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題名:間接不動產之現貨與期貨市場間的資訊傳遞--以臺灣5檔營建上市股為例
書刊名:住宅學報
作者:陳宜伶王銘駿詹佳縈蔡己生
作者(外文):Chen, Yi-lingWang, Ming-chunChan, Chia-yingTsai, Chi-sheng
出版日期:2021
卷期:30:1
頁次:頁71-101
主題關鍵詞:營建類股投資人注意力價格發現波動外溢效果Construction stockInvestor attentionPrice discoveryVolatility spillover effect
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:73
  • 點閱點閱:8
期刊論文
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3.Bank, Matthias、Larch, Martin、Peter, Georg(2011)。Google Search Volume and its Influence on Liquidity and Returns of German Stocks。Financial Markets and Portfolio Management,25(3),239-264。  new window
4.Da, Zhi、Engelberg, Joseph、Gao, Pengjie(2011)。In Search of Attention。The Journal of Finance,66(5),1461-1499。  new window
5.Vlastakis, Nikolaos、Markellos, Raphael N.(2012)。Information Demand and Stock Market Volatility。Journal of Banking and Finance,36(6),1808-1821。  new window
6.Bohl, M. T.、Salm, C. A.、Schuppli, M.(2011)。Price discovery and investor structure in stock index futures。Journal of Futures Markets,31(3),282-306。  new window
7.蔡怡純、陳明吉(20081200)。臺北地區不動產價格波動之不對稱性探討。住宅學報,17(2),1-11。new window  延伸查詢new window
8.Leung, Charles Ka Yui、Lau, Garion Chi Keung、Leong, Chun Fai Youngman(2002)。Testing alternative theories of the property price-trading volume correlation。Journal of Real Estate Research,23(3),253-264。  new window
9.章定煊(20050600)。上市櫃建設公司土地投資與開發策略對經營績效影響之探討。住宅學報,14(1),41-65。new window  延伸查詢new window
10.Drake, M. S.、Roulstone, D. T.、Thornock, J. R.(2012)。Investor information demand: evidence from Google searches around earnings announcements。Journal of Accounting Research,50(4),1001-1040。  new window
11.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。new window  延伸查詢new window
12.廖偉真、雷立芬(20101200)。不同樣本頻率之股市波動性估計--GARCH、TGARCH與EGARCH之比較。臺灣銀行季刊,61(4),294-307。new window  延伸查詢new window
13.Andrei, Daniel、Hasler, Michael(2015)。Investor Attention and Stock Market Volatility。The Review of Financial Studies,28(1),33-72。  new window
14.Dimpfl, T.、Jank, S.(2016)。Can Internet Search Queries Help to Predict Stock Market Volatility?。European Financial Management,22(2),171-192。  new window
15.Lin, C. B.、Chou, R. K.、Wang, G. H.(2018)。Investor Sentiment and Price Discovery: Evidence from the Pricing Dynamics between the Futures and Spot Markets。Journal of Banking & Finance,90,17-31。  new window
16.Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society,37(3),424-438。  new window
17.林左裕(20190600)。應用網路搜尋行為預測房地產市場。應用經濟論叢,105,219-254。new window  延伸查詢new window
18.Geltner, David Michael、MacGregor, Bryan D.、Schwann, Gregory M.(2003)。Appraisal Smoothing and Price Discovery in Real Estate Markets。Urban Studies,40(5/6),1047-1064。  new window
19.Beracha, E.、Wintoki, M. B.(2013)。Forecasting residential real estate price changes from online search activity。Journal of Real Estate Research,35(3),283-312。  new window
20.Engle, Robert F.(2002)。Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models。Journal of Business & Economic Statistics,20(3),339-350。  new window
21.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
22.Vozlyublennaia, N.(2014)。Investor attention, index performance, and return predictability。Journal of Banking and Finance,41(1),17-35。  new window
23.Chau, K. W.、MacGregor, B. D.、Schwann, G. M.(2001)。Price Discovery in the Hong Kong Real Estate Market。Journal of Property Research,18(3),187-216。  new window
24.Cziraki, P.、Mondria, J.、Wu, T.(2020)。Asymmetric Attention and Stock Returns。Management Science,67(1),48-71。  new window
25.Ding, R.、Hou, W.(2015)。Retail Investor Attention and Stock Liquidity。Journal of International Financial Markets, Institutions & Money,37,12-26。  new window
26.Goddard, J.、Kita, A.、Wang, Q.(2015)。Investor Attention and FX Market Volatility。Journal of International Financial Markets, Institutions and Money,38,79-96。  new window
27.Hoesli, Martin、Reka, Kustrim(2013)。Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets。Journal of Real Estate Financial Economics,47(1),1-35。  new window
28.Hohenstatt, R.、Käsbauer, M.、Schäfers, W.(2011)。"Geco" and Its Potential for Real Estate Research: Evidence from the US Housing Market。Journal of Real Estate Research,33(4),471-506。  new window
