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題名:交易量在預測內部交易機率與技術分析的訊息價值
書刊名:經濟論文
作者:巫和懋許智翔
作者(外文):Wu, Ho-mouHsu, Chih-hsiang
出版日期:2010
卷期:38:2
頁次:頁211-244
主題關鍵詞:內部人交易交易量技術分析Informed tradingTrading volumeTechnical analysis
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(3) 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:3
  • 共同引用共同引用:0
  • 點閱點閱:101
期刊論文
1.Llorente, G.、Michaely, R.、Saar, G.、Wang, J.(2002)。Dynamic Volume-Return Relation of Individual Stocks。Review of Financial Studies,15(4),1005-1047。  new window
2.Easley, D.、Kiefer, N. M.、O'Hara, M.、Paperman, J. B.(1996)。Liquidity, information, and infrequently traded stocks。Journal of Finance,51(4),1405-1436。  new window
3.Brown, David P.、Jenningo, Robert H.(1989)。On Technical Analysis。Review of Financial Studies,2,527-552。  new window
4.Grundy, Bruce D.、Mcnichols, Maureen(1989)。Trade and Revelation of Information Through Prices and Direct Disclosure。Review of financial Studies,2(4),495-526。  new window
5.Kyle, A. S.(1985)。Continuous Auction and Insider Trading。Econometrica,53,1315-1335。  new window
6.Campbell, J. Y.、Grossman, S. J.、Wang, J.(1993)。Trading Volume and Series Correlation in Stock Returns。Quarterly Journal of Economics,108,905-951。  new window
7.Easley, David、O'Hara, Maureen(1992)。Time and the Process of Security Price Adjustment。The Journal of Finance,47(2),577-605。  new window
8.Foster, F. D.、Viswanathan, S.(1995)。Can speculative trading explain the volume-volatility relation?。Journal of Business and Economic Statistics,13(4),379-396。  new window
9.Koski, J.L.、Michaely, R.(2000)。Prices, liquidity, and the information content of trades。Review of Financial Studies,13(3),659-696。  new window
10.Suominen, M.(2001)。Trading volume and information revelation in stock markets。Journal of Financial and Quantitative Analysis,36(4),545-565。  new window
11.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
12.Holden, Craig W.、Subrahmanyam, Avanidhar(1992)。Long-lived Private Information and Imperfect Competition。The Journal of Finance,47(1),247-270。  new window
13.Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。  new window
14.Grossman, Sanford J.、Stiglitz, Joseph E.(1980)。On the Impossibility of Informationally Efficient Markets。The American Economic Review,70(3),393-408。  new window
15.Blume, Lawrence、Easley, David、O'Hara, Maureen(1994)。Market Statistics and Technical Analysis: The Role of Volume。The Journal of Finance,49(1),153-181。  new window
16.Harris, Milton、Raviv, Artur(1993)。Differences of Opinion Make a Horse Race。Review of Financial Studies,6(3),473-506。  new window
17.Holthanse, Robert W.、Verrecchia, Robert E.(1990)。The effect of informedness and consensus on price and volume behavior。The Accounting Review,65(1),191-208。  new window
18.Kim, Oliver、Verrecchia, Robert E.(1991)。Trading Volume and Price Reactions to Public Announcements。Journal of Accounting Research,29(2),302-321。  new window
19.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance,46(2),733-746。  new window
20.Black, F.(1971)。“Toward a Fully Automated Exchange, Part I,”。Financial Analysts Journal,27,29–34。  new window
21.Boehmer, E., J. Gramming, and E. Theissen(2007)。“Estimating the Probability of Informed Trading: Does Trade Misclassification Matter?”。Journal of Financial Markets,10,26–47。  new window
22.Lee, C. and B. Radhakrishna(2000)。“Inferring Investor Behavior: Evidence from TORQ Data,”。Journal of Financial Markets,3,83–111。  new window
23.Theissen, E.(2001)。“A Test of the Accuracy of the Lee/Ready Trade Classification Algorithm,”。Journal of International Financial Markets, Institutions and Money,11,147–165。  new window
24.Wang, J.(1994)。“A Model of Competitive Asset Trading Volume,”。Journal of Political Economy,102,127–168。  new window
研究報告
1.Bernardo, A. E. and K. Judd(1999)。“Volume and Price Formation in an Asset Trading Model with Asymmetric Information,”。  new window
2.Dupont, D.(1997)。Trading Volume and Information Distribution in a Market-Clearing Framework。Federal Reserve Board。  new window
3.Pfleiderer, P.(1984)。The Volume of Trade and Variability of Prices: A Framework for Analysis in Noisy Rational Expectations Equilibria。Stanford University。  new window
 
 
 
 
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