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題名:從眾行為傾向對流動性影響之研究
書刊名:證券市場發展季刊
作者:邱臙珍 引用關係
作者(外文):Chiu, Yen-chen
出版日期:2013
卷期:25:4=100
頁次:頁147-206
主題關鍵詞:流動性從眾行為流動性共變LiquidityHerding behaviorLiquidity co-movement
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:40
  • 點閱點閱:127
期刊論文
1.Amihud, Y.、Mendelson, H.(1989)。The Effects of Beta, Bid-Ask Spread, Residual Risk and Size on Stock Returns。Journal of Finance,42,479-486。  new window
2.Avramov, D.、Chordia, T.、Goyal, A.(2006)。The Impact of Trades on Daily Volatility。Review of Financial Studies,19,1241-1277。  new window
3.Benston, G.、Hagerman, R.(1974)。Determinants of Bid-Ask Spreads in the Over-the-Counter Market。Journal of Financial Economics,1(4),353-364。  new window
4.Brockman P.、Chung, D. Y.、Perignon, C.(2006)。Commonality in Liquidity: A Global Perspective。Journal of Financial and Quantitative Analysis,44(4),851-882。  new window
5.Chordia, T.、Sarkar, A.、Subrahmanyam, A.(2005)。An Empirical Analysis of Stock and Bond Market Lliquidity。Review of Financial Studies,18,85-129。  new window
6.Falkenstein, E. G.(1996)。Preference for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings。Journal of Finance,51,111-135。  new window
7.Garleanu, N.、Pedersen, L. H.(2007)。Liquidity and Risk Management。American Economic Review,97(2),193-197。  new window
8.Gromb, D.、Vayanos, D.(2002)。Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs。Journal of Financial Economics,66(2/3),361-407。  new window
9.Hasbrouck, J.、Schwartz, R. A.(1988)。An Assessment of Stock Exchange and Over-the-Counter Markets。Journal of Portfolio Management,14,10-16。  new window
10.Johnson, T. C.(2006)。Dynamic Liquidity in Endowment Economies。Journal of Financial Economics,80(3),531-562。  new window
11.Morris, S.、Shin, H. S.(2004)。Liquidity Black Holes。Review of Finance,8,1-18。  new window
12.Niederhoffer, V.、Osborne, M. F. M.(1966)。Market Making and Reversal on the Stock Exchange。Journal of the American Statistical Association,61(316),897-916。  new window
13.Goyenko R. Y.、Ukhov, A. D.(2009)。Stock and Bond Market Liquidity: A Long-Run Empirical Analysis。Journal of Financial Quantitative Analysis,44(1),189-212。  new window
14.Ho, T.、Stoll, H.(1980)。On Dealer Markets under Competition。Journal of Finance,35(2),259-267。  new window
15.Kyle, A. S.、Xiong, W.(2001)。Contagion as a wealth effect。The Journal of Finance,56(4),1401-1440。  new window
16.詹場、胡星陽(20010700)。流動性衡量方法之綜合評論。Proceedings of the National Science Council, Part C, Humanities and Social Sciences,11(3),205-221。  延伸查詢new window
17.Lesmond, David、Ogden, Joseph、Yrzcinka, Charles(1999)。A new estimate of transaction costs。Review of Financial Studies,12(5),1113-1141。  new window
18.Sias, R. W.(2004)。Institutional Herding。The Review of Financial Studies,17(1),165-206。  new window
19.Glosten, Lawrence R.、Harris, Lawrence E.(1988)。Estimating the Components of the Bid/Ask Spread。Journal of Financial Economics,21(1),123-142。  new window
20.Devenow, Andrea、Welch, Ivo(1996)。Rational Herding in Financial Economics。European Economic Review,40(3-5),603-615。  new window
21.Hameed, Allaudeen、Kang, Wenjin、Viswanathan, S.(2010)。Stock market declines and liquidity。Journal of Finance,65(1),257-293。  new window
22.Amihud, Y.、Mendelson, H.(1986)。Asset pricing and the bid-ask spread。Journal of Financial Economics,17(2),223-249。  new window
23.Roll, Richard(1984)。A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market。Journal of Finance,39(4),1127-1139。  new window
24.Stoll, Hans R.(1989)。Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests。Journal of Finance,44(1),115-134。  new window
25.楊淑玲、陳獻儀、游智賢(20060600)。交易強度、機構持股與機構投資人之交易行為。財務金融學刊,14(2),41-72。new window  延伸查詢new window
26.Chordia, Tarun、Roll, Richard、Subrahmanyam, Avanidhar(2000)。Commonality in Liquidity。Journal of Financial Economics,56(1),3-28。  new window
27.Kamara, Avraham、Lou, Xiaoxia、Sadka, Ronnie(2008)。The divergence of liquidity commonality in the cross-section of stocks。Journal of Financial Economics,89(3),444-466。  new window
