期刊論文1. | 鄭高輯、林泉源(2010)。投資人情緒對投機型股票報酬之影響。商略學報,2(1),21-35。 延伸查詢![new window](/gs32/images/newin.png) |
2. | 張巧宜、林鴻儒(20100300)。多空市場之股價指數報酬風險值研究。商管科技季刊,11(1),77-107。 延伸查詢![new window](/gs32/images/newin.png) |
3. | Baker, Malcolm、Wurgler, Jeffrey(2000)。The equity share in new issues and aggregate stock returns。Journal of Finance,55(5),2219-2257。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
4. | 許溪南、郭玟秀、鄭乃誠(20050900)。投資人情緒與股價報酬波動之互動關係:臺灣股市之實證。臺灣金融財務季刊,6(3),107-121。 延伸查詢![new window](/gs32/images/newin.png) |
5. | Dennis, P.、Mayhew, S.(2002)。Risk-neutral Skewness: Evidence from Stock Options。Journal of Financial and Quantitative Analysis,37,471-493。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Chan, S. Y.、Fong, W. M.(2004)。Individual Investors' Sentiment and Temporary Stock Price Pressure。Journal of Business Finance and Accounting,31(5/6),823-836。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | Giot, P.(2005)。Relationships between implied volatility indexes and stock index returns: Are implied volatility indexes leading indicators?。Journal of Portfolio Management,31(3),92-100。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Kim, M. K.、Zumwalt, J. K.(1979)。An analysis of risk in bull and bear Markets。Journal of Financial and Quantitative Analysis,14(5),1015-1025。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Brown, G. W.、Cliff, M. T.(2005)。Investor Sentiment and Asset Valuation。Journal of Business,78(2),405-440。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Simon, D. P.、Wiggins, R. A. III(2001)。S&P futures and contrary sentiment indicators。Journal of Futures Markets,21(5),447-462。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Shalen, Catherine T.(1993)。Volume, volatility, and the dispersion of beliefs。Review of Financial Studies,6(2),405-434。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
12. | Lee, Y. W.、Song, Z.(2003)。When do value stocks outperform growth stocks-investor sentiment and equity style rotation strategies。Journal of Economic Literature,11(14),1-31。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | 黃玉娟、徐守德(19970000)。臺股指數現貨與期貨市場價格動態關聯性之研究。證券市場發展,9(3)=35,1-28。 延伸查詢![new window](/gs32/images/newin.png) |
14. | Iihara, Yoshio、Kato, Kiyoshi、Tokunaga, Toshifumi(1996)。Intraday Return Dynamics between the Cash and the Futures Markets in Japan。Journal of Futures Markets,16(2),147-162。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Whaley, R. E.(1993)。Derivatives on Market Volatility: Hedging Tools Long Overdue。The Journal of Derivatives,1(1),71-84。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | Calvet, L.、Campbell, J. Y.、Sodini, P.(2006)。Household finance。Journal of Finance,61(4),1553-1604。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | 王凱立、郭一棟、李昀薇(20081000)。基差變動與臺股日內動態資訊傳遞行為之研究。證券市場發展,20(3)=79,141-178。 延伸查詢![new window](/gs32/images/newin.png) |
18. | Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis,25(4),441-468。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
19. | Chen, N. F.、Cuny, C. J.、Haugen, R. A.(1995)。Stock volatility and the levels of the basis and open interest in futures contracts。The Journal of Finance,50(1),281-300。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
20. | Neal, Robert、Wheatley, Simon M.(1998)。Do Measures of Investor Sentiment Predict Returns?。Journal of Financial and Quantitative Analysis,33(4),523-547。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
21. | Barber, Brad M.、Odean, Terrance(2000)。Trading is hazardous to your wealth: The common stock investment performance of individual investors。The Journal of Finance,55(2),773-806。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
22. | 周賓凰、張宇志、林美珍(20070700)。投資人情緒與股票報酬互動關係。證券市場發展季刊,19(2)=74,153-190。 延伸查詢![new window](/gs32/images/newin.png) |
23. | Baker, Malcolm、Stein, Jeremy C.(2004)。Market liquidity as a sentiment indicator。Journal of Financial Markets,7(3),271-299。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
24. | Clarke, Roger G.、Statman, Meir(1998)。Bullish or Bearish?。Financial Analysts Journal,54(3),63-72。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
25. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
