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題名:多頭、空頭與盤整市場臺股指數期貨價格調整係數之比較
書刊名:臺灣期貨與衍生性商品學刊
作者:雷立芬曾振楠
作者(外文):Lei, Li-fenTseng, Cheng-nan
出版日期:2011
卷期:12
頁次:頁92-108
主題關鍵詞:指數期貨價格調整係數多頭市場空頭市場盤整市場lndex futuresPrice adjustment coefficientARMABull marketBear marketConsolidate market
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:0
  • 點閱點閱:28
期刊論文
1.Koutomos, G.、Tucker, M.(1996)。Temporal Relationship and Dynamic Interactions between Spot and Futures Stock Market。Journal of Futures Markets,16(1),55-69。  new window
2.Damodaran, A,(1993)。A Simple Measure of Price Adjustment Coefficients。The Journal of Finance,48(1),387-400。  new window
3.Najand, M.、Yung, K.(1991)。A GARCH Examination of the Relationship between Volume and Price Variability in Futures Markets。Journal of Futures Markets,11(5),465-478。  new window
4.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
5.Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica,41(1),135-155。  new window
6.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
7.Amihud, Y.、Mendelson, H.(1987)。Trading Mechanisms and Stock Returns: An Empirical Investigation。The Journal of Finance,42(3),533-553。  new window
8.Koutmos, Gregory(1998)。Asymmetries in the Conditional Mean and the Conditional Variance: Evidence from Nine Stock Markets。Journal of Economics and Business,50(3),277-290。  new window
9.Brown, K. C.、Harlow, W. V.、Ticnic, S. M.(19881200)。Risk Aversion, Uncertain Information, and Market Efficiency。Journal of Financial Economics,22(2),355-385。  new window
10.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
11.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
12.Fabozzi, Frank J.、Francis, Jack C.(1977)。Stability tests for alphas and betas over bull and bear market conditions。Journal of Finance,32(4),1093-1099。  new window
13.Chou, R. Y.(2005)。Forecasting financial volatilities with extreme values: the conditional autoregressive range (CARR) Model。Journal of Money, Credit and Banking,37(3),561-582。  new window
14.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
15.葉政宜、雷立芬(2006)。臺灣股票市場多空頭調整過程差異之研究。臺灣銀行季刊,57(4),251-258。new window  延伸查詢new window
16.蔡垂君、李存修(2004)。臺灣股價指數與指數期貨跨市場價量訊息傳遞關係之實證研究—價格發現與價量關係。中華管理評論,7(3),46-62。  延伸查詢new window
17.Fabozzi, F. J.、Francis, J. C.(1979)。Mutual Fund Systematic Risk tor Bull and Bear Markets: An Empirical Examination。Journal of Finance,34(1),243-250。  new window
18.Liu, S.-M.、Thompson, S. R.(1990)。The Price-Adjustment Process and Efficiency of Grain Futures Markets Implied by Return Series of Various Time Intervals。Review of Futures Markets,10,16-42。  new window
19.Anotonoios, A.、Holmes, P.(1995)。Futures Trading and Spot Price Volatility: Evidence for FTSE-100 Stock Index Futures Contract Using GRACH。Journal of Banking and Finance,19,117-129。  new window
20.Bessembinder, H.、Seguin, P.(1992)。Futures Trading Activities and Stock Return Volatility。Journal of Finance,51,2015-2034。  new window
21.Bhardwaj, R. K.、Brooks, L. D.(1993)。Dual Betas from Bull and Bear Markets : Reversal of the Size Effects。The Journal of Financial Research,16,269-283。  new window
22.Theobald, M.、Yallup, P.(1996)。Measuring Cash Futures Temporal Effects in the U.K. Using Partial Adjustment Factors。Journal of Banking,20,1500-1530。  new window
23.Chou, H. C.、Wang, D.(2007)。Estimating and Forecasting Volatility of the Stock Indices Using Conditional Autoregressive Range (CARR) Model。International Research Journal of Finance and Economics,41,135-159。  new window
24.De Bondt, W. F. M.、Thaler, R. H.(1985)。Dose The Stock Market Overreact?。Journal of Finance,40(3),793-808。  new window
學位論文
1.趙依仁(2004)。不同期間財務比率與臺灣股票市場價格調整過程之研究。國立臺北大學。  延伸查詢new window
圖書
1.Box, George E. P.、Jenkins, Gwilym M.(1970)。Time Series Analysis: Forecasting and Control。Holden-Day。  new window
其他
1.臺灣經濟新報資料庫,http://www.tej.com.tw/twsite/。  延伸查詢new window
 
 
 
 
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