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題名:監視制度對平均數復歸與報酬波動性影響之研究
書刊名:中國財務學刊
作者:葉銀華 引用關係鄭文選
作者(外文):Yeh, Yin-huaCheng, Wen-hsuan
出版日期:1998
卷期:6:2
頁次:頁65-97
主題關鍵詞:監視制度平均數復歸報酬波動性雜訊交易理論Surveillance systemMean-revertingReturn volatilityNoise trading theory
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:34
  • 點閱點閱:73
期刊論文
1.Chen, Nai-Fu、Kan, Raymond、Miller, Merton H.(1993)。Are the Discounts on Closed-End Funds a Sentiment Index?。Journal of Finance,48(2),795-800。  new window
2.Venkatesh, P. C.、Chiang, R.(1986)。Information Asymmetry and the Dealer's Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements。The Journal of Finance,41(5),1089-1102。  new window
3.胡星陽、梁敏芳(19950100)。漲跌幅限制與臺灣股票市場波動。證券市場發展,7(1)=25,1-25。new window  延伸查詢new window
4.Lo, Andrew W.、MacKinlay, A. Craig(1989)。The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation。Journal of Econometrics,40(2),203-238。  new window
5.French, Kenneth R.、Roll, Richard(1986)。Stock Return Variances: The Arrival of Information and the Reaction of Traders。Journal of Financial Economics,17(1),5-26。  new window
6.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
7.Brauer, G. A.(1993)。Investor Sentiment and the Closed-end Fund Puzzle: A 7 Percent Solution。Journal of Financial Services Research,7(3),199-216。  new window
8.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
9.Fama, Eugene F.、French, Kenneth R.(1988)。Permanent and Temporary Components of Stock Prices。Journal of Political Economy,96(2),246-273。  new window
10.Lee, Charles M. C.、Shleifer, Andrei、Thaler, Richard H.(1991)。Investor Sentiment and the Closed-End Fund Puzzle。The Journal of Finance,46(1),75-109。  new window
11.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
12.Cochrane, John H.(1988)。How Big is the Random Walk in GNP?。Journal of Political Economy,96(5),893-920。  new window
13.Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。  new window
14.Black, Fisher(1986)。Noise。Journal of Finance,41(3),529-543。  new window
15.de Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Noise trader risk in financial markets。Journal of Political Economy,98(4),703-738。  new window
16.Hasbrouck, Joel(1991)。Measuring the Information Content of Stock Trades。Journal of Finance,46(1),179-207。  new window
17.Poterba, James M.、Summers, Lawrence H.(1988)。Mean Reversion in Stock Prices: Evidence and Implications。Journal of Financial Economics,22(1),27-59。  new window
18.馬黛、陳效踐(1995)。臺灣股市異常交易監視制度與股價行為關係之實證研究。中國財務學刊,3(1),69-93。new window  延伸查詢new window
19.陳錦村、林哲正(1997)。檢測臺灣股市監視制度之穩定機制-訊息傳遞效果。亞太管理評論,2(2),17-39。new window  延伸查詢new window
20.Barber, Brad M.(1994)。Noise Trading and Prime and Score Premiums。Journal of Empirical Finance,251-278。  new window
21.Chan, Kolok、Chan, Yue-Cheong(1993)。Price Volatility in the Hong Kong Stock Market: A Test of the Information and Trading Noise Hypothesis。Pacific-Basin Finance Journal,189-201。  new window
22.Chopra, Navin、Lee, Charles M. C.、Shleifer, Andrei、Thaler, Richard H.(1993)。Yes Discounts on Closed-end Funds are a Sentiment Index。The Journal of Finance,48,801-808。  new window
23.Ferris, S. P.、Kumar, R.、Wolfe, G. A.(1992)。The Effect of SEC Ordered Suspensions on Returns, Volatility, and Trading Volume。The Financial Review,27(1),1-34。  new window
24.Hasbrouck, Joel(1991)。The Summary Informativeness for Stock Trades: An Econometric Analysis。Review of Financial Studies,871-595。  new window
25.Lee, C. M. C.、Ready, M. J.、Sequin, P. J.(1994)。Volatility and New York Stock Exchange Trading Halts。The Journal of Financial Research,49,183-214。  new window
26.Palomino, Frederic(1996)。Noise Trading in Small Markets。The Journal of Finance,51(4),1537-1550。  new window
27.沈中華、王儷容(1998)。Daily Serial Correlation, Trading Volume, and Price Limit: Evidence from the Taiwan Stock Market。Pacific-Basin Finance Journal,6,251-274。  new window
會議論文
1.Chen, W. K.、Shen, C. H.(1998)。Option Pricing When Stock Prices Under Price Limits。沒有紀錄。  new window
研究報告
1.Chiang, R.、Wei, K. C.(1993)。Estimation of Volatility Under Price Limits。0。  new window
2.Harris, L.。Circuit Breakers and Program Trading Limits: What Have WE Learned?。0。  new window
學位論文
1.翁霓(1993)。雜訊交易對股價行為影響之研究(博士論文)。國立政治大學。new window  延伸查詢new window
2.李文順(1993)。雜訊交易在臺灣股市是否存在(碩士論文)。淡江大學。  延伸查詢new window
3.葉順吉(1994)。臺灣股市封閉型基金折溢價之研究(碩士論文)。國立中山大學。  延伸查詢new window
4.徐嘉宏(1994)。受異常交易公告股票過度反應之相關研究,0。  延伸查詢new window
5.張主卿(1995)。警示股價量行為之實證研究,0。  延伸查詢new window
6.黃志傑(1995)。公司特性、市場因素與股價報酬率中雜訊成份之實證研究,0。  延伸查詢new window
7.劉堉婷(1996)。監視制度下「注意股票」異常報酬之相關研究,0。  延伸查詢new window
其他
1.林文雄(1992)。遭監視制度警示股票及其市場反應之研究,0。  延伸查詢new window
圖書論文
1.Friedman, Milton(1953)。The Case for Flexible Exchange Rates。Essays in Positive Economics。Chicago:University of Chicago Press。  new window
 
 
 
 
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