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題名：產業景氣的季節性變動對股價的影響
書刊名：臺灣銀行季刊
作者：黃志典 引用關係／林志斌
出版日期：1999
卷期：50:3
頁次：頁130-159
主題關鍵詞：產業景氣；季節性變動；股價
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:4
期刊論文
1.林宜勉(19891100)。臺灣證券市場股價季節型態分析--套利定價模式之應用。臺灣經濟金融月刊，25(11)=298，14-19。  延伸查詢new window
2.Hylleberg, S.、Engle, R. F.、Granger, C. W. J.、Yoo, B. S.(1990)。Seasonal integration and cointegration。Journal of Econometrics，44，215-238。  new window
3.Dickey, D. A.、Hasza, D. P.、Fuller, W. A.(1984)。Testing for Unit Roots in Seasonal Time Series。Journal of the American Statistical Association，79(386)，355-367。  new window
4.Admati, Anat、Pfleiderer, Paul(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies，1，3-40。  new window
5.Aharony, Joseph、Swary, Itzhak(1980)。Quarterly Dividend and Earnings Announcements and Stockholders Return: An Empirical Analysis。Journal of Finance，35，1-12。  new window
6.Ariel, Robert A.(1987)。A Monthly Effect in Stock Returns。Journal of Financial Economics，18(1)，161-174。  new window
7.Ariel, Robert A.(1990)。High Stock Returns before Holidays: Existence and Evidence on Possible Causes。The Journal of Finance，45(5)，1611-1626。  new window
8.Ball, Ray、Brown, Philip(1968)。An Evaluation of Accounting Income Numbers。Journal of Accounting Research，6，159-178。  new window
9.Banz, Rolf W.(1981)。The Relationship between Return and Market Value of Common Stocks。Journal of Financial Economics，9，3-18。  new window
10.Basu, Sanjoy(1977)。Investment Performance of Common Stocks in relation to Their Price-earnings Ratios: A test of the Efficient Market Hypothesis。Journal of Finance，32，663-682。  new window
11.Beebower, Gilbert L.、Bergstrom, Gary L.(1977)。A Performance Analysis of Pension and Profit-sharing Portfolios: 1966-75。Financial Analysis Journal，33，31-42。  new window
12.Bhandari, Laxmi Chand(1988)。Debt/ Equity ratio and Expect Common Stock Returns: Empirical Evidence。Journal of Finance，43，507-528。  new window
13.Black, Fischer(1973)。Yes Virginia, There is Hope: Tests of Value Line Ranking System。Financial Analysis Journal，29，10-14。  new window
14.Blume, Marshall E.、Friend, Irwin(1973)。A New Look at the Capital Asset Pricing Model。Journal of Finance，28，19-33。  new window
15.Campbell, John Y.、Shiller, Robert(1988)。Stock Prices, Earnings and Dividends。Journal of Finance，43，661-676。  new window
16.Chan, K. C.、Chen, Nai-fu、Hsieh, David A.(1985)。An exploratory investigation of the firm size effect。Journal of Financial Economics，14(3)，451-471。  new window
17.Conrad, Jennifer、Kaul, Gautam(1988)。Time Variation in Expected Returns。Journal of Business，61，409-425。  new window
18.Constantinides, George M.(1990)。Habit Formation: A Resolution of Equity Premium Puzzle。Journal of Political Economy，98，519-543。  new window
19.Copeland, Thomas E.、Myers, David(1982)。The Value Line Enigma: A Case Study of Performance Evaluation Issues。Journal of Financial Economics，10，289-321。  new window
20.Cornell, Bradford(1981)。The Consumption Asset Pricing Model: A Potential Tests and Applications。Journal of Financial Economics，9，103-108。  new window
21.Dhrymes, Phoebus J.、Friend, Irwin、Gultekin, Mustafa N.、Gultekin, N. Bulent(1984)。New Tests of APT and Their Implications。Journal of Finance，40，323-346。  new window
22.Fama, Eugene F.(1965)。The Behavior of Stock Market Prices。Journal of Business，38，34-105。  new window
23.Fama, Eugene F.、Blume, Marshall(1966)。Filter Rules and Stock Market Trading。Journal of Business，39，226-241。  new window
