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題名:資訊交易對股票報酬波動率之不對稱影響
書刊名:應用經濟論叢
作者:張慶良黃宜侯 引用關係林秀怡詹佳縈 引用關係
作者(外文):Chang, Ching-liangHuang, Alex Yi-houLin, Siou-yiChan, Chia-ying
出版日期:2017
卷期:101
頁次:頁109-147
主題關鍵詞:波動率資訊交易資訊交易機率不對稱效應VolatilityInformed tradingPorbability of information-based tradingAsymmetric effect
原始連結:連回原系統網址new window
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  • 點閱點閱:67
期刊論文
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3.Avramov, D.、Chordia, T.、Goyal, A.(2006)。The Impact of Trades on Daily Volatility。Review of Financial Studies,19,1241-1277。  new window
4.Aslan, Hadiye、Easley, David、Hvidkjaer, Soeren、O'Hara, Maureen(2011)。The characteristics of informed trading: Implications for asset pricing。Journal of Empirical Finance,18(5),782-801。  new window
5.Foster, F. Douglas、Viswanathan, Sathish(1994)。Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information。Journal of Financial and Quantitative Analysis,29(4),499-518。  new window
6.Ghysels, E.、Santa-Clara, P.、Valkanov, R.(2005)。There is a Risk-Return Trade-off After All。Journal of Financial Economics,76(3),509-548。  new window
7.Kim, O.、Verrecchia, R. E.(1997)。Pre-announcement and event-period private Information。Journal of Accounting and Economics,24,395-419。  new window
8.Culter, David M.、Poterba, James M.、Summers, Lawrences H.(1989)。What moves stock prices?。Journal of Portfolio Management,15(3),4-12。  new window
9.Vega, Clara(2006)。Stock price reaction to public and private information。Journal of Financial Economics,82(1),103-133。  new window
10.Huang, A. Y.(2012)。Asymmetric Dynamics of Stock Price Continuation。Journal of Banking and Finance,36(6),1839-1855。  new window
11.Aggarwal, Rajesh K.、Wu, Guojun(2006)。Stock Market Manipulations。Journal of Business,79(4),1915-1953。  new window
12.Evans, Martin D. D.、Lyons, Richard K.(2008)。How is macro news transmitted to exchange rates?。Journal of Financial Economics,88(1),26-50。  new window
13.Duarte, J.、Young, L.(2009)。Why is PIN priced?。Journal of Financial Economics,91,119-138。  new window
14.Haas, M.、Mittnik, S.、Paolella, M. S.(2004)。A new approach to Markov-switching GARCH models。Journal of Financial Econometrics,2,493-530。  new window
15.Easley, David、Hvidkjaer, Soeren、O'Hara, Maureen(2010)。Factoring information into returns。Journal of Financial and Quantitative Analysis,45(2),293-309。  new window
16.Easley, David、O'Hara, Maureen(1992)。Time and the Process of Security Price Adjustment。Journal of Finance,47,577-605。  new window
17.Guo, Hui、Savickas, Robert(2008)。Average Idiosyncratic Volatility in G7 Countries。Review of Financial Studies,21(3),1259-1296。  new window
18.Chan, Kalok、Menkveld, Albert J.、Yang, Zhishu(2008)。Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount。The Journal of Finance,63(1),159-196。  new window
19.Easley, D.、Kiefer, N. M.、O'Hara, M.(1997)。One day in the life of a very common stock。Review of Financial Studies,10,805-835。  new window
20.Easley, David、Engle, Robert F.、O'Hara, Maureen、Wu, Liuren(2008)。Time-varying arrival rates of informed and uninformed trades。Journal of Financial Econometrics,6(2),171-207。  new window
21.Chernov, Mikhail、Ghysels, Eric(2000)。A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation。Journal of Financial Economics,56,407-458。  new window
22.Fleming, M. J.、Remolona, E. M.(1999)。Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information。Journal of Finance,54(5),1901-1915。  new window
23.Andersen, T. G.、Sørensen, B. E.(1996)。GMM estimation of a stochastic volatility model: A Monte Carlo study。Journal of Business & Economic Statistics,14(3),328-352。  new window
24.Breen, William、Glosten, Lawrence R.、Jagannathan, Ravi(1989)。Economic Significance of Predictable Variations in Stock Index Returns。Journal of Finance,44(5),1177-1189。  new window
25.Holden, Craig W.、Subrahmanyam, Avanidhar(1992)。Long-lived Private Information and Imperfect Competition。The Journal of Finance,47(1),247-270。  new window
