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題名:臺股指數期貨市場日內過度反應之研究
書刊名:管理科學研究
作者:郭玫秀陳仁龍楊文誠
作者(外文):Kuo, Wen-hsiuChen, Jen-lungYang, Wen-cheng
出版日期:2010
卷期:6:2
頁次:頁77-89
主題關鍵詞:行為財務理論股價指數期貨過度反應價格反轉動能效應Behavioral finance theoryStock index futuresOverreactionPrice reversalsMomentum effects
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:47
  • 點閱點閱:28
期刊論文
1.Nofsinger, J. R.、Sias, R. W.(1999)。Herding and feedback trading by institutional and individual investors。Journal of Finance,54(6),2263-2295。  new window
2.Hong, H.、Stein, J.C.(1999)。A unified theory of underreaction, momentum trading and overreaction in asset market。Journal of Finance,54(6),2143-2184。  new window
3.Jagadeesh, N.、Titman, S.(1993)。Returns to Buying Winners and Selling Losers: Implication for Market Efficiency。The Journal of Finance,48,65-91。  new window
4.Fabozzi, F. J.、Ma, C. K.、Chittenden, W. T.、Pace, R. D.(1995)。Predicting intraday price reversals。Journal of Portfolio Management,21,42-53。  new window
5.Fischhoff, B.、Slovic, P.、Lichtenstein, S.(1978)。Knowing with uncertainty: the appropriateness of extreme confidence。Journal of Economic Behavior and Organization,14,187-203。  new window
6.Ma, C. K.、Dare, W. H.、Donaldson, D. W.(1990)。Testing rationality in futures markets。Journal of Futures Markets,12,137-152。  new window
7.MacKinlay, A. C.、Ramaswamy, K.(1988)。Index-futures arbitrage and the behaviour of stock index futures prices。Review of Financial Studies,1,137-158。  new window
8.Park, H. Y.、Chen, H. L.、Pierzak, E. F.(1997)。Do stock index futures prices overreact relative to cash prices。Derivatives Quarterly,4,63-71。  new window
9.Ederington, Louis H.、Lee, Jae Ha(1993)。How Markets Process Information: News Releases and Volatility。Journal of Finance,48(4),1161-1191。  new window
10.Ederington, Louis H.、Lee, Jae Ha(1995)。The short-run dynamics of the price adjustment to new information。Journal of Financial and Quantitative Analysis,30(1),117-134。  new window
11.周賓凰、池祥萱、周冠男、龔怡霖(2002)。行為財務學--文獻回顧與展望。證券市場發展季刊,14(2)=54,1-47。new window  延伸查詢new window
12.Cutler, David M.、Poterba, James M.、Summers, Lawrence H.(1991)。Speculative Dynamics。The Review of Economic Studies,58(3),529-546。  new window
13.Wang, C.、Yu, M.(2004)。Trading activity and price reversals in futures markets。Journal of Banking & Finance,28(6),1337-1361。  new window
14.Shefrin, Hersh、Statman, Meir(2000)。Behavioral Portfolio Theory。Journal of Financial and Quantitative Analysis,35(2),127-151。  new window
15.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics,49(3),307-343。  new window
16.Black, Fisher(1986)。Noise。Journal of Finance,41(3),529-543。  new window
17.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
18.Shleifer, Andrei、Summers, Lawrence H.(1990)。The Noise Trader Approach to Finance。Journal of Economic Perspectives,4(2),19-33。  new window
19.Shefrin, Hersh M.、Statman, Meir(1994)。Behavioral capital asset pricing theory。Journal of Financial and Quantitative Analysis,29(3),323-349。  new window
20.Shiller, Robert J.(1981)。Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?。American Economic Review,71(3),421-436。  new window
21.Huang, Y. S.(1998)。Stock market reaction to daily limit moves: Evidence from the Taiwan Stock Exchange。Journal of Business Finance & Accounting,25(3/4),469-483。  new window
22.Shiller, Robert J.(1979)。The Volatility of Long-term Interest Rates and Expectations Models of the Term Structure。Journal of Political Economy,87,1190-1219。  new window
23.Pettengill, G. N.、Jordan, B. D.(1990)。The overreaction Hypothesis, Firm Size, and Stock Market Seasonality。The Journal of Portfolio Management,16,60-64。  new window
24.Chan, Louis K. C.、Jegadeesh, Narasimhan、Lakonishok, Josef(1996)。Momentum Strategies。The Journal of Finance,51,1681-1713。  new window
25.DeBondt, W.、Thaler, R.(1985)。Dose the Stock Market Overreact?。The Journal of Finance,40,793-805。  new window
26.Newey, W.、West, K.(1987)。A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55,703-708。  new window
27.Lakonishok, J.、Shleifer, A.、Vishny, R.(1992)。The Impact of Institutional Trading on Stock Prices。Journal of Financial Economics,32,23-43。  new window
28.Samuelson, P. A.(1965)。Proof that Properly Anticipated Prices Fluctuate Randomly。Industrial Management Review,6,41-49。  new window
29.Fung, Alexander Kwok-Wah、Lam, Kin(2004)。Overreaction of index futures in Hong Kong。Journal of Empirical Finance,11(3),331-351。  new window
30.Fung, Alexander Kwok-Wah、Mok, Debby M.Y.、Lam, Kin(2000)。Intraday price reversals for index futures in U.S. and Hong Kong。Journal of Banking and Finance,24,1179-1201。  new window
31.Gay, Gerald D、Kale, Jayant R.、Kolb, Robert W.、Noe, Thomas H.(1994)。(Micro) Fads in asset prices: Evidence from the futures market。Journal of Futures Markets,14,637-659。  new window
32.Grant, James L.、Wolf, Avner、Yu, Susana(2005)。Intraday price reversals in the US stock index futures market: A 15-year study。Journal of Banking and Finance,29(5),1311-1327。  new window
學位論文
1.江明鴻(1999)。臺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.劉奕宏(1996)。市場過度反應之實證研究(碩士論文)。國立臺灣大學。  延伸查詢new window
 
 
 
 
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