28.Naes, R.、Skjeltorp, J. A.、Odegaard, B. A.(2011)。Stock Market Liquidity and the Business Cycle。Journal of Finance,66(1),139-176。  new window
29.Stoll, Hans R.(1978)。The Supply of Dealer Services in Securities Markets。Journal of Finance,33(4),1133-1151。  new window
30.Bikhchandani, S.、Hirshleifer, D.、Welch, I.(1992)。A theory of fads, fashion, custom, and culture change as information cascades。Journal of Polotical Economy,100(5),992-1026。  new window
31.Goyenko, R. Y.、Holden, C. W.、Trzcinka, C. A.(2009)。Do liquidity measures measure liquidity?。Journal of Financial Economics,92(2),153-181。  new window
32.Wermers, R.(1999)。Mutual Fund Herding and Impact on Stock Price。Journal of Finance,54(2),581-622。  new window
33.游智賢、姚瑜忠(20000800)。台灣共同基金操作策略之研究。中國財務學刊,8(2),49-76。new window  延伸查詢new window
34.Bernardo, A. E.、Welch, I.(2004)。Liquidity and Financial Market Runs。The Quarterly Journal of Economics,119(1),135-158。  new window
35.Froot, Kenneth A.、Scharfstein, David S.、Stein, Jeremy C.(1992)。Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation。Journal of Finance,47(4),1461-1484。  new window
36.Hirshleifer, David、Subrahmanyam, Avanidhar、Titman, Sheridan(1994)。Security Analysis and Trading Patterns When Some Investors Receive Information Before Others。Journal of Finance,49(5),1665-1698。  new window
37.Nofsinger, John R.、Sias, Richard W.(1999)。Herding and Feedback Trading by Institutional and Individual Investors。The Journal of Finance,54(6),2263-2295。  new window
38.Scharfstein, David S.、Stein, Jeremy C.(1990)。Herd Behavior and Investment。The American Economic Review,80(3),465-479。  new window
39.Demsetz, Harold(1968)。The cost of Transacting。Quarterly Journal of Economics,82(1),33-53。  new window
40.Pástor, Ľuboš、Stambaugh, Robert F.(2003)。Liquidity Risk and Expected Stock Returns。Journal of Political Economy,111(3),642-685。  new window
41.Gompers, Paul Alan、Metrick, Andrew(2001)。Institutional investors and equity prices。The Quarterly Journal of Economics,116(1),229-259。  new window
42.李春安、賴藝文(20050800)。股市劇烈變動區間臺灣股票市場與本國機構投資人從眾行為之研究。臺灣管理學刊,5(2),231-267。new window  延伸查詢new window
43.羅進水、李春安(20090700)。從眾與非從眾行為對市場報酬衝擊之研究。管理評論,28(3),21-41。new window  延伸查詢new window
44.Badrinath, Swaminathan G.、Wahal, Sunil(2002)。Momentum trading by institutions。The Journal of Finance,57(6),2449-2478。  new window
45.Fabozzi, Frank J.、Francis, Jack C.(1977)。Stability tests for alphas and betas over bull and bear market conditions。Journal of Finance,32(4),1093-1099。  new window
46.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1992)。The Impact of Institutional Trading on Stock Prices。Journal of Financial Economics,32(1),23-43。  new window
47.Chang, Eric C.、Cheng, Joseph W.、Khorana, Ajay(2000)。An examination of herd behavior in equity markets: An international perspective。Journal of Banking and Finance,24(10),1651-1679。  new window
48.Brunnermeier, Markus K.、Pedersen, Lasse Heje(2009)。Market Liquidity and Funding Liquidity。Review of Financial Studies,22(6),2201-2238。  new window
49.Amihud, Yakov(2002)。Illiquidity and Stock Returns: Cross- section and Time-series Effects。Journal of Financial Markets,5(1),31-56。  new window
50.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
51.Grossman, S. J.(1978)。Further Results of the Informational Efficiency of Competitive Stock Markets。Journal of Economic Theory,18,81-101。  new window
研究報告
1.Puckett, A.、Yan, X.(2008)。Short-Term Institutional Herding and its Impact on Stock Prices。SSRN。  new window
2.Vayanos, D.(2004)。Flight to quality, flight to liquidity, and the pricing of risk。London School of Economics。  new window
圖書
1.Nofsinger, John R.、郭敏華(2002)。投資心理學。臺灣培生教育出版股份有限公司。  延伸查詢new window
2.Harris, L. E.(1990)。Liquidity, Trading Rules and Electronic Trading Systems。  new window
3.O'Hara, Maureen(1995)。Market Microstructure Theory。Cambridge, Massachusetts:Basil Blackwell Publisher Inc.。  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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