24.Fama, Eugene F.、French, Kenneth R.(1988)。Dividend Yields and Expected Returns。Journal of Financial Economics，22，3-25。  new window
25.Ferson, Wayne E.、Harvey, Campbell R.(1991)。The Variation of Economic Risk Premiums。Journal of Political Economy，99(2)，385-415。  new window
26.Fisher, Lawrence(1966)。Some New Stock-market Indexes。Journal of Business，39，191-225。  new window
27.Gibbons, Michael R.、Hess, Patrick(1981)。Day of the Week Effects and Asset Returns。Journal of Business，54，3-27。  new window
28.Grossman, Sanford J.、Shiller, Robert J.(1981)。The Determinants of the Variability of Stock Market Prices。American Economic Review，71(2)，222-227。  new window
29.Grossman, Sanford J.、Stiglitz, Joseph E.(1980)。On the Impossibility of Informationally Efficient Market。American Economic Review，70(3)，393-408。  new window
30.Hansen, Lars P.、Singleton, Kenneth J.(1982)。Generalized Instrumental Variables Estimation in Nonlinear Rational Expectation Models。Econometrica，50，1269-1286。  new window
31.Harvey, Campbell R.(1991)。The World Price of Covariance Risk。Journal of Finance，46，111-157。  new window
32.Henriksson, Roy T.(1984)。Market Timing and Mutual Fund Performance: An Empirical Investigation。Journal of Business，57，73-96。  new window
33.Hillmer, S. C.、Tiao, G. C.(1982)。An ARIMA-Model-Based Approach to Seasonal Adjustment。Journal of the American Statistical Association，77(377)，63-70。  new window
34.Huberman, Gur、Kandel, Shmuel(1990)。Market Efficiency and Value Line's Record。Journal of Business，63，187-216。  new window
35.Ippolito, Rechard A.(1989)。Efficiency with Costly Information A Study of Mutual Fund Performance, 1965-84。Quarterly Journal of Economics，104，1-23。  new window
36.Jacobs, Bruce I.、Levy, Kenneth N.(1988)。Calendar Anomalies: Abnormal Returns at Calendar Turning Points。Financial Analysis Journal，44(6)，28-39。  new window
37.Jensen, Michael C.(1968)。The Performance of Mutual Funds in Period 1945-64。Journal of Finance，23，389-416。  new window
38.Jensen, Michael C.(1969)。Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios。Journal of Business，42(2)，167-247。  new window
39.Jensen, Michael C.(1978)。Some Anomalous Evidence Regarding Market Efficiency。Journal of Financial Economics，6，95-101。  new window
40.Kandel, Shmuel、Stambaugh, Robert F.(1990)。Expectation and Volatility of Consumption and Assets Returns。Review of Financial Studies，3，207-232。  new window
41.Lakonishok, Josef、Smidt, Seymour(1988)。Are Seasonal Anomalies Real?: A Ninety Years Perspective。Review of Financial Studies，1，435-455。  new window
42.Litzenberger, R.、Ramaswamy, K.(1979)。The Effect of Personal Taxes and Dividends and Capital Asset Prices: Theory and Empirical Evidence。Journal of Financial Economics，7(2)，163-195。  new window
43.Lloyd-Davies, Peter、Canes, Michael(1978)。Stock Price and the Publication of Second-hand Information。Journal of Business，51，43-56。  new window
44.Mankiw, N. Gregory、Shapiro, Matthew D.(1986)。Risk and Return: Consumption Beta versus Market Beta。Review of Economics and Statistics，48，452-459。  new window
45.Ogden, J.(1987)。The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market。Journal of Financial and Quantitative Analysis，22(3)，329-343。  new window
46.Osborne, M. F. M.(1962)。Periodic Structure in the Brownian Motion of the Stock Market。Operation Research，10，345-379。  new window
47.Reinganurn, Marc R.(1983)。The Anomalous Stock Market Behavior of Small Firms in January。Journal of Financial Economics，12，89-104。  new window
