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題名:國安基金干預成效與期貨交易人過度反應
書刊名:財務金融學刊
作者:黃柏凱 引用關係
作者(外文):Huang, Po-kai
出版日期:2011
卷期:19:3
頁次:頁41-80
主題關鍵詞:國安基金正價差逆價差過度反應價格反轉National financial stabilization fundNFSFOverpricingUnderpricingOverreactPrice reversal
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:12
  • 點閱點閱:48
期刊論文
1.劉永欽、洪榮華(20060900)。過度自信與股市交易行為關聯性之實證研究--以國內證券商為例。中山管理評論,14(3),569-603。new window  延伸查詢new window
2.Figlewski, S.(1984)。Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium。Financial Analysts Journal,40,43-47。  new window
3.Modest, D. M.、Sundaresan, M.(1983)。The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence。Journal of Futures Markets,3(1),15-41。  new window
4.Klemkosky, R. C.、Lee, J. H.(1991)。The Intraday Ex Post and Ex Ante Profitability of Index Arbitrage。Journal of Futures Markets,11(3),291-311。  new window
5.黃彥聖、姜清海、柯美珠(19991200)。漲跌幅限制下均衡價格的估計與過度反應假說之檢定。中國財務學刊,7(3),27-59。new window  延伸查詢new window
6.Gay, G. D.、Jung, D. Y.(1999)。A Further Look at Transaction Costs, Short Sale Restrictions, and Futures Market Efficiency: The Case of Korean Stock Index Futures。The Journal of Futures Markets,19(2),153-174。  new window
7.Mackinlay, A. C.、Ramaswamy, K.(1988)。Index-futures arbitrage and the behavior of stock index futures prices: some preliminary evidence。The Journal of Futures Markets,1(2),137-158。  new window
8.Yadav, Pradeep K.、Pope, Peter F.(1994)。Stock index futures mispricing: profit opportunities or risk premia?。Journal of Banking & Finance,18(5),921-953。  new window
9.Summers, Lawrence H.(1986)。Does the Stock Market Rationally Reflect Fundamental Values?。Journal of Finance,41(3),591-602。  new window
10.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
11.De Bondt, Werner F. M.、Thaler, Richard H.(1987)。Further Evidence on Investor Overreaction and Stock Market Seasonality。The Journal of Finance,42(3),557-581。  new window
12.White, Halbert L. Jr.(1980)。A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity。Econometrica: Journal of the Econometric Society,48(4),817-838。  new window
13.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。  new window
14.Fung, Alexander Kwok-Wah、Lam, Kin(2004)。Overreaction of index futures in Hong Kong。Journal of Empirical Finance,11(3),331-351。  new window
15.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
16.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
17.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
18.Howe, John S.(1986)。Evidence on stock overreaction。Financial Analysis Journal,42,74-77。  new window
19.Hsu, Kuang-Hua、Chen, Wen-Hua、Huang, Char-Huey(2004)。Evidence on the overconfidence hypothesis in Taiwan Stock Market。Review of Securities and Futures Markets,16,115-152。  new window
20.Huang, Po-Kai、Tzang, Dah-Nein、Ho, Chia-Cheng、Chang, Yuan-Chen(2006)。An analysis of the National Financial Stabilization Fund’s intervention in Taiwan’s stock and futures markets。Journal of Management,23,125-147。  new window
21.Huang, Po-Kai、Chang, Yuan-Chen、Tzang, Dah-Nein(2004)。The determinants of mispricing of index futures contracts: The case of Taiwan stock index futures。Review of Securities and Futures Markets,16,81-114。  new window
22.Liang, Youguo、Mullineaux, Donald J.(1994)。Overreaction and reverse anticipation: Two related puzzles?。Journal of Financial Research,17,31-43。  new window
23.Lin, Wen-Jenq、Tzang, Dah-Nein(1996)。The pricing and arbitrage practice analysis of Taiwan’s stock index futures。Review of Securities and Futures Markets,8,1-31。  new window
24.Liu, Yong-Chin(2008)。Do stock prices overreact following share repurchase announcements? A perspective of overconfidence and self-attribution bias。Review of Securities and Futures Markets,20(4),39-86。  new window
25.Si, Wen-Ming(1994)。The investigation about the relation between the overreaction in stock market and the risk changing。Review of Securities and Futures Markets,24,1-40。  new window
26.Wang, Yushan,、Chung, Huimin(2005)。The effect on market efficiency of a futures transaction tax reduction and the intervention of the National Financial Stabilization Fund。Taiwan Academy of Management Journal,5,25-56。  new window
圖書
1.Lee, Wen-Shing(2003)。Defeating QFIIs and Blockholders - Winners' Hints for Trading Stocks, Futures, and Options。Taipei。  new window
 
 
 
 
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