29.Lee, M. T.、Kuo, S. H.、Lee, M. L.、Lee, C. L.(2016)。Price Discovery and Volatility Transmission in Australian REIT Cash and Futures Markets。International Journal of Strategic Property Management,20(2),113-129。  new window
30.Miao, H.、Ramchander, S.、Simpson, M. W.(2011)。Return and Volatility Transmission in U.S. Housing Markets。Real Estate Economics,39(4),701-741。  new window
31.Morawski, J.、Rehkugler, H.、Füss, R.(2008)。The Nature of Listed Real Estate Companies: Property or Equity Market?。Financial Markets and Portfolio Management,22(2),101-126。  new window
32.Tao, L.、Song, F. M.(2010)。Do Small Traders Contribute to Price Discovery? Evidence from the Hong Kong Hang Seng Index Markets。Journal of Futures Markets,30(2),156-174。  new window
33.Tse, Y. K.、Tsui, A. K. C.(1997)。Conditional Volatility in Foreign Exchanges Rates: Evidence from the Malaysian Ringgit and Singapore dollar。Pacific-Basin Finance Journal,5,345-356。  new window
34.Weng, Y.、Gong, P.(2017)。On Price Co-Movement and Volatility Spillover Effects in China's Housing Markets。International Journal of Strategic Property Management,21(3),240-255。  new window
35.Xu, F.、Wan, D.(2015)。The Impacts of Institutional & Individual Investors on the Price Discovery in Stock Index Futures Market: Evidence from China。Finance Research Letters,15,221-231。  new window
36.Yavas, A.、Yildirim, Y.(2011)。Price Discovery in Real Estate Markets: A Dynamic Analysis。The Journal of Real Estate Finance and Economics,42(1),1-29。  new window
37.胥愛琦、吳清豐(20030900)。臺灣股市報酬與匯率變動之波動性外溢效果--雙變量EGARCH模型的應用。臺灣金融財務季刊,4(3),87-103。new window  延伸查詢new window
38.陳明吉、郭照榮(20040700)。臺灣營建類股投資績效之長期檢視--直接與間接不動產投資比較分析。管理研究學報,4(2),144-168。new window  延伸查詢new window
39.Chan, Kalok、Chan, K. C.、Karolyi, G. Andrew(1991)。Intraday Volatility in the Stock Index and Stock Index Futures Markets。The Review of Financial Studies,4(4),657-684。  new window
40.Chiang, Raymond、Fong, Wai-Ming(2001)。Relative informational efficiency of cash, futures, and options markets: the case of an emerging market。Journal of Banking and Finance,25(2),355-375。  new window
41.Dhar, Ravi、Zhu, Ning(2006)。Up Close and Personal: An Individual Level Analysis of the Disposition Effect。Management Science,52(5),726-740。  new window
42.Feng, Lei、Seasholes, Mark S.(2005)。Do investor sophistication and trading experience eliminate behavioral biases in financial markets?。Review of Finance,9(3),305-351。  new window
43.Fung, Joseph K. W.、Tse, Yiuman(2008)。Efficiency of single‐stock futures: An intraday analysis。Journal of Futures Markets,28(6),518-536。  new window
44.Goetzmann, William N.、Kumar, Alok(2008)。Equity Portfolio Diversification。Review of Finance,12(3),433-463。  new window
45.Hartzell, David J.、Hekman, John S.、Miles, Mike E.(1987)。Real Estate Returns and Inflation。The Journal of the American Real Estate and Urban Economics Association,15(1),617-637。  new window
46.Hoag, J. W.(1980)。Towards Indices of Real Estate Value and Return。Journal of Finance,35(2),569-580。  new window
47.Shastri, Kuldeep、Thirumalai, Ramabhadran S.、Zutter, Chad J.(2008)。Information revelation in the futures market: Evidence from single stock futures。Journal of Futures Markets,28(4),335-353。  new window
48.Stevenson, S.(2002)。An Examination of Volatility Spillovers in REIT Returns。Journal of Real Estate Portfolio Management,8(3),229-238。  new window
49.Ong, S. E.(1995)。Singapore Real Eestate and Property Stocks: A Co-intergration Test。Journal of Property Research,12(1),29-39。  new window
50.Brounen, Dirk、Eichholtz, Piet M. A.、Kanters, Patrick M.(2000)。The Effects of Property Development Activities on the Performance of REITs。Real Estate finance,16(4),17-22。  new window
會議論文
1.Da, Z.、Engelberg, J.、Gao, P.(2012)。In Search of Fundamentals。  new window
2.Black, F.(1976)。Studies of Stock Price Volatility Changes。The 1976 Meetings of the American Statistical Association, Business and Economics Statistics Section。American Statistical Association。177-181。  new window
3.Lee, C. L.(2009)。Housing Price Volatility and Its Determinants。The 15th Pacific Rim Real Estate Society Conference。  new window
4.Wu, L.、Brynjofesson, E.(2009)。The Future of Prediction: How Google Searches Housing Prices and Quantities。  new window
研究報告
1.Fink, C.、Johann, T.(2014)。May I Have Your Attention, Please: The Market Microstructure of Investor Attention。  new window
 
 
 
 
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