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題名:以「期貨交易資料」作為「情緒指標」之檢驗與評析
書刊名:期貨與選擇權學刊
作者:張振山王宏瑞李孟哲
作者(外文):Chang, Chen-shanWang, Hung-juiLee, Meng-che
出版日期:2021
卷期:14:2
頁次:頁1-23
主題關鍵詞:投資人情緒基本面因素因素分析-主成分法波動率指數賣權/買權比Investor sentimentFundamentalsFactor analysis with principal component methodVIXPut/call ratio
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(0) 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:0
  • 共同引用共同引用:92
  • 點閱點閱:8
期刊論文
1.張巧宜、張傳盛(20111100)。多空期間投資人情緒與臺股期貨報酬關係。期貨與選擇權學刊,4(2),113-138。new window  延伸查詢new window
2.陳煒朋、吳壽山、洪慧妤(20100500)。選擇權價格效率性、放空限制與雜訊交易者風險。期貨與選擇權學刊,3(1),1-31。new window  延伸查詢new window
3.Cooper, Michael J.、Dimitrov, Orlin P.、Rau, P. Raghavendra(2001)。A Rose.com by Any Other Name。Journal of Finance,56(6),2371-2388。  new window
4.Han, Bing(2008)。Investor Sentiment and Option Prices。Review of Financial Studies,21(1),387-414。  new window
5.Shleifer, Andrei、Vishny, Robert W.(1997)。The Limits of Arbitrage。Journal of Finance,52(1),35-55。  new window
6.Kumar, Alok、Lee, Charles M. C.(2006)。Retail Investor Sentiment and Return Comovements。Journal of Finance,61(5),2451-2486。  new window
7.陳隆麒、翁霓、郭敏華(19950100)。雜訊交易對臺灣地區投資人行為及股價之影響。證券市場發展,7(1)=25,101-124。new window  延伸查詢new window
8.Ljungqvist, Alexander、Singh, Rajdeep、Nanda, Vikram K.(2006)。Hot Markets, Investor Sentiment, and IPO Pricing。Journal of Business,79(4),1667-1702。  new window
9.蔡怡純(20091200)。臺股指數與投資人情緒:現貨與期貨市場比較。臺灣期貨與衍生性商品學刊,9,76-95。new window  延伸查詢new window
10.Ding, Cherng G.、Wang, Hung-Jui、Lee, Meng-Che、Hung, Wen-Chi、Lin, Chieh-Peng(2014)。How Does the Change in Investor Sentiment over Time Affect Stock Returns?。Emerging Markets Finance & Trade,50(Suppl. 2),144-158。  new window
11.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
12.Zweig, Martin E.(1973)。An Investor Expectations Stock Price Predictive Model Using Closed-End Fund Premiums。The Journal of Finance,28(1),67-78。  new window
13.Dorn, Daniel(2009)。Does sentiment drive the retail demand for IPOs?。Journal of Financial and Quantitative Analysis,44(1),85-108。  new window
14.Ford, J. K.、MacCallum, R. C.、Tait, M.(1986)。The Application of Exploratory Factor Analysis in Applied Psychology: A Critical Review and Analysis。Personnel Psychology,39(2),291-314。  new window
15.Shiller, Robert J.(1984)。Stock Prices and Social Dynamics。Brookings Papers on Economic Activity,2,457-510。  new window
16.Odean, Terrance(1998)。Volume, Volatility, Price, and Profit When All Traders Are Above Average。Journal of Finance,53(6),1887-1934。  new window
17.Simon, David P.、Wiggins, Roy A. III(2001)。S&P futures returns and contrary sentiment indicators。Journal of Futures Markets,21(5),447-462。  new window
18.彭建文、張金鶚(20000700)。總體經濟對房地產景氣影響之研究。國家科學委員會研究彙刊. 人文及社會科學,10(3),330-343。  延伸查詢new window
19.周賓凰、張宇志、林美珍(20070700)。投資人情緒與股票報酬互動關係。證券市場發展季刊,19(2)=74,153-190。new window  延伸查詢new window
20.Baker, Malcolm、Stein, Jeremy C.(2004)。Market liquidity as a sentiment indicator。Journal of Financial Markets,7(3),271-299。  new window
21.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
22.Shleifer, Andrei、Summers, Lawrence H.(1990)。The Noise Trader Approach to Finance。Journal of Economic Perspectives,4(2),19-33。  new window
23.Thaler, Richard H.(1999)。The End of Behavioral Finance。Financial Analysts Journal,55(6),12-17。  new window
24.Baker, Malcolm、Wurgler, Jeffrey(2007)。Investor sentiment in the stock market。Journal of Economic Perspectives,21(2),129-152。  new window
25.Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。The Journal of Finance,61(4),1645-1680。  new window
26.Deeney, P.、Cummins, M.、Dowling, M.、Bermingham, A.(2015)。Sentiment in Oil Markets。International Review of Financial Analysis,39,179-185。  new window
27.Gao, Lin、Süss, Stephan(2015)。Market Sentiment in Commodity Futures Returns。Journal of Empirical Finance,33,84-103。  new window
28.Lee, Ronald D.(2014)。Macroeconomic Consequences of Population Aging in the United States: Overview of a National Academy Report。American Economic Review,104,234-239。  new window
29.Tian, Lihui(2011)。Regulatory Underpricing: Determinants of Chinese Extreme IPO Returns。Journal of Empirical Finance,18(1),78-90。  new window
30.Wang, Y.-M.、Li, C.-A.、Lin, C.-F.(2009)。The Impact of Investor Sentiment on the Futures Market: Evidence from the Taiwan Futures Exchange。International Research Journal of Finance and Economics,28,134-151。  new window
31.Wang, Yu-Min、Li, Chun-An、Lin, Cha-Fei(2011)。Investor Sentiment Spillover Effects between the Futures and Spot Markets。Investment Management and Financial Innovations,8,63-71。  new window
32.Kahneman, Daniel、Tversky, Amos(1979)。Prospect Theory: An Analysis of Decision under Risk。Econometrica: Journal of the Econometric Society,47(2),263-292。  new window
33.李春安、羅進水、蘇永裕(20060600)。動能策略報酬、投資人情緒與景氣循環之研究。財務金融學刊,14(2),73-109。new window  延伸查詢new window
研究報告
1.郭敏華(2009)。如何測量投資人情緒。世新大學。  延伸查詢new window
 
 
 
 
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