48.Ritter, Jay R.(1988)。The Buying and Selling Behavior of Individual Investors at the Turn of the Year。Journal of Finance，43，701-717。  new window
49.Roll, Richard(1983)。Vas ist Das? The Turn-of-the-year Effect and the Return Premia of Small Firms。Journal of Portfolio Management，9，18-28。  new window
50.Rozeff, Michael S.(1984)。Dividend Yields are Equity Risk Premiums。Journal of Portfolio Management，11(1)，68-75。  new window
51.Rubinstein, Mark(1976)。The Valuation of Uncertain Income Streams and the Pricing of Options。Bell Journal of Economics and Management Science，7，407-425。  new window
52.Seyhun, H. Nejat(1986)。Insiders' Profits, Cost of Trading, and Market Efficiency。Journal of Financial Economics，16，189-212。  new window
53.Stickel, Scott E.(1985)。The Effect of value Line Investment survey Rank Changes on Common Stock Prices。Journal of Financial Economics，14，121-144。  new window
54.Summers, Lawrence H.(1986)。Does the Stock Market Rationally Reflect Fundamental Values?。Journal of Finance，41，591-601。  new window
55.Shiller, Robert J.(1984)。Stock Prices and Social Dynamics。Brookings Papers on Economic Activity，2，457-510。  new window
56.Jaffe, Jeffrey F.(1974)。Special information and insider trading。Journal of Business，47(3)，410-428。  new window
57.Fama, Eugene F.(1991)。Efficient Capital Markets。Journal of Finance，46(5)，1575-1617。  new window
58.Chen, Nai-fu、Roll, Richard、Ross, Stephen A.(1986)。Economic Forces and the Stock Market。Journal of Business，59(3)，383-403。  new window
59.Cross, Frank(1973)。The Behavior of Stock Prices on Fridays and Mondays。Financial Analysis Journal，29(6)，67-69。  new window
60.Harris, Lawrence(1986)。A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns。Journal of Financial Economics，16(1)，99-117。  new window
61.Keim, Donald B.(1983)。Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence。Journal of Financial Economics，12(1)，13-32。  new window
62.Merton, Robert C.(1973)。An Intertemporal Capital Asset Pricing Model。Econometrica，41(5)，867-887。  new window
63.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
64.Lakonishok, Josef、Maberly, Edwin(1990)。The Weekend Effect: Trading Patterns of Individual and Institutional Investors。Journal of Finance，45(1)，231-243。  new window
65.Fama, Eugene F.、Fisher, Lawrence、Jensen, Michael C.、Roll, Richard J.(1969)。The adjustment of stock prices to new information。International Economic Review，10(1)，1-21。  new window
66.Levy, Robert A.(1967)。Relative Strength as a Criterion for Investment Selection。Journal of Finance，22(4)，595-610。  new window
67.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association，74(366)，427-431。  new window
68.Black, Fischer(1972)。Capital Market Equilibrium with Restricted Borrowing。Journal of Business，45(3)，444-455。  new window
69.Breeden, Douglas T.(1979)。An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities。Journal of Financial Economics，7(3)，265-296。  new window
70.Chan, Louis K. C.、Lakonishok, Josef、Hamao, Yasushi(1991)。Fundamentals and Stock Returns in Japan。The Journal of Finance，46(5)，1739-1789。  new window
71.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance，25(2)，383-417。  new window
72.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy，81(3)，607-636。  new window
73.Lintner, John(1965)。The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets。Review of Economics and Statistics，47(1)，13-37。  new window
74.Mehra, Rajnesh、Prescott, Edward C.(1985)。The Equity Premium: A Puzzle。Journal of Monetary Economics，15(2)，145-161。  new window
