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題名:多國性股價報酬率的統計特性及星期效果研究--自相關條件異質性模型之應用
書刊名:中國財務學刊
作者:黃柏農 引用關係
出版日期:1995
卷期:2:2
頁次:頁43-76
主題關鍵詞:股價報酬率
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(12) 博士論文(2) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:12
  • 共同引用共同引用:17
  • 點閱點閱:33
期刊論文
1.Connolly, Robert A.(1989)。An Examination of the Robustness of the Weekend Effect。The Journal of Financial and Quantitative Analysis,24(2),133-169。  new window
2.Gibbons, Michael R.、Hress, P.(1981)。Day of the Week Effects and Asset Returns。The Journal of Business,54(4),579-596。  new window
3.Lakonishok, Josef、Smidt, Seymour(1988)。Are seasonal anomalies real? A ninety-year perspective。The Review of Financial Studies,1(4),403-425。  new window
4.Hsieh, David A.(1991)。Chaos and nonlinear dynamics: application to financial markets。Journal of Finance,46(5),1839-1877。  new window
5.Woolridge, J. Randall(1982)。The information content of dividend changes。Journal of Financial Research,5(3),237-247。  new window
6.Board, J. L. G.、Sutcliffe, C. M. S.(1988)。The Weekend Effect in UK Stock Market Returns。Journal of Finance and Accounting,15,199-213。  new window
7.French, K. R.(1980)。Stock Returns and Weekend Effect。Journal of Financial Economics,8,55-69。  new window
8.Pettit, R. R.(1972)。Dividend announcements, security performance, and capital market efficiency。Journal of Finance,27(5),993-1007。  new window
9.Schwert, G. William(1989)。Tests for Unit Roots: A Monte Carlo Investigation。Journal of Business and Economic Statistics,7(2),147-159。  new window
10.Hsieh, David A.(1988)。The Statistical Properties of Daily Foreign Exchange Rates: 1974-1983。Journal of International Economics,24,129-145。  new window
11.Jaffe, J.、Westerfield, R.(1985)。Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects。Journal of Financial and Quantitative Analysis,20(2),261-272。  new window
12.Lakonishok, Josef、Levi, Maurice(1982)。Weekend Effects on Stock Returns: A Note。Journal of Finance,37(3),883-889。  new window
13.徐守德(19940700)。A Comparison of Alternative Dividend Forecasting Techniques。中國財務學刊,2(1),33-55。new window  new window
14.Watts, R.(1976)。Comments on 'The Impact of Dividend and Earnings Announcements: A Reconciliation'。The Journal of Business,49(1),97-106。  new window
15.Schwert, G. William(1990)。Stock Volatility and the Crash of '87。Review of Financial Studies,3(1),77-102。  new window
16.Huang, Bwo-Nung、Liu, Yu-Jane、Yang, Chin W.(1994)。A Comparative Study of the Weekend Effects in the United States, British and The Pacific Rim Stock Markets; An Application of the ARCH model。Advances in Pacific Basin Business, Economics and Finance,1,277-290。  new window
17.Bishara, Halim(1989)。Stock Returns and the Weekend Effect in Canada。Akron Business and Economic Review,20,62-71。  new window
18.Kodres, L. E.(1988)。Tests of Unbiasedness in the Foreign Exchange Futures Markets: The Effects of Price Limits。Review of Futures Markets,7,139-166。  new window
19.Engle, Robert F.、Yoo, Byung Sam(1987)。Forecasting and Testing in Co-integrated System。Journal of Econometrics,35,143-159。  new window
20.Calderon-Rossell, J. R.、Ben-Horim, M.(1982)。The Behavior of Foreign Exchange Rates。Journal of International Business Studies,13,99-111。  new window
21.Friedman, D.、Vandersteel, S.(1982)。Short-Run Fluctuations in Foreign Exchange Rates。Journal of International Economics,13,171-186。  new window
22.Pettit, R.(1976)。The Impact of Dividend and Earnings Announcements: A Reconciliation。Journal of Business,49(1),86-96。  new window
23.Resnick, B. G.、Sheikh, A. M.、Song, Yo(1993)。Time Varying Volatilities and Calculation of the Weighted Implied Standard Deviation。Journal of Financial and Quantitative Analysis,28,417-429。  new window
24.Talmor, E.(1981)。Asymmetric information, signaling and optimal corporate financial decisions。Journal of Financial and Quantitative Analysis,16,413-462。  new window
25.Theil, H.(1950)。A Rank-Invariant Method of Linear and Polynomial Regression Analysis。Proc. Kon. Ned. Akad. V. Wetensch. A.,336-392。  new window
26.Tucker, A.、Peterson, D.、Scott, E.(1988)。Tests of the Black-Scholes and Constant Elasticity of Variance Currency Call Option Valuation Models。Journal of Financial Research,11,201-214。  new window
27.Watts, R.(1979)。Comments on 'On the Information Content of Dividends'。Journal of Business,49,81-85。  new window
28.Friedman, B. M.、Kuttner, N. K.(1992)。Money, income, prices and interest rates。American Economic Review,82(3),472-492。  new window
29.黃柏農(19930300)。滯留期數與移動平均項次對ADF與PP單根檢定法的影響--使用Monte Carlo模擬分析。經濟論文,21(1),117-149。new window  延伸查詢new window
30.Fama, Eugene F.、French, Kenneth R.(1988)。Permanent and Temporary Components of Stock Prices。Journal of Political Economy,96(2),246-273。  new window
31.Cochrane, John H.(1988)。How Big is the Random Walk in GNP?。Journal of Political Economy,96(5),893-920。  new window
32.Patell, James M.、Wolfson, Mark A.(1981)。The ex-ante and ex-post price effects of quarterly earnings announcements reflected in option and stock prices。Journal of Accounting Research,19(2),434-458。  new window
33.Watts, Ross(1973)。The Information Content of Dividends。The Journal of Business,46(2),191-211。  new window
34.Keim, Donald Bruce、Stambaugh, Robert F.(1984)。A further investigation of the weekend effect in stock returns。The Journal of Finance,39(3),819-835。  new window
35.Kodres, Laura E.(1993)。Tests of Unbiasedness in the Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heteroscedasticity。The Journal of Business,66(3),463-490。  new window
36.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
37.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
38.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
39.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1007。  new window
40.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
學位論文
1.Shyu, S.(1988)。The Information Content of Dividend Announcement Reflected in Option Prices(博士論文)。University of Alabama。  new window
圖書
1.林炯垚、盛得偉(1988)。股價漲跌幅限制對股市市場機能影響之研究。中華民國証券發展基金會。  延伸查詢new window
2.Theil, H.(1967)。Economics and Information Theory。Chicago:Amsterdam:Rand NcNally:North Holland Publishing Company。  new window
3.Kmenta, Jan(1986)。Elements of econometrics。New York:Macmillan。  new window
單篇論文
1.Diebold, F. X.(1986)。Testing for Serial Correlation in the Presence of ARCH,Univ. of Pennsylvania。  new window
圖書論文
1.Nerlove, M.、Diebold, F.(1990)。Unit roots in economic time series: a selective survey。Advances in Econometrics。Greenwich:JAI。  new window
 
 
 
 
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