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題名:我國股票市場多空時期資訊傳遞結構之研究
書刊名:臺灣銀行季刊
作者:張宮熊吳欽杉林財源
出版日期:1998
卷期:49:2
頁次:頁58-96
主題關鍵詞:股票市場多空時期資訊傳遞結構效率市場假說Efficient market hypothesisEMH
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:1
  • 共同引用共同引用:26
  • 點閱點閱:8
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。  new window
2.Edwards, Franklin R.(1988)。Does Futures Trading Increase Stock Market Volatility?。Financial Analysts Journal,44,63-69。  new window
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。new window  延伸查詢new window
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。new window  延伸查詢new window
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。  new window
6.Hsiao, C.(1981)。Autoregressive modelling and money-income causality detection。Journal of Monetary Economics,7,85-106。  new window
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。new window  延伸查詢new window
8.Hasbrouck, J.(1991)。The summary of informativeness of stock trades: An econometric analysis。Review of Financial Studies,4,571-595。  new window
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
10.Bulkley, G.、Tonks, I.(1992)。Trading Rules and Excess Volatility。Journal of Financial and Quantitative Analysis,27(3),365-382。  new window
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。  new window
12.Danthine, J. P.、Moresi, S.(1993)。Volatility, Information, and Noise Trading。European Economic Review,37,961-982。  new window
13.Campbell, J. Y.、Shiller, R. J.(1987)。Co-Integration and Tests of Present Value Models。Journal of Political Economy,95,1062-1088。  new window
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。  new window
15.DeLong, J.、Schleifer, A.、Summers, L.、Waldmann, R.(1990)。Noise Trader Risk in Financial Market。Journal of Political Economy,98,703-738。  new window
16.DeBondt, W. F. M.、Thaler, R.(1990)。Do Security Analysts Overreact?。American Economic Review,80,52-57。  new window
17.Grossman, S.(1976)。On the Efficiency of Competitive Stock Markets where Traders have diverse information。Journal of Finance,31,573-585。  new window
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。  new window
19.Fielding, H.(1984)。Stock Prices and Social Dynamics。Brookings Papers on Economic Activity,2,457-498。  new window
20.Meese, R. A.、Rogoff, K.(1983)。Empirical Exchange Rate Models of the Seventies。Journal of International Economics,14,3-24。  new window
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。  new window
22.LeRoy, Stephen F.、Porter, Richard D.(1981)。Stock Price Volatility: Tests Based on Implied Variance Bounds。Econometrica,49,555-574。  new window
23.Shiller, R. J.(1981)。The Use of Volatility Measures in Assessing Market Efficiency。Journal of Finance,46,291-304。  new window
24.Poterba, J. M.、Summers, L. H.(1987)。Mean Reversion in Stock Prices: Evidence and Implication。Journal of Financial Economics,22,27-59。  new window
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。  new window
26.Summers, L. H.(1986)。Does the Stock Market Rationally Reflect Fundamental Values?。Journal of Finance,51(3),591-602。  new window
27.Shiller, R. J.(1989)。The Probability of Gross Violations of a Present Value Variance Inequality。Journal of Political Economy。  new window
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。  new window
29.Shiller, Robert J.(1984)。Stock Prices and Social Dynamics。Brookings Papers on Economic Activity,2,457-510。  new window
30.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
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。  new window
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。  new window
33.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
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。  new window
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。  new window
36.Hasbrouck, Joel(1991)。Measuring the Information Content of Stock Trades。Journal of Finance,46(1),179-207。  new window
37.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。  new window
38.West, Kenneth D.(1987)。A Specification Test for Speculative Bubbles。The Quarterly Journal of Economics,102(3),553-580。  new window
39.West, Kenneth D.(1988)。Bubbles, Fads, and Stock Price Volatility Tests: A Partial Evaluation。Journal of Finance,43(3),639-660。  new window
研究報告
1.Hamao, Y.、Hasbrouck, J.(1992)。Securities Trading in the Absence of Dealers: Traders and Quotes on the Tokyo Stock Exchange。New York University。  new window
學位論文
1.詹家昌(1991)。臺灣股市過度反應之實證研究(碩士論文)。東海大學。  延伸查詢new window
2.林美珍(1992)。股票價格過度反應的方向、幅度、與密度(碩士論文)。國立臺灣大學。  延伸查詢new window
3.林欽龍(1992)。臺灣股市有過度反應嗎?(碩士論文)。國立台灣大學。  延伸查詢new window
4.謝政能(1991)。台灣股票市場過度反應之研究(碩士論文)。國立中山大學。  延伸查詢new window
單篇論文
1.Lehmann, B.(1987)。Fads, Martingales and Market Efficiency,Columbia University。  new window
2.O'Brien, J.(1984)。Speculative Bubbles and the Need for Stock Margin Requirement,Federal Reserve Board of Governors。  new window
 
 
 
 
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