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題名:A Note on the Day-of-the-Week GARCH Test of the Banker's Acceptance Primary Market
書刊名:中國財務學刊
作者:楊踐為 引用關係
作者(外文):Yang, Jack J. W.
出版日期:1997
卷期:4:3
頁次:頁1-11
主題關鍵詞:星期效應自身迴歸異質條件變異數銀行承兌匯票Day-of-the-week effectGARCHBank acceptance
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(2) 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:2
  • 共同引用共同引用:0
  • 點閱點閱:32
期刊論文
1.Hsieh, David A.(1989)。Testing for Nonlinear Dependence in Daily Foreign Exchange Rates。The Journal of Business,62(3),339-368。  new window
2.Jaffe, J. F.、Westerfield, R.(1989)。Is there a monthly effect in stock market returns?: Evidence from foreign countries。Journal of Banking & Finance,13(2),237-244。  new window
3.Kato, Kiyoshi、Schallheim, James S.(1985)。Seasonal and Size Anomalies in the Japanese Stock Market。Journal of Financial and Quantitative Analysis,20(2),243-260。  new window
4.Smirlock, M.、Starks, L.(1986)。Day-of-the-week and intraday effects in stock returns。Journal of Financial Economics,17(1),197-210。  new window
5.Ariel, R. A.(1987)。A monthly effect in stock returns。Journal of Financial Economics,18(1),161-174。  new window
6.Gibbons, Michael R.、Hress, P.(1981)。Day of the Week Effects and Asset Returns。The Journal of Business,54(4),579-596。  new window
7.Gultekin, Mustafa N.、Gultekin, N. Bulent(1983)。Stock market seasonality: International Evidence。Journal of Financial Economics,12(4),469-481。  new window
8.Lakonishok, Josef、Smidt, Seymour(1988)。Are seasonal anomalies real? A ninety-year perspective。The Review of Financial Studies,1(4),403-425。  new window
9.Ritter, J. R.(1988)。The Buying and Selling Behavior of Individual Investors at the Turn of the Year。Journal of Finance,43(3),701-717。  new window
10.Dyl, E.(1977)。Capital gains taxation and the year-end stock market behavior。Journal of Finance,32(1),165-175。  new window
11.Lee, I.(1992)。Stock market seasonality: Some evidence from the Pacific-Basin countries。Journal of Business Finance and Accounting,19(2),199-210。  new window
12.Fama, E. F.(1965)。The behaviour of stock market prices。Journal of Business,38(1),34-105。  new window
13.Hsieh, David A.(1988)。The Statistical Properties of Daily Foreign Exchange Rates: 1974-1983。Journal of International Economics,24,129-145。  new window
14.Reinganum, M. R.(1983)。The Anomalous Stock Market Behavior of Small Firms in January: Empirical tests for Tax-loss Selling Effects。Journal of Financial Economics,12,89-104。  new window
15.Ariel, Robert(1990)。High Stock Returns before Holidays: Existence and Evidence on Possible Causes。Journal of Finance,45,1611-1626。  new window
16.Aggarwal, Raj、Rivoli, P.(1989)。Seasonal and Day-of-the-Week Effects in Four Emerging Markets。The Financial Review,1989(Nov.),541-550。  new window
17.Aggarwal, Raj、Gruca, E.(1993)。Intraday Trading Patterns in the Equity Options Markets。Journal of Financial Research,16(4),285-297。  new window
18.Constantinides, G.(1984)。Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns。Journal of Financial Economics,13,65-89。  new window
19.Brown, P.、Keim, D.、Kleidon, A.、Marsh, T.(1983)。Stock Return Seasonalities and the Tax-Loss-Selling Hypothesis: Analysis of the Arguments and Australian Evidence。Journal of Financial Economics,1983(Jun.),105-127。  new window
20.Berges, A.、McConnell, J.、Schlarbaum, G.(1984)。The Turn of the Year in Canada。Journal of Finance,1984(Mar.),185-192。  new window
21.Dickey, D. A.、Fuller, W. A.(1979)。Distribution of the Estimates for Autoregressive Time Series with a Unit Root。Journal of the American Statistical Association,74,427-432。  new window
22.Cornell, B.、Millon, M.、Trevino, R.(1989)。Monthly Return Patterns on Commodity Futures Contract。The Review of Futures Market,8,86-104。  new window
23.Copeland, L.、Wang, Peijie(1994)。Estimating Daily Seasonality in Foreign Exchange Rate Changes。Journal of Forecasting,13,519-528。  new window
24.Eisemann, P. C.、Timme, S. G.(1984)。Intraweek Seasonality in the Federal Funds Market。Journal of Financial Research,7,47-56。  new window
