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題名:退休基金投資策略與股票市場發展
書刊名:財務金融學刊
作者:毛治文沈中華 引用關係
作者(外文):Mao, Chih-wenShen, Chung-hua
出版日期:2009
卷期:17:3
頁次:頁37-72
主題關鍵詞:退休基金股票市場穩健門檻迴歸模型M估計子Pension fundsStock marketsRobust panel threshold modelROPTMM-estimators
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(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:8
  • 點閱點閱:47
This paper analyzes the impact of pension fund investment management on stock markets using a robust panel threshold model (ROPTM) which combines a panel threshold model with a robust regression model. We use panel data for some OECD countries and Taiwan to test the validity of our propositions. The data is divided into low and high investment regions based on the value of stocks as a percentage of total financial assets of the pension fund. In the high investment region, pension funds have a positive impact on stock markets. Whereas, in the low investment region, the positive impact seems to disappear.
期刊論文
1.Hansen, Bruce E.(1999)。Threshold effects in non-dynamic panels: Estimation, testing, and inference。Journal of Econometrics,93(2),345-368。  new window
2.Rousseeuw, P. J.(1984)。Least median of squares regression。Journal of the American Statistical Association,79(388),871-880。  new window
3.Rousseeuw, P. J.(1983)。Regression techniques with high breakdown point。The Institute of Mathematical Statistics Bulletin,12,155。  new window
4.沈中華、林公韻(20051200)。違約機率預測與極端值。財務金融學刊,13(3),1-32。new window  延伸查詢new window
5.Hansen, B. E.(2000)。Sample splitting and threshold estimation。Econometrica,68(3),575-604。  new window
6.Levine, Ross、Zervos, Sara(1998)。Stock Markets, Banks and Economic Growth。The American Economic Review,88(3),537-558。  new window
7.Feldstein, Martin S.(1974)。Social Security, Induced Retirement, and Aggregate Capital Accumulation。Journal of Political Economy,82(5),905-926。  new window
8.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance,47(2),427-465。  new window
9.黃介良。退休基金的投資策略及其資產配置。公務人員退撫基金季刊,5,2-28。  延伸查詢new window
10.Arnott, R. D.(1985)。The Pension Sponsor's View of Asset Allocation。Financial Analysts Journal,41(5),17-19+22-23。  new window
11.Barro, R. J.。Are Government Bonds Net Wealth。Journal of Political Economy,82,1095-1117。  new window
12.Barro, R. J.、MacDonald, G. M.。Social Security and Consumer Spending in an International Cross Section。Journal of Public Economics,11,275-289。  new window
13.Black, F.。The Tax Consequences of Long Run Pension Policy。Financial Analysis Journal,25-31。  new window
14.Bodie, Z.。Pensions as Retirement Insurance。Journal of Economic Literature,28(1),28-49。  new window
15.Boyd, J. H.、Ross L.、Smith, B. D.。The Impact of Inflation on Financial Sector Performance。Journal of Monetary Economics,47(2),221-248。  new window
16.Catalan, M.、Impavido G.、Musalem, A. R.。Contractual Savings or Stock Market Development: Which Leads?。Journal of Applied Social Science Studies,120(3),445-487。  new window
17.Connolly, R. A.。An Examination of the Robustness of the Weekend Effect。Journal of Financial and Quantitative Analysis,24(2),133-169。  new window
18.Cornell, B.、Dietrich, J. K.。Mean-absolute-Deviation Versus Least-squares Regression Estimation of Beta Coefficients。Journal of Financial and Quantitative Analysis,13,123-131。  new window
19.Demirguc-Kunt, A.、Levine, R.。Stock Market Development and Financial Intermediaries: Stylized Facts。World Bank Economic Review,10,291-321。  new window
20.Feldstein, M.(1982)。Social Security and Private Saving: Reply。Journal of Political Economy,90(3),630-642。  new window
21.Feldstein, M.、Ranguelova, E.。Individual Risk in an Investment-based Social Security System。The American Economic Review,91(4),1116-1125。  new window
22.Huber, P. J.(1973)。Robust Regression: Asymptotics, Conjectures and Monte Carlo。Annual of Statistics,1(5),799-821。  new window
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24.Sharpe, W. F.、Lawrence, G. T.。Liabilities - A New Approach。Journal of Portfolio Management,16,5-10。  new window
25.Tepper, I.。Taxation and Corporate Pension Policy。Journal of Finance,1-13。  new window
26.Treynor, J.。The Principles of Corporate Pension Finance。Journal of Finance,627-638。  new window
會議論文
1.邱顯比。我國退休基金委託經營方式之研究。  延伸查詢new window
研究報告
1.Demirguc-Kunt, A.、Levine, R.(1999)。Bank-Based and Market-Based Financial Systems: Cross-Country Comparisons。World Bank。  new window
2.余雪明、何憲章。軍公教退撫基金如何有效管理運用之研究。  延伸查詢new window
3.Feldstein, M.。Social Security and Saving: New Time Evidence。  new window
4.Holzman, R.。The World Bank Approach to Pension Reform。  new window
5.Impavido, G.、Musalem, A. R.。Contractual Savings, Stock and Asset Markets。  new window
6.Impavido, G.、Musalem, A. R.、Tressel, T.。Contractual Savings Institutions and Banks' Stability and Efficiency。  new window
7.Impavido, G.、Musalem, A. R.、Tressel, T.。The Impact of Contractual Savings on Security Markets。  new window
8.Martin, R. D.、Simin, T.。Estimates of Small-Stock Betas Are Often Very Distorted by Outliers。  new window
9.Vittas, D.(1998)。Regulatory Controversies of Private Pension Funds。  new window
10.Vittas, D.(1998)。Institutional Investors and Securities Markets: Which Comes First。  new window
11.Vittas, D.(1999)。Pension Reform and Financial Markets, Central America Reform Project。Cambridge, MA。  new window
12.Vittas, D.(2000)。Pension Reform and Capital Market Development。  new window
13.Vittas, D.、Skully, M.(1991)。Overview of Contractual Savings Institutions。  new window
14.Zhu, A.、Ash, M.、Pollin, R.(2002)。Stock Market Liquidity and Economic Growth: A Critical Appraisal of The Levine/Zervos Model。  new window
圖書
1.Rousseeuw, P. J.、Leroy, A.。Robust Regression and Outlier Detection。Robust Regression and Outlier Detection。New York, NY:John Wiley & Sons。  new window
2.Davis, E. P.。Pension Funds-retirement Income Security and Capital Markets-An International Perspective。Pension Funds-retirement Income Security and Capital Markets-An International Perspective。Oxford, UK。  new window
3.Diamond, P.、Valdes-Prieto, S.。Social Security Reforms。The Chilean Economy: Policy Lessons and Challenges。  new window
4.Logue, D. E.。Managing Corporate Plans。Managing Corporate Plans。  new window
5.Monks, R. A. G.、Minow, N.。Corporate Governance。Corporate Governance。Cambridge, MA。  new window
6.Rousseuw, P. J.、Yohai, V. J.。Robust Regression by Means of S-estimators。Robust and Nonlinear Time Series Analysis。New York, NY。  new window
7.Taylor, L. D.。Estimating by Minimizing the Sum of Absolute Errors。Frontiers in Econometrics。New York, NY。  new window
其他
1.Walker, E.,Lefort, F.(1999)。Pension Reform and Capital Markets: Are There Any (Hard)Links?,Washington, DC。  new window
圖書論文
1.Impavido, G.、Musalem, A. R.、Tressel, T.(2002)。Contractual Savings, Capital Markets, and Firms' Financing Choices。World Bank Economist' Forum。World Bank。  new window
 
 
 
 
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