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題名:投資人心理情緒與股價報酬率之相關研究
書刊名:管理科學研究
作者:莫慶文李顯儀 引用關係楊媚帆
作者(外文):Mo, Ching-wenLee, Hsien-yiYang, Mei-fan
出版日期:2016
卷期:10:1
頁次:頁1-23
主題關鍵詞:投資人心理情緒股價報酬STAR模型技術指標Investor sentimentStock returnSTAR modelTechnical index
原始連結:連回原系統網址new window
相關次數:
  • 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:63
  • 點閱點閱:9
期刊論文
1.Chan, K. S.、Tong, H.(1986)。On estimating thresholds in Autoregressive models。Journal of Time Series Analysis,7(3),179-190。  new window
2.Hinich, M. J.、Patterson, D. M.(1985)。Evidence of Nonlinearity in Daily Stock Returns。Journal of Business and Economic Statistics,3(1),69-99。  new window
3.Kumar, Alok、Lee, Charles M. C.(2006)。Retail Investor Sentiment and Return Comovements。Journal of Finance,61(5),2451-2486。  new window
4.Neal, R.、Wheatley, S. M.(1998)。Do Measures of Investor Sentiment Predict Returns?。Journal of Financial and Quantitative Analysis,33(4),523-547。  new window
5.Daniel, Kent D.、Hirshleifer, David、Subrahmanyam, Avanidhar(2001)。Overconfidence, arbitrage, and equilibrium asset pricing。Journal of Finance,56(3),921-965。  new window
6.Teräsvirta, Timo(1994)。Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models。Journal of the American Statistical Association,89(425),208-218。  new window
7.李顯儀、吳幸姬(20071200)。臺灣股票市場共移現象之研究。管理研究學報,7(2),257-283。new window  延伸查詢new window
8.Bohan, James(1981)。Relative Strength : Further Positive Evidence。Journal of Portfolio Management,7(3),36-39。  new window
9.McMillian, D. G.(2005)。Non-linear Dynamics in Interaction Stock Market Returns。Review of Financial Economics,14(1),81-91。  new window
10.Mübariz, H.、Tolga, O.(2008)。Nonlinearities in Emerging Stock Markets: Evidence from Europe's two Largest Emerging Markets。Applied Economics,40(20),2645-2658。  new window
11.Pruitt, Stephen W.、White, R. E.(1988)。The CRISMA Trading System: Who Says Technical Analysis can't beat the Market?。Journal of Portfolio Management,14(3),55-58。  new window
12.Sarantis, N.(2001)。Nonlinearities, Cyclical Behaviour and Predictability in Stock Returns: International Evidence。International Journal of Forecasting,17(3),459-482。  new window
13.王嘉隆、詹淑慧(20051200)。分類迴歸樹於S&P500指數預測之研究。管理科學研究,1(1),141-150。new window  延伸查詢new window
14.李顯儀、吳幸姬(20091200)。技術分析資訊對共同基金從眾行為的影響。臺大管理論叢,20(1),227-260。new window  延伸查詢new window
15.Baker, M.、Wurgler, J.(2000)。The Equity Share in New Issues and Aggregate Stock Returns。The Journal of Finance,55(5),2219-2257。  new window
16.Hirshleifer, D. A.、Shumway, T.(2003)。Good day Sunshine: Stock Returns and the Weather。The Journal of Finance,58(3),1009-1032。  new window
17.Kwon, K. Y.、Kish, R. J.(2002)。A Comparative Study of Technical Trading Strategies and Return Predictability: An Extension of Brock, Lakonishok and LeBaron 1992 Using NYSE and NASDAQ Indices。The Quarterly Review of Economics and Finance,42(3),611-631。  new window
18.Shiller, Robert J.、Kon-Ya, Fumiko、Tsutsui, Yoshiro(1996)。Why did the Nikkei Crash? Expanding the Scope of Expectations Data Collection。Review of Economics and Statistics,78(1),156-164。  new window
19.Taylor, Mark P.、Peel, David A.(2000)。Nonlinear Adjustment, Long-Run Equilibrium and Exchange Rate Fundamentals。Journal of International Money and Finance,19(1),33-53。  new window
20.Teräsvirta, T.、Anderson, H. M.(1992)。Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models。Journal of Applied Econometrics,7(2),119-136。  new window
21.Wermers, R.(1999)。Mutual Fund Herding and Impact on Stock Price。Journal of Finance,54(2),581-622。  new window
22.Ibbotson, Roger G.、Jaffe, Jeffrey F.(1975)。"Hot Issue" Markets。Journal of Finance,30(3),1027-1042。  new window
23.Michael, Panos、Nobay, Robert A.、Peel, David A.(1997)。Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation。Journal of Political Economy,105(4),862-879。  new window
24.Sarantis, Nicholas(1999)。Modeling Non-linearities in Real Effective Exchange Rates。Journal of International Money and Finance,18(1),27-45。  new window
25.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。new window  延伸查詢new window
26.Baker, Malcolm、Stein, Jeremy C.(2004)。Market liquidity as a sentiment indicator。Journal of Financial Markets,7(3),271-299。  new window
27.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics,49(3),307-343。  new window
28.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
29.Fisher, Kenneth L.、Statman, Meir(2000)。Investor Sentiment And Stock Returns。Financial Analysts Journal,56(2),16-23。  new window
30.Statman, Meir(1999)。Behavioral Finance: Past Battles and Future Engagements。Financial Analysts Journal,55(6),18-27。  new window
31.Brown, Gregory W.、Cliff, Michael T.(2004)。Investor sentiment and the near-term stock market。Journal of Empirical Finance,11(1),1-27。  new window
32.Fabozzi, Frank J.、Francis, Jack C.(1979)。Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination。Journal of Finance,34(5),1243-1250。  new window
33.Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。The Journal of Finance,61(4),1645-1680。  new window
34.Lee, Wayne Y.、Jiang, Christine X.、Indro, Daniel C.(2002)。Stock Market Volatility, Excess Returns, and the Role of Investor Sentiment。Journal of Banking & Finance,26(12),2277-2299。  new window
35.Kahneman, Daniel、Tversky, Amos(1979)。Prospect Theory: An Analysis of Decision under Risk。Econometrica: Journal of the Econometric Society,47(2),263-292。  new window
36.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
37.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
38.Campbell, John Y.、Shiller, Robert J.(1998)。Valuation Ratios and the Long-Run Stock Market Outlook。Journal of Portfolio Management,24(2),11-26。  new window
圖書
1.Tong, H.(1983)。Threshold Models in Non-Linear Time Series Analysis。Springer-Verlag。  new window
2.Granger, G. W. J.、Teräsvirta, T.(1993)。Modelling nonlinear economic relationships。Oxford University Press。  new window
3.Franses, P. H.、Van Dijk, D.(2000)。Non-linear Time Series Models in Empirical Finance。Cambridge:Cambridge University Press。  new window
4.Shefrin, H.(2000)。Beyond Greed and Fear: Finance and the Psychology of Investing。Harvard Business School Press。  new window
其他
1.Öcal, N.,Osborn, D.(1997)。Business Cycle Nonlinearities in UK Consumption and Production,School of Economic Studies, University of Manchester。(No.9701)。  new window
 
 
 
 
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