitative Analysis，35(2)，153-172。  new window
75.Grundy, Bruce D.、Martin, J. Spencer(2001)。Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing。The Review of Financial Studies，14(1)，29-78。  new window
76.Hong, Harrison、Stein, Jeremy C.(1999)。A Unified Theory of Underreaction, Momentum Trading, and Overreacton in Asset Markets。Journal of Finance，54(6)，2143-2184。  new window
77.Jegadeesh, Narasimhan(1990)。Evidence of Predictable Behavior of Security Returns。The Journal of Finance，45(3)，881-898。  new window
會議論文
1.Glaser, M.、Weber, M.(2002)。Momentum and Turnover: Evidence from the German Stock Farket。EFA 2002 Berlin Meetings。  new window
研究報告
1.Ali, A.、Trombley, M. A.(2003)。Short Sales Constraints And Momentum in Stock Returns。SSRN Electronic Library。  new window
2.Koutianoudies, T.、Wang, S.(2002)。Is the January Effect Economically Exploitable? Evidence from Athens Stock Exchange。SSRN Electronic Library。  new window
3.Qiu, L.、Welch, I.(2004)。Investment Sentiment Measures。  new window
4.Rouwenhorst, K. G.(1998)。Local Return Factors and Turnover in Emerging Markets。SSRN Electronic Library。  new window
學位論文
1.江明鴻(2000)。台灣股市短期反應之研究(碩士論文)。國立清華大學。  延伸查詢new window
2.呂立偉(2008)。台股三大法人交易資訊效率性與動能策略之探討(碩士論文)。大葉大學。  延伸查詢new window
3.林淑芬(2006)。投資人情緒與台灣股市動能效應相關性之研究(碩士論文)。雲林科技大學。  延伸查詢new window
4.莊幸雯(2008)。台灣投資人情緒與動能策略研究(碩士論文)。國立東華大學。  延伸查詢new window
5.黃志傑(1995)。公司特性、市場因素與股價報酬中雜訊成份之實證分析(碩士論文)。國立中正大學。  延伸查詢new window
6.蔡憶唐(2003)。台灣股市「反向操作」策略績效探討(碩士論文)。輔仁大學。  延伸查詢new window
圖書
1.Goleman, Daniel、張美惠(1999)。EQ。台北：時報出版社。  延伸查詢new window
2.張春興(1989)。張氏心理學辭典。臺北市：東華書局。  延伸查詢new window
 
 
 
 
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