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題名:The High-Frequency Responses of China's A-Share Market to Unexpected Monetary Policy Announcements
書刊名:財務金融學刊
作者:盧新生寇明婷
作者(外文):Lu, Xin-shengKou, Ming-ting
出版日期:2014
卷期:22:3
頁次:頁57-71
主題關鍵詞:貨幣政策A股市場高頻反應事件窗口Monetary policyChina's A-share marketHigh frequency responsesEvent windows
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:7
期刊論文
1.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Vega, Clara(2007)。Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets。Journal of International Economics,73,251-277。  new window
2.Basistha, Arabinda、Kurov, Alexander(2008)。Macroeconomic cycles and the stock market's reaction to monetary policy。Journal of Banking and Finance,32(12),2606-2616。  new window
3.Bernanke, Ben S.、Kuttner, Kenneth N.(2005)。What explains the stock market's reaction to Federal Reserve policy?。Journal of Finance,60,1221-1257。  new window
4.Bjørnland, Hilde C.、Leitemo, Kai(2009)。Identifying the interdependence between U.S. monetary policy and the stock market。Journal of Monetary Economics,56,275-282。  new window
5.Bredin, Don、Hyde, Stuart、O'reilly, Gerard、Nitzsche, Dirk(2007)。U.K. stock returns and the impact of domestic monetary policy shocks。Journal of Business, Finance and Accounting,34,872-888。  new window
6.Cook, Timothy、Hahn, Thomas(1989)。The effect of changes in the federal funds target on market interest rates in the 1970s。Journal of Monetary Economics,24,331-351。  new window
7.Demiralp, Selva、Jorda, Oscar(2004)。The response of term rates to announcement。Journal of Money, Credit, and Banking,36,387-405。  new window
8.Ehrmann, Micheal、Fratzscher, Marcel(2005)。Equal size, equal role? Interest rate interdependence between the Euro Area and the United States。Economic Journal,115(506),928-948。  new window
9.Faust, Jon、Rogers, John H.、Wang, Shing-Yi B.、Wright, Jonathan H.(2007)。The high-frequency response of exchange rates and interest rates to macroeconomic announcements。Journal of Monetary Economics,54,1051-1068。  new window
10.Frino, Alex、Hill, Amelia(2001)。Intraday futures market behaviour around major scheduled macroeconomic announcements: Australian evidence。Journal of Banking and Finance,25,1319-1337。  new window
11.Gürkaynaka, Refet S.、Sack, Brian、Swanson, Eric(2005)。Do actions speak loud than words? The response of asset prices to monetary policy, actions and statements。International Journal of Central Banking,1,719-742。  new window
12.Jones, Charles M.、Owen, Lamont、Lumsdaine, Robin L.(1998)。Macroeconomic news and bond market volatility。Journal of Financial Economics,47,315-337。  new window
13.Kim, Suk J.、Sheen, Jeffrey(2000)。International linkages and macroeconomic news effects on interest rate volatility - Australia and the U.S.。Pacific-Basin Finance Journal,8,85-113。  new window
14.Kuttner, Kenneth N.(2001)。Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market。Journal of Monetary Economics,47(3),523-544。  new window
15.Lobo, Bento J.(2002)。Interest rate surprises and stock prices。The Financial Review,37,73-92。  new window
16.Lu, Xinsheng、In, Francis(2006)。Monetary policy, open market operations and New Zealand interest-rate and exchange-rate markets。Journal of Asia Pacific Economy,4,462-481。  new window
17.Lu, Xinsheng、In, Francis、Kou, Mingting(2009)。Monetary policy, open market operations and New Zealand interest-rate and exchange-rate markets。The Economic Record,85,22-28。  new window
18.Piazzesi, Monika(2005)。Bond yields and the Federal Reserve。Journal of Political Economy,113,311-344。  new window
19.Rigobon, Roberto、Sack, Brian(2004)。The impact of monetary policy on asset prices。Journal of Monetary Economics,51,1553-1575。  new window
20.Rosa, Carlo、Verga, Giovanni(2008)。The impact of central bank announcements on asset prices in real time。International Journal of Central Banking,4,175-217。  new window
21.Ederington, Louis H.、Lee, Jae Ha(1993)。How Markets Process Information: News Releases and Volatility。Journal of Finance,48(4),1161-1191。  new window
22.Fleming, M. J.、Remolona, E. M.(1999)。Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information。Journal of Finance,54(5),1901-1915。  new window
23.Rigobon, Roberto、Sack, Brian(2003)。Measuring the reaction of monetary policy to the stock market。Quarterly Journal of Economics,118(2),639-669。  new window
24.Andersen, T. G.、Bollerslev, T.、Diebold, F. X.、Vega, C.(2003)。Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange。The American Economic Review,93(1),38-62。  new window
研究報告
1.Evans, Charles L.、Marshall, David A.(2001)。Economic determinants of the nominal treasury yields curve。  new window
2.Funke, Norbert、Matsuda, Akimi(2002)。Macroeconomic news and stock returns in the United States and Germany。  new window
 
 
 
 
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