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題名:產業內股價連動效應及其衍生之投資策略研究
書刊名:財金論文叢刊
作者:胥愛琦 引用關係蕭小芬李勇儀
作者(外文):Hsu, Ai-chiHsiao, Hsiao-fenLi, Yong-yi
出版日期:2008
卷期:9
頁次:頁28-57
主題關鍵詞:Co-movementSemi-arbitrage modelARMA modelMomentum strategy股價連動效應股票
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(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:41
  • 點閱點閱:40
期刊論文
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3.Tan, W. L.、Fock, S. T.(2001)。Coping with Growth Transitions: The Case of Chinese Family Businesses in Singapore。Family Business Review,14(2),123-139。  new window
4.葉銀華(19981200)。家族控股集團與股票報酬共變性之實證研究。臺大管理論叢,9(1),25-49。new window  延伸查詢new window
5.Mok, H. M. K.,、Lam, K.,、Cheung, I. Y. K.(1999)。Family Control and Covariation in Hong Kong’s Common Stock。Journal of Business Finance and Accounting,19(2),277-293。  new window
6.Barberis, N.、Shleifer, A.、Wurgler, J.(2004)。Comovement。Journal of Financial Economics,75(2),283-317。  new window
7.Hsin, C.W.(2004)。A Multilateral Approach to Examining the Comovements among Major World Equity Markets。International Review of Financial Analysis,13,433-462。  new window
8.Iwatsubo, K.、Inagaki, K.(2007)。Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms。Journal of Asian Economics,18,217-236。  new window
9.Johnson, R.、Soenen, L.(2003)。Economic Integration and Stock Market Comovement in the Americas。Journal of Multinational Financial Management,13,85-100。  new window
10.Lau, S. T.、McInish, T. H.(1993)。Co-movements of International Equity Returns: A Comparison of the Pre-and Post-October 19, 1987, Periods。Global Finance Journal,4,1-19。  new window
11.Manaster, S.、Rendleman, R.J.(1982)。Option Price as Predictors of Equilibrium Stock Prices。Journal of Finance,37,1043-1057。  new window
12.Cooper, Michael J.、Dimitrov, Orlin P.、Rau, P. Raghavendra(2001)。A Rose.com by Any Other Name。Journal of Finance,56(6),2371-2388。  new window
13.Rashes, Michael S.(2001)。Massively Confused Investors Making Conspicuously Ignorant Choices (MCI-MCIC)。Journal of Finance,56(5),1911-1927。  new window
14.Newbold, Paul、Granger, Clive W. J.(1974)。Experience with Forecasting Univariate Time Series and the Combination of Forecasts。Journal of the Royal Statistical Society: Series A (General),137(2),131-165。  new window
15.Sing, T. F.、Liow, K. H.、Chan, W.(2002)。Mean Reversion of Singapore Property Stock Price Towards Their Fundamental Values。Journal of Property Investment and Finance,20,374-87。  new window
16.Vijh, Anand M.(1994)。S&P 500 trading strategies and stock betas。Review of Financial Studies,7,215-251。  new window
17.Prowse, S. D.(1990)。Institutional Investment Patterns and Corporate Financial Behavior in the United States and Japan。Journal of Financial Economics,27(1),43-66。  new window
18.Chordia, Taran、Swaminathan, Bhaskaram(2000)。Trading volume and cross-autocorrelations in stock returns。The Journal of Finance,55(2),913-935。  new window
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20.Cherian, J. A.、Weng, W. Y.(1999)。An empirical analysis of directional and volatility trading in options markets。Journal of Derivatives,7(2),53-65。  new window
21.Connolly, Robert、Stivers, Chris、Sun, Licheng(2005)。Stock Market Uncertainty and the Stock-Bond Return Relation。Journal of Financial & Quantitative Analysis,40(1),161-194。  new window
22.Lee, S. B.、Kim, K. J.(1993)。Does the October 1987 crash strengthen the co-movements among national stocks markets?。Review of Financial Economics,3,89-102。  new window
23.Kim, M.、Szakmary, A. C.、Schwarz, T. V.(1999)。Trading costs and price discovery across stock index futures and cash markets。Journal of Futures Markets,19,475-498。  new window
24.Makridakis, S.、Hibon, M.(1997)。ARMA Models and Box-Jenkins Methodology。Journal of Forecasting,16(3),147-163。  new window
25.Arshanapalli, B.、Doukas, J.(1993)。International stock market linkages: Evidence from the pre-and post-October 1987 period。Journal of Banking and Finance,17(1),193-208。  new window
26.Booth, G. G.、So, R. W.、Tse, Y.(1999)。Price Discovery in the German Equity Index Derivatives Markets。The Journal of Futures Markets,19(6),619-643。  new window
27.Abhyankar, A. H.(1995)。Return and Volatility Dynamics in the FT-SE 100 Stock Index Stock Index Futures Market。Journal of Futures Markets,15(4),457-488。  new window
28.Chan, Kalok S.(1992)。A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market。Review of Financial Studies,5(1),123-152。  new window