26.Campbell, John Y.、Lettau, Martin、Malkiel, Burton G.、Xu, Yexiao(2001)。Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk。Journal of Finance,56(1),1-43。  new window
27.Lamoureux, Christopher G.、Lastrapes, William D.(1990)。Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects。Journal of Finance,45(1),221-229。  new window
28.Easley, D.、Hvidkjaer, S.、O'Hara, M.(2002)。Is information risk a determinant of asset returns?。Journal of Finance,57(5),2185-2221。  new window
29.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
30.Admati, A. R.、Pfleiderer, P.(2000)。Forcing Firms to Talk: Financial Disclosure Regulation and Externalities。Review of Financial Studies,13(3),479-519。  new window
31.Ang, A.、Hodrick, R. J.、Xing, Y.、Zhang, X.(2006)。The Cross-section of Volatility and Expect Returns。Journal of Finance,61,259-599。  new window
32.Chakravarty, S.、Gulen, H.、Mayhew, S.(2004)。Informed Trading in Stock and Option Markets。Journal of Finance,59,1235-1257。  new window
33.Daigler, R. T.、Wiley, M. K.(2002)。The Impact of Trader Type on The Futures Volatility-volume Relation。Journal of Finance,54,2297-2316。  new window
34.Holden, Craig W.、Subrahmanyam, Avanidhar(1996)。Risk Aversion, Liquidity, and Endogenous Short Horizons。Review of Financial Studies,9(2),691-722。  new window
35.Huang, A. Y.(2011)。Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact。Computational Economics,37,301-330。  new window
36.Watanabe, M.(2008)。Price Volatility and Investor Behavior in an Overlapping Generations Models with Information Asymmetry。Journal of Finance,63,229-272。  new window
37.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance,44(5),1115-1153。  new window
38.Goyal, Amit、Santa-Clara, Pedro(2003)。Idiosyncratic Risk Matters!。Journal of Finance,58(3),975-1007。  new window
39.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
40.Hansen, B. E.(2000)。Sample splitting and threshold estimation。Econometrica,68(3),575-604。  new window
41.French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics,19(1),3-29。  new window
42.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
43.Durnev, Art、Morck, Randall、Yeung, Bernard(2004)。Value-Enhancing Capital Budgeting and Firm-Specific Stock Return Variation。Journal of Finance,59(1),65-105。  new window
44.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics,33(1),3-56。  new window
45.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
46.Barndorff-Nielsen, Ole E.、Shephard, Neil(2002)。Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models。Journal of the Royal Statistical Society. Series B,64(2),253-280。  new window
47.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Ebens, Heiko(2001)。The Distribution of Realised Stock Return Volatility。Journal of Financial Economics,61(1),43-76。  new window
48.White, Halbert L. Jr.(1980)。A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity。Econometrica: Journal of the Econometric Society,48(4),817-838。  new window
49.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance,46(2),733-746。  new window
50.Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy,81(3),607-636。  new window
51.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。  new window
52.Christie, Andrew A.(1982)。The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。  new window
53.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
54.Pindyck, Robert S.(1984)。Risk, Inflation, And The Stock Market。American Economic Review,74,334-351。  new window
55.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
56.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
會議論文
1.Black, F.(1976)。Studies of stock market volatility changes。The 1976 Meetings of the American Statistical Association, Business and Economic Statistics Section。Alexandria, Virginia。177-181。  new window
 
 
 
 
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