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題名:臺灣地區股票市場價量之線性與非線性Granger因果關係之研究
書刊名:證券市場發展季刊
作者:許和鈞劉永欽
作者(外文):Sheu, Her-jiunLiu, Y. C.
出版日期:1996
卷期:8:4=32
頁次:頁23-49
主題關鍵詞:線性Granger因果關係非線性Granger因果關係價量關係Linear granger causalityNonlinear granger causalityRelationship between price and volume
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(6) 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:6
  • 共同引用共同引用:0
  • 點閱點閱:39
期刊論文
1.Jain, P. C.、Joh, G. H.(1988)。The dependence between hourly price and trading volume。Journal of Financial and Quantitative Analysis,23(3),269-284。  new window
2.Akaike, H.(1973)。Markovian representation of stochastic processes and Its application to the analysis of autoregressive moving average process。Annuals of the Institute of Statistical Mathematics,26,363-387。  new window
3.葉銀華(19911100)。臺灣股票市場成交量與股價關係之實證研究--轉換函數模式。臺北市銀月刊,22(11)=266,57-70。  延伸查詢new window
4.Chen, C.、Lee, C. J.(1990)。A VARMA Test on the Gibson Paradox。Review of Economics and Statistics,72,96-107。  new window
5.Lakonishok, J.、Smidt, S.(1989)。Past Price Changes and Current Trading Volume。Journal of Portfolio Management,15(4),18-24。  new window
6.Epps, T. W.、Epps, M. L.(1976)。The Stochastic Dependence of Security Price Changes and Transaction Volume: Implications for The Mixture-of- Distributions Hypothesis。Econometrica,44,305-321。  new window
7.Godfrey, M. D.、Granger, C. W. J.、Morgenstem, O.(1964)。The Random Walk Hypothesis of Stock Market Behavior。Kyklos,17(1),1-30。  new window
8.Harriss, L. E.、Gurel, E.(1986)。Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures。Journal of Finance,41(4),815-829。  new window
9.Jennings, R. H.、Starks, L. T.、Fellingham, J. C.(1981)。An Equilibrium Model of Asset Trading with Sequential Information Arrival。Journal of Finance,36(1),143-161。  new window
10.Pierce, D. A.、Haugh, L. D.(1977)。Causality in temporal systems: characterization and survey。Journal of Econometrics,5,265-293。  new window
11.Copeland, T. E.(1976)。A model of asset trading under the assumption of sequential information arrival。Journal of Finance,31,1149-1168。  new window
12.Sims, C. A.(1972)。Money, Income and Causality。American Economic Review,48,540-552。  new window
13.Tiao, G. C.、Box, G. E. P.(1981)。Modeling Multiple Time Series with Application。Journal of the American Statistical Association,76(376),802-816。  new window
14.De Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Positive Feedback Investment Strategies and Destabilizing Rational Speculation。Journal of Finance,45(2),379-395。  new window
15.Hiemstra, C.、Jones, J. D.(1994)。Testing for linear and nonlinear granger causality in the stock price-volume relation。The Journal of Finance,49(5),1639-1664。  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.Akaike, Hirotsugu(1974)。A new look at the statistical model identification。IEEE Transactions on Automatic Control,19(6),716-723。  new window
研究報告
1.Baek, E.、Brock, W.(1992)。A General Test for Nonlinear Granger Causality: Bivariate Modle。Madison:Iowa State University:University of Wisconsin。  new window
學位論文
1.陳東明(1991)。台灣股票市場價量關係之實證研究(碩士論文)。國立臺灣大學。  延伸查詢new window
2.陳清和(1992)。股票成交量與股票報酬率變異數關係之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
3.徐合成(1994)。臺灣股市股票報酬率與交易量關係之實證研究--GARCH模型之應用(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書
1.EPS/AREMOS台灣地區金融統計資料庫檢索手冊。中央銀行經濟研究處:台灣大學經濟學研究所:財團法人經濟資訊推廣中心。  延伸查詢new window
2.EPS台灣股票市場統計資料庫檢索手冊。教育部電子計算機中心:台灣大學經濟學研究所。  延伸查詢new window
圖書論文
1.Akaike, H.(1974)。Canonical Correlations Analysis of Time Series and the Use of an Information Criterion。Advances and Case Studies in System Identification。New York:Academic Press。  new window
 
 
 
 
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