29.Schoar, A. S.(2002)。Effects of Corporate Diversification on Productivity。Journal of Finance,57(6),2379-2403。  new window
30.Min, Jae Hoon、Najand, Mohammad(1999)。A Further Investigation of the Lead-lag Relationship Between the Spot Market and Stock Index Futures: Early Evidence from Korea。Journal of Futures Markets,19(2),217-232。  new window
31.Johnson, Herb、Chung, Y. Peter、Chan, Kalok(1993)。Why option prices lag stock prices: A trading-based explanation。Journal of Finance,48,1957-1967。  new window
32.Stephan, Jens A.、Whaley, Robert E.(1990)。Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets。Journal of Finance,45(1),191-220。  new window
33.Wahab, Mahmoud、Lashgari, Malek(1993)。Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach。Journal of Futures Markets,13(7),711-742。  new window
34.Ghosh, Asim(1993)。Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model。Journal of Futures Markets,13(7),743-752。  new window
35.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
36.Lai, K. S.、Lai, M.(1991)。A Cointegration Test for Market Efficiency。Journal of Futures Markets,11,567-575。  new window
37.Bhattacharya, M.(1987)。Price Changes of Related Securities: The Case of Call Options and Stocks。Journal of Financial and Quantitative Analysis,22(1),1-15。  new window
38.Moskowitz, Tobias J.、Grinblatt, Mark(1999)。Do Industries Explain Momentum?。The Journal of Finance,54(4),1249-1290。  new window
39.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
40.Claessens, Stijn、Djankov, Simeon、Lang, Larry H. P.(2000)。The Separation of Ownership and Control in East Asian Corporations。Journal of Financial Economics,58(1/2),81-112。  new window
41.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
42.Campa, Jose Manuel、Kedia, Simi(2002)。Explaining the diversification discount。The Journal of Finance,57(4),1731-1762。  new window
43.Heaton, James Brian(2002)。Managerial optimism and corporate finance。Financial Management,31(2),33-45。  new window
44.La Porta, Rafael、López-de-Silanes, Florencio、Shleifer, Andrei(1999)。Corporate ownership around the world。Journal of Finance,54(2),471-517。  new window
45.聶建中、林少斌、莊亨懋(20050600)。臺灣半導體上、中、下游產業股價指數之連動性探討。臺大管理論叢,15(2),25-41。new window  延伸查詢new window
46.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
47.王凱立、陳美玲(20030600)。亞洲金融風暴發生前後美國與臺灣股市動態關聯之進一步研究。經濟論文叢刊,31(2),191-252。new window  延伸查詢new window
48.Claessens, Stijn、Djankov, Simeon、Fan, Joseph P. H.、Lang, Larry H. P.(2002)。Disentangling the Incentive and Entrenchment Effects of Large Shareholdings。The Journal of Finance,57(6),2741-2771。  new window
49.Gomes, Joao、Livdan, Dmitry(2004)。Optimal Diversification: Reconciling Theory and Evidence。Journal of Finance,59(2),507-535。  new window
50.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
51.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
52.Chang, Sea C.、Hong, Jaebum(2000)。Economic performance of group-affiliated companies in Korea: Intragroup resource sharing and internal business transactions。Academy of Management Journal,43(3),429-448。  new window
53.Wu, Yangru、Balvers, Ronald、Gilliland, Erik(2000)。Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies。The Journal of Finance,55(2),745-772。  new window
54.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。  new window
55.Rosenberg, Barr、Reid, Kenneth、Lanstein, Ronald(1985)。Persuasive evidence of market inefficiency。Journal of Portfolio Management,11(3),9-16。  new window
56.Maksimovic, Vojislav、Phillips, Gordon(2002)。Do Conglomerate Firms Allocate Resources Inefficiently across Industries? Theory and Evidence。Journal of Finance,57(2),721-767。  new window
57.Khanna, T.、Yafeh, Y.(2005)。Business groups and risk sharing around the world。Journal of Business,78 (1),301-340。  new window
58.Hatch, B.C.(2003)。The intraday relation between NYSE and CBOE prices。Journal of Financial Research,26,97-113。  new window
研究報告
1.Greenwood R. M.、Sosner, N.(2002)。Trade and the comovement of stockreturns: Evidence from Japan。Harvard University。  new window
學位論文
1.葉雲亮(2000)。台灣電子股指數與NASDAQ股價指數各階動差關聯性之探討(碩士論文)。淡江大學。  延伸查詢new window
2.劉健欣(1999)。臺灣股市與美國股市關連性之實證研究(碩士論文)。淡江大學。  延伸查詢new window
3.楊筆琇(199906)。臺灣電子股指數與美國股價指數互動關係之實證研究(碩士論文)。國立成功大學。  延伸查詢new window
圖書
1.Box, G. E. P.、Jenkins, G. M.、Reinsel, G. C.(1976)。Time Series Analysis: Forecasting and Control。San Francisco:Holden-Day。  new window
 
 
 
 
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