25.Vihang, Errunzas、Kedreth, Hogan、Omesh, Kini、Prasad, Padmanabhan(1994)。Conditional Heteroskedasticity and Global Stock Return Distributions。The Financial Review,29,293-317。  new window
26.Fabozzi, F.、Ma, C. K.、Briley, J. E.(1994)。Holiday Trading in Futures Market。Journal of Finance,1994(Mar.),307-324。  new window
27.Flannery, M.、Protopapadakis, A.(1988)。From T-bills to Common Stocks: Investigating the Generality of lntra Week Return Seasonality。Journal of Finance,43,431-450。  new window
28.Givoly, D.、Ovadia, A.(1983)。Year-end Tax-induced Sales and Stock Market Seasonality。Journal of Finance,1983(Mar.),171-185。  new window
29.Jordan, Susan、Jordan, Bradford(1991)。Seasonality in Daily Bond Returns。Journal of Financial and Quantitative Analysis,1991(Jun.),269-285。  new window
30.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,1985(Jun.),261-272。  new window
31.Khaksari, Shahriar、Bubnys, E.(1992)。Risk-adjusted Day-of-the-Week, Day-of-the Month, and Month-of-the-Year Effects on Stock Indexes and Stock Index Futures。The Financial Review,1992(Nov.),531-552。  new window
32.Kim, Chan-Wung、Park, Jinwoo(1994)。Holiday Effects and Stock Returns: Further Evidence。Journal of Financial and Quantitative Analysis,29(1),145-157。  new window
33.Lakonishok, J.、Levi, Maurice(1982)。Weekend Effects oh Stock Returns。Journal of Finance,37,883-889。  new window
34.Mandelbrot, B.(1963)。Forecasts of Future Prices, Unbiased Markets and Martingale Models。Journal of Business,39,242-255。  new window
35.Park, S. Y.、Reinganum, M. R.(1986)。The Puzzling Behavior of Treasury Bills That Mature at the Turn of Calendar Month。Journal of Financial Economics,16,267-283。  new window
36.Pettengill, G.(1989)。Holiday Closing and Security Returns。Journal of Financial Research,12,56-67。  new window
37.Reinganum, M.、Shapiro, A.(1987)。Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange。Journal of Business,1987(Jun.),281-295。  new window
38.Wachtel, S.(1942)。Certain Observations in Seasonal Movements in Stock Prices。Journal of Business,1942(Jul.),184-193。  new window
39.Van de Bergh, W.、Wessels, R.(1985)。Stock Market Seasonality and Tax: An Examination of the Tax-Loss Selling Hypothesis。Journal of Business Finance and Accounting,1985(Winter),515-530。  new window
40.Tinic, S.、West, R.(1984)。Risk and Return: January versus the Rest of the Year。Journal of Financial Economics,1984(Dec.),561-574。  new window
41.Rozeff, M.、Kinney, W., Jr.(1976)。Capital Market Seasonality: The Case of Stock Returns。Journal of Financial Economics,3,379-402。  new window
42.Yang, J. W.(1995)。An Examination of Seasonal Anomaly in Commercial Paper's Issuing Rates。Management Review,1995(Jan.),69-76。  new window
43.Wilson, J.、Jones, C.(1990)。Is There a January Effect in Corporate Bond and Paper Return。The Financial Review,1990(Feb.),55-79。  new window
44.Lakonishok, J.、Smidt, S.(1984)。Volume, Price arid Rate of Return for Active and Inactive Stocks with Applications to Turn-of-the-Year Behavior。Journal of Financial Economies,1984(Sep.),435-455。  new window
45.Cross, Frank(1973)。The Behavior of Stock Prices on Fridays and Mondays。Financial Analysis Journal,29(6),67-69。  new window
46.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
47.French, Kenneth R.(1980)。Stock Returns and the Weekend Effect。Journal of Financial Economics,8(1),55-69。  new window
48.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
49.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
會議論文
1.Yang, J. W.(1995)。Seasonality Examination in Taiwan Foreign Exchange Market。The Chinese Finance Association Annual Conference。  new window
2.Yang, J. W.(1996)。An Efficiency Scrutiny of Repos Market in Taiwan。The Fourth Annual Conference。Alaska。  new window
學位論文
1.Chen, Sobin(1993)。A Test of Returns Anomalies in Taiwan's Papers Market(碩士論文)。Tam Kiang University。  new window
2.林玫吟(1994)。台灣票券市場報酬率特性之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書
1.Merrill, A.(1965)。A Behavior of Prices on Wall Street。Chappaqua, NY:The Analysis Press。  new window
 
 
 
 
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