期刊論文1. | Hodrick, R. J.(1992)。Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement。The Review of Financial Studies,5(3),357-386。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | Edwards, Franklin R.(1988)。Does Futures Trading Increase Stock Market Volatility?。Financial Analysts Journal,44,63-69。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
3. | 張宮熊、吳欽杉(19961000)。臺灣股票市場、貨幣市場與外匯市場資訊傳遞結構之研究。中國財務學刊,4(2),21-40。 延伸查詢![new window](/gs32/images/newin.png) |
4. | 絲文銘(19941000)。股票市場過度反應與風險變化關係之探討。證券市場發展,24,1-40。 延伸查詢![new window](/gs32/images/newin.png) |
5. | Jeng, Y.、Kim, C. W.、Wan-Sulaiman, W. M. H.(1992)。International transmission of stock market movements and Korea and Taiwan fund prices。Pacific-Basin Capital Markets Research,3,205-223。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Hsiao, C.(1981)。Autoregressive modelling and money-income causality detection。Journal of Monetary Economics,7,85-106。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | 黃仁甫、劉玉珍(19950700)。臺灣股市交易資訊不對稱之實證研究--VAR模型之應用。中國財務學刊,3(1),95-117。 延伸查詢![new window](/gs32/images/newin.png) |
8. | Hasbrouck, J.(1991)。The summary of informativeness of stock trades: An econometric analysis。Review of Financial Studies,4,571-595。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | 吳麗瑩(19881000)。七十六年臺灣股價變動之過度反應檢定。企銀季刊,12(2),38-53。 延伸查詢![new window](/gs32/images/newin.png) |
10. | Bulkley, G.、Tonks, I.(1992)。Trading Rules and Excess Volatility。Journal of Financial and Quantitative Analysis,27(3),365-382。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Bekaert, G.、Hodrick, R. J.(1992)。Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets。Journal of Finance,47(2),467-509。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
12. | Danthine, J. P.、Moresi, S.(1993)。Volatility, Information, and Noise Trading。European Economic Review,37,961-982。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | Campbell, J. Y.、Shiller, R. J.(1987)。Co-Integration and Tests of Present Value Models。Journal of Political Economy,95,1062-1088。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | Caines, P. E.、Keng, C. W.、Sethi, S. P.(1981)。Causality Analysis and Multivariate Autoregressive Modelling with an Application to Supermarket Sales Analysis。Journal of Economic Dynamics and Control,3,267-298。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | DeLong, J.、Schleifer, A.、Summers, L.、Waldmann, R.(1990)。Noise Trader Risk in Financial Market。Journal of Political Economy,98,703-738。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | DeBondt, W. F. M.、Thaler, R.(1990)。Do Security Analysts Overreact?。American Economic Review,80,52-57。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | Grossman, S.(1976)。On the Efficiency of Competitive Stock Markets where Traders have diverse information。Journal of Finance,31,573-585。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
18. | French, K. R.、Roll, R.(1986)。Stock Return Variances: The Arrival of Information and Reaction of Traders。Journal of Financial Economics,17(1),5-26。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
19. | Fielding, H.(1984)。Stock Prices and Social Dynamics。Brookings Papers on Economic Activity,2,457-498。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
20. | Meese, R. A.、Rogoff, K.(1983)。Empirical Exchange Rate Models of the Seventies。Journal of International Economics,14,3-24。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
21. | Lesage, James P.(1990)。A Comparison of the Forecasting Ability of ECM and VAR Models。The Review of Economics and Statistics,72(4),664-671。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
22. | LeRoy, Stephen F.、Porter, Richard D.(1981)。Stock Price Volatility: Tests Based on Implied Variance Bounds。Econometrica,49,555-574。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
23. | Shiller, R. J.(1981)。The Use of Volatility Measures in Assessing Market Efficiency。Journal of Finance,46,291-304。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
24. | Poterba, J. M.、Summers, L. H.(1987)。Mean Reversion in Stock Prices: Evidence and Implication。Journal of Financial Economics,22,27-59。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
25. | von Furstenherg, G. M.、Jeon, B. N.、Mankiw, N. G.、Shiller, R. J.(1989)。International Stock Price Movements: Links and Messages。Brookings Papers on Economic Activity,1989(1),125-179。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
26. | Summers, L. H.(1986)。Does the Stock Market Rationally Reflect Fundamental Values?。Journal of Finance,51(3),591-602。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
27. | Shiller, R. J.(1989)。The Probability of Gross Violations of a Present Value Variance Inequality。Journal of Political Economy。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
28. | De Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1989)。The Size and Incidence of the Losses from Noise Trading。Journal of Finance,44(3),681-696。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
29. | Shiller, Robert J.(1984)。Stock Prices and Social Dynamics。Brookings Papers on Economic Activity,2,457-510。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
30. | Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
31. | Shiller, Robert J.(1981)。Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?。American Economic Review,71(3),421-436。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
32. | Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
33. | Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
34. | Engle, Robert F.、Granger, Clive W. J.(1987)。Co-integration and Error Correction: Representation, Estimation, and Testing。Econometrica: Journal of the Econometric Society,55(2),251-276。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
35. | De Bondt, Werner F. M.、Thaler, Richard H.(1987)。Further Evidence on Investor Overreaction and Stock Market Seasonality。The Journal of Finance,42(3),557-581。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
36. | Hasbrouck, Joel(1991)。Measuring the Information Content of Stock Trades。Journal of Finance,46(1),179-207。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
37. | De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
38. | West, Kenneth D.(1987)。A Specification Test for Speculative Bubbles。The Quarterly Journal of Economics,102(3),553-580。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
39. | West, Kenneth D.(1988)。Bubbles, Fads, and Stock Price Volatility Tests: A Partial Evaluation。Journal of Finance,43(3),639-660。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |