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題名:股價均值回歸與臺灣飼料產業的投資策略:2007.1~2016.5
書刊名:管理資訊計算
作者:練有為鄭素珍 引用關係
作者(外文):Lan, Yu-weiCheng, Suh-jan
出版日期:2016
卷期:5:特刊1
頁次:頁142-157
主題關鍵詞:均值回歸程式交易Granger因果檢定效率市場飼料產業Mean reversionProgram tradingGranger casualty testEfficient marketFeed industry
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:5
期刊論文
1.Watson, Mark W.、Stock, James H.、Sims, Christopher A.(1990)。Inference in Linear Time Series Models with Some Unit Roots。Econometrica,58(1),113-144。  new window
2.Cutler, David M.、Poterba, James M.、Summers, Lawrence H.(1991)。Speculative Dynamics。The Review of Economic Studies,58(3),529-546。  new window
3.Granger, C. W. J.(1969)。Investigating causal relations by econometric model and cross-spectral methods。Econometrica,37(3),24-36。  new window
4.Granger, C. W. J.(1988)。Some Recent Development in the Concept of Causality。Journal of Econometrics,39(1/2),199-211。  new window
5.Lan, Yu-Wei、Lin, Dan、Lin, Lu(2015)。Cointegration analysis of tourism demand by mainland China in Taiwan and stock investment strategy。Journal of Economic and Financial Studies,3(5),1-9。  new window
6.Brown, K. C.、Van Harlow, W.(1988)。Market Overreaction: Magnitude and Intensity-- Surprising Asymmetries Exist in Both Direction and Time。The Journal of Portfolio Management,14(2),6-13。  new window
7.Shiller, Robert J.(1979)。The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure。Journal of Political Economy,87(6),1190-1219。  new window
8.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics,49(3),307-343。  new window
9.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。  new window
10.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
11.Fama, Eugene F.、French, Kenneth R.(1988)。Dividend Yields and Expected Stock Returns。Journal of Financial Economics,22(1),3-25。  new window
12.Daniel, Kent D.、Hirshleifer, David A.、Subrahmanyam, Avanidhar(1998)。Investor Psychology and Security Market under- and Overreactions。The Journal of Finance,53(6),1839-1885。  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.LeRoy, Stephen F.、Porter, Richard D.(1981)。The Present-Value Relation: Tests Based on Implied Variance Bounds。Econometrica,49(3),555-574。  new window
15.Poterba, James M.、Summers, Lawrence H.(1988)。Mean Reversion in Stock Prices: Evidence and Implications。Journal of Financial Economics,22(1),27-59。  new window
研究報告
1.Bremer, M. A.、Sweeney, R. J.(1988)。The Information Content of Extreme Negative Rates of Return。Claremont McKenna College。  new window
圖書
1.Thaler, Richard H.(1992)。The Winner's Curse: Paradoxes and Anomalies of Economic Life。New York:The Free Press。  new window
2.Williams, Larry(1999)。Long-term Secrets to Short-term Trading。John Wiley & Sons。  new window
3.Murphy, J. J.(1986)。Technical Analysis of Futures Markets。New York:Routledge。  new window
 
 
 
 
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