75.Roll, Richard(1977)。A Critique of the Asset pricing Theory's Tests, Part I: On Past and Potential Testability of the Theory。Journal of Financial Economics，4(2)，129-176。  new window
76.Ross, Stephen A.(1976)。The Arbitrage Theory of Capital Asset Pricing。Journal of Economic Theory，13(3)，341-360。  new window
77.Sharpe, William F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk。The Journal of Finance，19(3)，425-442。  new window
78.Bernard, Victor L.、Thomas, Jacob K.(1989)。Posting-Earning-Announcement Drift: Delayed Price Response or Risk Premium?。Journal of Accounting Research，27，1-36。  new window
79.Lo, Andrew W.、MacKinlay, A. Craig(1988)。Stock market prices do not follow random walks: Evidence from a simple specification test。Review of Financial Studies，1(1)，41-66。  new window
80.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
學位論文
1.林丙輝(1987)。台灣證券市場股票報酬週末效果之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
2.鄭智成(1993)。臺灣與國際股市週日效應的比較(碩士論文)。國立臺灣大學。  延伸查詢new window
3.黃俊郁(1985)。臺灣地區股票投資報酬週末效應之研究(碩士論文)。國立政治大學。  延伸查詢new window
4.林惠美(1994)。非預期盈餘變動與盈餘宣告後股價持續反應關係之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
5.王官品(1986)。上市公司每月盈收公告與股價變動關係之研究(碩士論文)。國立中興大學。  延伸查詢new window
6.蔡靜雯(1992)。我國上市公司季盈餘之時間數列習性與預測之研究(碩士論文)。國立臺灣大學。  延伸查詢new window
7.鄭雅仁(1994)。臺灣股市弱式效率市場之再驗證(碩士論文)。國立臺灣大學。  延伸查詢new window
8.邱志鴻(1994)。新上市公司股利發放對股價影響之研究(碩士論文)。國立政治大學。  延伸查詢new window
圖書
1.林煜宗(1988)。現代投資學--制度、理論與實證。三民書局。  延伸查詢new window
2.陳隆麒(1992)。現代財務管理--理論與應用。華泰書局。  延伸查詢new window
3.林茂文(1992)。時間數列分析與預測。華泰書局。  延伸查詢new window
4.顏月珠(1988)。商用統計學。華泰書局。  延伸查詢new window
5.Aaker, D.、許是祥(1991)。企業策略管理。中華企業管理發展中心。  延伸查詢new window
6.臺灣證券交易所(1996)。認識股價指數和股價平均數。臺灣證券交易所。  延伸查詢new window
7.臺灣證券交易所(1986)。證交資料。臺灣證券交易所。  延伸查詢new window
8.Berkowitz, Stephen A.、Finney, Louis D.、Logue, Dennis E.(1988)。The Investment Performance of Corporate Pension Plans。New York, NY：Quorum Books。  new window
9.Copeland, Thomas E.、Weston, J. Fred(1992)。Financial Theory and Corporate Policy。Addison-Wesley。  new window
10.Elton, Edwin J.、Gruber, Martin J.(1991)。Modern Portfolio Theory and Investment Analysis。John Wiley and Sons。  new window
11.Fabozzi, Frank J.、Modigliani, Franco(1992)。Capital Markets Institutions and Instruments。Prentice-Hall。  new window
12.Fuller, W. A.(1976)。Introduction of Statistical Time Series。New York：Wiley。  new window
13.Griffiths, William E.、Hill, R. Carter、Judge, George G.(1993)。Learning and Practicing Econometrics。John Wiley and Sons。  new window
14.Hogg, Rober V.、Tanis, Elliott A.(1989)。Probability and Statistical Inference。New York：Macmillan。  new window
15.Hylleberg, S.(1992)。Modelling Seasonality。Oxford University Press。  new window
16.Johnson, Richard A.、Wichern, Dean W.(1992)。Applied Multivariate Statistical Analysis。Prentice-Hall。  new window
17.Markowitz, Harry。Portfolio Selection: Efficient Diversification of Investments。New York, NY：Wiley。  new window
18.李春旺(1989)。股價行為與規模效應：台灣股票市場實證研究。臺北：臺灣經濟研究雜誌社。  延伸查詢new window
19.Box, George E. P.、Jenkins, Gwilym M.(1970)。Time Series Analysis: Forecasting and Control。Holden-Day。  new window
單篇論文
1.Elton, Edwin J.，Gruber, Martin J.，Das, Sanjiv，Hklarka, Matt。Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios，New York University。  new window
圖書論文
1.Black, Fischer、Jensen, Michael C.、Scholes, Myron(1972)。The Capital Asset Pricing Model: Some Empirical Tests。Study in the Theory of Capital Markets。Praeger。  new window
 
 
 
 
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臺灣人文及社會科學引文索引資料庫

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