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題名:我國股票市場融資比率與融券保證金成數調整對股價波動性影響之研究
書刊名:證券市場發展季刊
作者:姚海青杜化宇陳勝源 引用關係
作者(外文):Yao, Hai-chingTu, Anthony H.Chen, Shen-yuan
出版日期:1999
卷期:11:2=42
頁次:頁129-154
主題關鍵詞:信用交易股價波動性流動性效果干預分析GARCH模型Margin requirementStock price volatilityLiquidity effectIntervention analysisGARCH
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(11) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:11
  • 共同引用共同引用:0
  • 點閱點閱:42
期刊論文
1.Elyasiani, E.、Mansur, I.(1998)。Sensitivity of the Bank Stock Returns Distribution to Changes in the Level and Volatility of Interest Rate: A GARCH-M Model。Journal of Banking & Finance,22,535-563。  new window
2.Lee, S.、Yoo, T.(1993)。Margin Regulation and Stock Market Volatility: Further Evidence from Japan, Korea, and Taiwan。Pacific-Basin Finance Journal,1,155-174。  new window
3.王甡(1992)。融資比率及融券保證金成數與股價報酬率波動關連性初探--Granger因果關係檢定。證券金融,34,62-87。  延伸查詢new window
4.Hardouvelis, G. A.(1988)。Margin Requirements and Stock Market Volatility. Federal Reserve Bank of New。Federal Reserve Bank of New York Quarterly Review,13(1),80-89。  new window
5.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
6.Hardouvelis, Gikas A.(1990)。Margin requirements, volatility, and the transitory component of stock prices。American Economic Review,80(4),736-762。  new window
7.Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis,25(2),307-327。  new window
8.Nelson, C. R.、Plosser, C. I.(1982)。Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications。Journal of Monetary Economics,10(2),139-162。  new window
9.Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimating time varying risk premia in the term structure: The ARCH-M model。Econometrica,55(2),391-407。  new window
10.Hsieh, D. A.、Miller, M. H.(1990)。Margin Regulation and Market Volatility。Journal of Finance,45,3-29。  new window
11.Officer, Robert R.(1973)。The Variability of the Market Factor of the New York Stock Exchange。Journal of Business,46(3),434-453。  new window
12.Lamoureux, C. G.、Lastrapes, W. D.(1990)。Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects。The Journal of Finance,45(1),221-229。  new window
13.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika,65(2),297-303。  new window
14.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
15.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
16.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
17.Perron, Pierre(1989)。The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis。Econometrica: Journal of the Econometric Society,57(6),1361-1401。  new window
18.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
19.Box, G.、Pierce, D.(1970)。Distribution of Autocorrelations in Autoregressive Moving Average Time Series Models。Journal of American Statistical Association,65,1509-1526。  new window
20.Enders, W.、Sandler, T.、Cauley, J.(1990)。Assessing the Impact of Terrorist Thwarting Policies: An Intervention Time Series Approach。Defense Economics,2,1-18。  new window
21.Goldberg, M. A.(1985)。The Relevance of Margin Regulations。Journal of Money, Credit and Banking,17(4),521-527。  new window
22.Hardouvelis, G.、Peristiani, S.(1989)。Do Margin Requirements Matter? Evidence from U. S. and Japanese Stock Markets。Federal Reserve Bank of New York Quarterly Review,16-35。  new window
23.Hardouvelis, G.、Peristiani, S.(1992)。Margin Requirement, Speculative, and Stock Price Fluctuations: The Case of Japan。The Quarterly Journal of Economics,1333-1370。  new window
24.Luckett, D. G.(1982)。On the Effectiveness and Stock Return Volatility。The Journal of Finance,37,783-795。  new window
學位論文
1.柳春成(1996)。證券信用交易比率調整對台灣股市波動性影響之研究--以投資組合的風險水平分析之(碩士論文)。國立政治大學。  延伸查詢new window
2.王瑞鎂(1985)。檢定融資融券比率對股票報酬率之影響,0。  延伸查詢new window
圖書
1.Box, G. E. P.、Jenkins, G. M.、Reinsel, G. C.(1976)。Time Series Analysis: Forecasting and Control。San Francisco:Holden-Day。  new window
2.Enders, Walter(1995)。Applied Econometric Time Series。John Wiley & Sons, Inc.。  new window
3.Miller, M.(1991)。Financial Innovation and Market Volatility。Financial Innovation and Market Volatility。Cambridge, MA。  new window
 
 
 
 
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