臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：國際股市優勢集之選擇及績效評估
書刊名：中山管理評論
作者：徐守德 引用關係／洪政寧
出版日期：1994
卷期：2:2
頁次：頁29-45
主題關鍵詞：國際證券投資；隨機優勢；平均數—變異數方法；International stock investment；Stochastic dominance；Mean-variance method
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:0
  • 點閱點閱:65
　　針對台灣股市暴起暴跌現象，希望透過投資國際證券市場，使效率前緣往外移，以達降低風險、提高報酬之目的。中外學者曾有多人研究比較國際股市，大都採用MV法則，然MV法則假設前提為股價報酬率呈常態分配，根據一些研究顯示，有些股價報酬率不為常態分配，故MV分析實質意義不高。本文以不需常態分自己假設之隨機優勢方法(Stochastic Dominance)分析國際股市，研究在不同風險情況下，哪些國際股市具有投資價值。 　　研究結果為：不同優勢集之篩選標準所獲之關係性為：FSD□JSSD□JTSD□JEMG。
　　This research attempts to adopt a special analysis-Stochastic Dominance to investigate the performance for international stock markets. The results can be summarized as follows: 　　 l. The distributions for most countries do not follow a normal distribution. 　　 2.The relationship for different efficient criteria can be expressed as follows: FSD□JSSD□JTSD□JEMG
期刊論文
1.Whitmore, G. A.(1970)。Third Degree Stochastic Dominance。American Economic Review，60(3)，457-459。  new window
2.Uppal, Raman(1993)。A General Equilibrium Model of International Portfolio Choice。Journal of Finance，48，529-553。  new window
3.Grubel, H. G.、Fadner, K.(1971)。The Interdependence of International Equity Markets。Journal of Finance，26(1)，89-94。  new window
4.Ripley, Duncan M.(1973)。Systematic Elements in the Linkage of National Stock Market Indices。Review of Economics and Statistics，55(3)，356-361。  new window
5.Hanoch, G.、Levy, H.(1969)。The Efficiency Analysis of Choices Involving Risk。The Review of Economic Studies，36，335-346。  new window
6.Errunza, Vihang R.(1983)。Emerging markets -- a new opportunity for improving global portfolio performance。Financial Analysts Journal，39(5)，51-58。  new window
7.Odier, Patrick、Solnik, Bruno(1993)。Lessons for International Asset Allocation。Financial Analysts Journal，49(2)，63-77。  new window
8.Adler, M.、Dumas, B.(1984)。Exposure to Currency Risk: Definition and Measurement。Financial Management，13(2)，41-50。  new window
9.McDonald, John G.(1973)。French Mutual Fund Performance: Evaluation of Internationally Diversified Portfolios。Journal of Finance，1973(Dec.)，1161-1180。  new window
10.Fama, E. F.、Roll, R.(1971)。Parameter estimates for symmetric stable distributions。Journal of American Statistical Association，63，817-836。  new window
11.Theranian, Hassan(1980)。Empirical Studies in Portfolio Performance Using Higher Degrees of Stochastic Dominance。Journal of Finance，35(1)，159-171。  new window
12.Halpern, Philip(1993)。Investing Abroad: A Review of Capital Market Integration and Manager Performance。Journal of Portfolio Management，20，47-57。  new window
13.Grauer, Robert R.、Hakansson, Nils H.(1987)。Gains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds。Journal of Finance，42(3)，721-739。  new window
14.Agmon, Tamir(1973)。Country Risk: The Significance of the Country Factor for Share Price Movements in the U. K., Germany and Japan。Journal of Business，46，24-32。  new window
15.Bey, Roger P.、Home, Keith M.(1984)。Ginis' Mean Difference and Portfolio Selection: An Empirical Evaluation。Journal of Financial and Quantitative Analysis，1984 (Sep.)，329-338。  new window
16.Calderon, P.、Rossell, J. R.(1990)。The Structure and Evolution of World Stock Market。Pacific Basin Capital Market Research，81-100。  new window
17.Chan, K. C.、Gup, B. E.、Pan, M. S.(1992)。An Empirical Analysis of Stock Prices in Major Asia Markets and U. S.。Financial Review，1992 (May)，289-307。  new window
18.Divecha, Arjun B.、Drach, J.、Stefek, Den(1992)。Emerging Markets: A Quantitative Perspective。Journal of Portfolio Management，19(1)，41-50。  new window
19.Eaker, M. R.、Grant, O. M.(1990)。Currency Hedging Strategies for Internationally Diversified Equity Portfolio。Journal of Portfolio Management，1990(Fall)，30-42。  new window
20.Eun, C. S.、Resnick, B. G.(1988)。Exchange Rate Uncertainty, Forward Contract and International Portfolio Selection。Journal of Finance，1988 (Mar.)，197-215。  new window
21.Gmbel, Herbert G.(1968)。Internationally Diversified Portfolio: Welfare Gains and Captial Flows。The American Economic Review，1968(Dec.)，1299-1314。  new window
22.Hadar J.、Russell, W. R.(1964)。Rules for Ordering Uncertain Prospects。American Economic Review，59，25-34。  new window
23.Levy, Haim、Sarnac, Marshall(1984)。Portfolio and Investment Selection: Theory and Practice。Review of Economic Studies，178-218。  new window
24.Madura, J.、Reiff, W.(1985)。A Hedge Strategy for International Portfolio。Journal of Portfolio Management，1985(Fall)，70-75。  new window
25.Okunev, John(1989)。Mean Gini Capital Asset Pricing Model: Some Empirical Evidence。Accounting and Finance，1989(May)，63-72。  new window
26.Okunev, John(1990)。Alternative Measure of Mutual Fund Performance。Journal of Business Finance & Accounting，1990(Spring)，247-264。  new window
27.Philippe, Jorion(1990)。Asset Alloccation with Hedged Unhedged Foreign Stocks and Bonds。Journal of Portfolio Management，1990(Fall)，30-42。  new window
28.Solnik, Bruno H.(1974)。The International Pricing of Risk: A Empirical Investigation of the World Capital Market Structure。Journal of Finance，1974(May)，365-378。  new window
29.Pratt, John W.(1964)。Risk Aversion in the Small and in the Large。Econometrica，32(1/2)，122-136。  new window
30.Yitzhaki, Shlomo(1982)。Stochastic Dominance, Mean Variance and Gini's Mean Difference。American Economic Review，72，178-185。  new window
研究報告
1.Jean, W. H.(1978)。Completely Monotonic Risk Aversion Stochastic Dominance。The University of Alabama。  new window
圖書論文
1.Chan, D.、Leung, R.(1989)。Potfolio Diversification into the Asia Pacific Markets: A Currency Perspective。National University of Singapore。  new window
2.Cheung, R.、Stulz, R.、Yen, S.(1990)。Properties of Daily Stock Returns from the Pacific Basin Stock Markets: Evidence and Implications。Pacific Basin Capital Markets Research。  new window
3.Rhee, S. G.(1990)。An Overview of Equity Markets in Pacific Basin。Pacific Basin Capital Markets Research。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：859（臺灣：837，外國：22） ／ 本年度總使用人次：1972506 ／ 訪客人次（自102年09月）：67788137
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上