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題名:The Intraday Seasonality of Taiwan Stock Market
書刊名:證券市場發展季刊
作者:楊踐為 引用關係
作者(外文):Yang, Jack J. W.
出版日期:1997
卷期:9:4=36
頁次:頁117-142
主題關鍵詞:日內效應季節性隨機漫步星期效應IntradaySeasonalityRandom walkDay-of-the-week effect
原始連結:連回原系統網址new window
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  • 點閱點閱:27
     由於分時交易資料的出現,使得「日內效應」之研究得以更為充實完整。所謂「日內效應」指的是股票報酬率並非於每日的任一交易時段均呈相同的走勢,而出現某種系統性的變化。本文以臺灣股市的加權股價指數為研究標的,並以最近一年之每五分鐘交易資料為基礎,探討臺灣股市是否亦有此一「日內效應」現象。研究結果指出:民國八十五年的上半年,每日開盤後的五分鐘,股市總是出現異常的漲升情形,接下來才呈現出隨機漫步現象。同時,本文亦針對「星期效應」之季節性現象探討其成因是否與當日某一分時交易有關,獲得之結論為臺灣股市之異常行為或許與其投資者結構、漲跌幅限及交易機制攸關。
期刊論文
1.Stoll, Hans R.、Whaley, R. E.(1990)。Stock Market Structure and Volatility。Review of Financial Studies,3(1),37-71。  new window
2.Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1(1),3-40。  new window
3.Lockwood, L. J.、Linn, S. C.(1990)。An Examination of Stock Market Return Volatility During Overnight and Intraday Periods 1964-1989。Journal of Finance,45(2),591-601。  new window
4.Aggarwal, Raj、Gruca, E.(1993)。Intraday Trading Patterns in the Equity Options Markets。Journal of Financial Research,16(4),285-297。  new window
5.Amihud, Yakov、Mendelson, Haim(1987)。Trading Mechanisms and Stock Returns: An Empirical Investigation。Journal of Finance,42(3),533-553。  new window
6.Chan, K.、Chan, K. C.、Karolyi, A.(1991)。Intraday Volatility in the Stock Index and Futures Market。Review of Financial Studies,4(4),657-684。  new window
7.Harris, L.(1986)。A Transaction's Data Study of Weekly and Intradaily Patterns in Stock Returns。Journal of Financial Economics,16(1),99-117。  new window
8.Garbade, K. D.、Sekaran, C. P.(1981)。Opening Prices on the New York Stock Exchange。Journal of Banking and Finance,5,345-355。  new window
9.Harris, Lawrenc(1989)。A Day-End Transaction Price Anomaly。Journal of Financial and Quantitative Analysis,24(1),29-45。  new window
10.Cheung, Y. L.(1995)。Intraday Returns and the Day-end Effect: Evidence from the Hong Kong Equity Market。Journal of Business Finance and Accounting,22(7),1023-1034。  new window
11.Jordan, J. V.、Searle, W. E.、Dinehart, S. J.、Kenyon, D. E.(1988)。The Intraday Variability of Soybean Futures Prices。Review of Research in Futures Markets,7,96-108。  new window
12.Ho, Y. K.、Cheung, Y. L.(1991)。Behaviour of Intra-daily Return on an Asian Emerging Market--Hong Kong。Applied Economics,23(5),957-966。  new window
13.Machina, Mark J.(1987)。Choice Under Uncertainty: Problems Solved and Unsolved。Journal of Economics Perspectives,1(1),121-154。  new window
14.Mclnish, T. M.、Wood, R. A.(1990)。A Transaction Data Analysis Variability of Common Stock Returns During 1980-1984。Journal of Banking and Finance,14(1),99-112。  new window
15.Miller, E. M.(1989)。Explaining Intraday and Overnight Price Behaviour。Journal of Portfolio Management,15(4),10-16。  new window
16.Peterson, D. R.(1990)。A Transaction Data Study of Day-of-the-Week and Intraday Patterns in Option Returns。Journal of Financial Research,13(2),117-131。  new window
17.Schultz, Joseph J. Jr.、Gustavson, Sandra G.、Reilly, Frank K.(1985)。Factors Influencing The New York Stock Exchange Specialists' Price-Setting Behavior: An Experiment。Journal of Financial Research,8(2),137-144。  new window
18.楊朝成(19930500)。Intraday Relationship between Taiwan and Major Asia Equity Markets。臺大管理論叢,4(1),377-416。new window  new window
19.Vijh, A. M.(1988)。Potential Biases from Using Only Trade Prices of Related Securities on Different Exchanges: A Comment。Journal of Finance,43(4),1049-1055。  new window
20.Shultz, B. E.(1963)。The securities market and how it works, revised edition。  new window
21.Jain, Prem C.、Joh, Gun-Ho(1988)。The dependence between hourly prices and trading volume。Journal of Financial and Quantitative Analysis,23(3),269-283。  new window
22.Wood, R. A.、McInish, T. H.、Ord, J. K.(1985)。An Investigation of Transactions Data for NYSE Stocks。Journal of Finance,40(3),723-739。  new window
23.Chang, Rosita P.、McLeavey, D. W.、Rhee, S. Ghon(1995)。Short-term Abnormal Returns of the Contrarian Strategy in the Japanese Stock Market。Journal of Business Finance and Accounting,22(7),1035-1048。  new window
研究報告
1.Chen, M. H.、Chow, E. H.、Liu, V. W.、Liu, Y. J.(1995)。Intraday Stock Return of Taiwan: An Examination of Transaction Data。  new window
 
 
 
 
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