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題名:臺灣50指數成分股異動對價格與成交量之影響
書刊名:臺灣期貨與衍生性商品學刊
作者:吳依正 引用關係廖永熙
出版日期:2008
卷期:7
頁次:頁138-164
主題關鍵詞:臺灣50指數成分股異常報酬率交易量
原始連結:連回原系統網址new window
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  • 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:0
  • 共同引用共同引用:0
  • 點閱點閱:19
期刊論文
1.Mazouz, K.(2004)。The Effect of CBOE Option Listing on the Volatility of NYSE Traded Stocks: a Time-Varying Variance Approach。Journal of Empirical Finance,11(5),695-708。  new window
2.Lynch, Anthony W.、Mendenhall, Richard R.(1997)。New Evidence on Stock Price Effect Associated with Changes in the S&P 500 Index。The Journal of Business,70(3),351-383。  new window
3.Beneish, M. D.、Gardner, J. C.(1995)。Information costs and liquidity effects from change in the Dow Jones Industrial Average list。Journal of Financial and Quantitative Analysis,30(1),135-157。  new window
4.Chung, R.、Kryzanowski, L.(1998)。Are the market effects associated with revisions to the TSE300 index robust?。Multinational Finance Journal,2(1),1-36。  new window
5.Dianek, Denis、Mcconnell, John J.、Ovtchinnikv, Alexei V.、Yu, Yun(2003)。S &P 500 Index Additions and Earnings Expectation。The Journal of Finance,3(5),1821-1840。  new window
6.Erwin, G. R.、Miller, J. M.(1998)。The Liquidity Effect Associated with Addition of a stock to the S&P500 Index: Evidence from Bid/ask Spreads。The Financial Review,33,131-146。  new window
7.Lamoureux, Christopher, G.、Wansley, James W.(1987)。Market Affects of Changes in the Standard & Poor's 500 Index。Financial Review,22(1),53-69。  new window
8.Woolridge, J. Randall、Chinmoy, Ghosh(1986)。Institutional Trading and Security Prices: The Case of Changes in the Composition of the S&P 500 Index。Journal of Financial Research,9(1),13-24。  new window
9.Dhillon, U.、Johnson, H.(1991)。Changes in the Standard and Poor’s 500 Lists。Journal of Business,64,75-85。  new window
10.Gurel, E.、Harris, L.(1986)。Price and Volume Effects Associated with Changes in the S&P 500 List: New evidence for the Existence of Price Pressure。The Journal of Finance,41(4),815-829。  new window
11.Barber, Brad M.、Lyon, John D.(1997)。Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics。Journal of Financial Economics,43(3),341-372。  new window
12.Shleifer, Andrei(1986)。Do Demand Curves for Stocks Slope Down?。Journal of Finance,41(3),579-590。  new window
研究報告
1.Barontini, R.、Rigamonti, S.(2000)。Stock Index Futhers and the Effect on Cash Market in Italy: Evidence from Change in Index。  new window
2.Deininger, C.、Kaserer, C.、Roos, S.(2000)。Stock price effects associated with index replacement in Germany。  new window
 
 
 
 
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