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題名:臺股指數期貨與摩根臺股指數期貨之市場效率性檢定及漲跌幅限制的影響
書刊名:期貨與選擇權學刊
作者:黃健銘 引用關係蘇欣玫張惠雅
作者(外文):Huang, Chien-mingWu, Hsin-meiChang, Hui-ya
出版日期:2009
卷期:2:2
頁次:頁91-108
主題關鍵詞:漲跌幅制度變異數比率市場效率性事件研究Price limitsMarket efficiencyVariance ratio testInformation transmission
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:11
  • 點閱點閱:23
期刊論文
1.張志向、謝松霖(20050900)。臺灣股市漲跌幅限制之績效:價格發現與基本面價值。亞太經濟管理評論,9(1),109-127。new window  延伸查詢new window
2.Ma, Christopher K.、Rao, Ramesh P.、Sears, R. Stephen(1989)。Volatility, price resolution, and the effectiveness of price limits。Journal of Financial Services Research,3(2/3),165-199。  new window
3.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
4.Figlewski, S.(1984)。Margins and Market Integrity: Margin Setting for Stock Index Futures and Options。Journal of Futures Markets,4(3),385-416。  new window
5.Telser, L. G.(1981)。Margins and Futures Contracts。The Journal of Futures Markets,1(2),127-152。  new window
6.Coursey, D. L.、Dyl, E. A.(1990)。Price limits, Trading suspensions and the Adjustment of Price to new information。Review of Future Markets,9(2),342-360。  new window
7.Kim, Kenneth A.、Rhee, S. Ghon(1997)。Price Limit Performance: Evidence From the Tokyo Stock Exchange。Journal of Finance,52(2),885-901。  new window
8.Lee, S. B.、Kim, K. J.(1995)。The Effect of Price Limits on Stock Price Volatility: Empirical Evidence in Korea。Journal of Business Finance and Accounting,22(2),257-267。  new window
9.Greenwald, B. C.、Stein, J. C.(1991)。Transactional Risk, Market Crashes, and the Role of Circuit Breakers。Journal of Business,64(4),443-462。  new window
10.Arak, M.、Cook, R. E.(1997)。Do Daily Price Limits Act as Magnets? The case of Treasury Bond Futures。Journal of Financial Services Research,12(1),5-20。  new window
11.周賓凰、吳壽山(19981000)。漲跌幅限制之再探討。中國財務學刊,6(2),19-48。new window  延伸查詢new window
12.薛立言、陳獻儀(20040600)。漲跌幅限制變化對投資人預期之影響。臺大管理論叢,14(2),179-196。new window  延伸查詢new window
13.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
14.Ayadi, O. F., and C. S. Pyun,(1994)。“An Application of Variance Ratio Test to the Korean Securities Market,”。Journal of Banking and Finance,18,643-658。  new window
15.Brennan, M. E.,(1986)。“A Theory of Price Limits in Future Markets,”。Journal of Financial Economics,16,213-233。  new window
16.Chang, K. P., and K. S. Ting,(2000)。“A Variance Ratio Test of the Random Walk Hypothesis for Taiwan’s Stock Market,”。Applied Financial Economics,10,525-532。  new window
17.Christie, W. G.、Corwin, S. A.、Harris, J. H.(2002)。Nasdaq Trading Halts: the Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs。Journal of Finance,57(3),1443-1478。  new window
18.Hoque, H., J. H. Kim, and C. S. Pyun,(2007)。“A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets,”。International Review of Economics and Finance,16,488–502。  new window
19.Ma, C. K., R. P. Rao, and R. S. Sears,(1989)。“Limit Moves and Price Resolution: the Case of the Treasury Bond Futures Market,”。Journal of Futures Markets,9,321-335。  new window
20.Wright, J. H.,(2000)。“Alternative Variance-Ratio Tests Using Ranks and Signs,”。Journal of Business and Economic Statistics,18,1-9。  new window
會議論文
1.張維碩、馬黛(2007)。個股特性對漲跌幅限制措施之影響-ARCH-Jump模式之應用。  延伸查詢new window
圖書論文
1.Fama, E. F.(1989)。Perspectives on October 1987, or What Did We Learn from the Crash?。Black Monday and the Future of Financial Markets。Homewood, IL:Dow Jones-Irwin, Inc.。  new window
 
 
 
 
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