26. | Statman, Meir、Thorley, Steven、Vorkink, Keith(2006)。Investor Overconfidence and Trading Volume。Review of Financial Studies,19(4),1531-1565。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
27. | Baker, Malcolm、Wurgler, Jeffrey(2007)。Investor sentiment in the stock market。Journal of Economic Perspectives,21(2),129-152。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
28. | Brown, Gregory W.、Cliff, Michael T.(2004)。Investor sentiment and the near-term stock market。Journal of Empirical Finance,11(1),1-27。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
29. | Wright, William. F.、Bower, Gordon H.(1992)。Mood effects on subjective probability assessment。Organizational Behavior and Human Decision Processes,52(2),276-291。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
30. | 李顯儀、吳幸姬、王元章(20060200)。機構投資人的買賣行為與公共訊息認知差異之研究。臺灣管理學刊,6(1),105-127。 延伸查詢![new window](/gs32/images/newin.png) |
31. | 姚蕙芸、梁志民(20040600)。空頭走勢期間臺股股價指數及相關因素之因果關係研究。商管科技季刊,5(2),109-127。 延伸查詢![new window](/gs32/images/newin.png) |
32. | Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。The Journal of Finance,61(4),1645-1680。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
33. | 柏婉貞、黃柏農(20070700)。臺股指數期貨與現貨市場日內報酬波動與交易量非線性行為之研究。經濟研究. 臺北大學經濟學系,43(2),181-208。 延伸查詢![new window](/gs32/images/newin.png) |
34. | 李春安、類惠貞(20080700)。衝擊事件下投資人情緒與股價指數動能之研究。東海管理評論,10(1),1-45。 延伸查詢![new window](/gs32/images/newin.png) |
35. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
36. | 陳振遠、周賢榮、王朝仕(20080100)。投資人情緒風險與新上市公司股票的異常績效--陽光效應之應用。輔仁管理評論,15(1),43-71。 延伸查詢![new window](/gs32/images/newin.png) |
37. | 蔡佩蓉、王元章、張眾卓(20090700)。投資人情緒、公司特徵與臺灣股票報酬之研究。經濟研究. 臺北大學經濟學系,45(2),273-322。 延伸查詢![new window](/gs32/images/newin.png) |
38. | 王友珊(2000)。臺股指數期貨與現貨價格之動態關連性。醒吾學報,23,220-248。 延伸查詢![new window](/gs32/images/newin.png) |
39. | 李命志、吳佩珊、鄭婉秀(2004)。基差訊息運用對避險績效之影響。朝陽商管評論,3(1),101-120。 延伸查詢![new window](/gs32/images/newin.png) |
40. | 徐清俊、王國強(2005)。臺股期貨價格與交易量、到期期間波動反應之研究--GJR-GARCH(1,1)模型之應用。臺灣銀行季刊,56(2),230-244。 延伸查詢![new window](/gs32/images/newin.png) |
41. | 徐清俊、錢怡成(2003)。股價指數期貨與現貨日內價格關聯性之研究。臺灣銀行季刊,54(4),249-268。 延伸查詢![new window](/gs32/images/newin.png) |
42. | 涂惠娟(2007)。臺股指數現貨與期貨動態關係之研究。中州學報,26,105-116。 延伸查詢![new window](/gs32/images/newin.png) |
43. | Malliaris, A. G.、Urrutia, J. L.(1998)。Volume and price relationships: hypothesis and testing for agricultural futures。Journal of Futures Markets,18,53-72。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
44. | Siegel, J. J.(1992)。Equity risk premia, corporate profit forecasts, and investor sentiment around the stock market crash of October 1987。Journal of Business,65,557-570。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
45. | Garvais, S.、Odean, T.(2001)。Learning to be confident。Review of Financial Studie,14,1-27。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
46. | Lee, C. M. C.、Shlerfer, A.、Thaler, R. H.(1991)。Investor sentiment and flosed-4nd fund puzzle。Journal of Finance,46,75-109。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
47. | Vissing-Jorgensen, A.(2004)。Perspectives on behavioral finance: does irrationality disappear with wealth? Evidence from expectations and actions。NBER Macroeconomics Annual,2003。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
48. | Whaley, R. E.(2000)。The investor fear。Journal of Portfolio Management,26,12-17。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
49. | Abhyankar, A. H.(1995)。Return and volatility dynamics in the FTSEJOO stock index and stock index futures markets。Journal of Futures Markets,15,457-488。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
50. | Ferris, Stephen P.、Park, Hun Y.、Park, Kwangwoo(2002)。Volatility, open interest, volume, and arbitrage: evidence from the S&P 500 futures market。Applied Economics Letters,9,369-372。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
51. | Bandopadhyaya, A.、Jones, A. L.(2008)。Measures of investor sentiment: a comparative analysis put-call ratio vs. volatility index。Journal of business & Economics Research,6,27-34。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
52. | Chen, S. N.(1982)。An Examination of Risk Return Relationship in Bull and Bear Markets Using Time-Varying Betas。Journal of Financial and Quantitative Anaiys,17,265-286。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |