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題名:新聞情緒指標與臺灣加權股價指數之關係
書刊名:人文及社會科學集刊
作者:陳冠臻林忠億陳宏銘
作者(外文):Chen, Kuan-chenLin, Chung-iChen, Hong-ming
出版日期:2021
卷期:33:3
頁次:頁383-423
主題關鍵詞:新聞情緒投資人情緒股價指數文字探勘交易策略News sentimentInvestor sentimentStock market indexText miningTrading strategy
原始連結:連回原系統網址new window
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  • 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:56
  • 點閱點閱:11
期刊論文
1.Kamstra, M. J.、Kramer, L. A.、Levi, M. D.(2003)。Winter Blues: A SAD Stock Market Cycle。American Economic Review,93(1),324-343。  new window
2.García, Diego(2013)。Sentiment during recessions。The Journal of Finance,68(3),1267-1300。  new window
3.James, F. E. Jr.(1968)。Monthly Moving Averages: An Effective Investment Tool?。The Journal of Financial and Quantitative Analysis,3(3),315-326。  new window
4.Pástor, Ľ.、Veronesi, P.(2005)。Rational IPO Waves。The Journal of Finance,60(4),1713-1757。  new window
5.Hirshleifer, David、Shumway, Tyler(2003)。Good Day Sunshine: Stock Returns and the Weather。The Journal of Finance,58(3),1009-1032。  new window
6.Tetlock, Paul C.、Saar-Tsechansky, Maytal、Macskassy, Sofus(2008)。More than words: Quantifying language to measure firms' fundamentals。The Journal of Finance,63(3),1437-1467。  new window
7.Salton, G.、Wong, A.、Yang, C. S.(1975)。A Vector Space Model for Automatic Indexing。Communications of the ACM,18(11),613-620。  new window
8.Baker, M.、Wurgler, J.(2000)。The Equity Share in New Issues and Aggregate Stock Returns。The Journal of Finance,55(5),2219-2257。  new window
9.Kwon, K. Y.、Kish, R. J.(2002)。A Comparative Study of Technical Trading Strategies and Return Predictability: An Extension of Brock, Lakonishok and LeBaron 1992 Using NYSE and NASDAQ Indices。The Quarterly Review of Economics and Finance,42(3),611-631。  new window
10.Black, F.(1986)。Noise。Journal of Finance,41(3),528-543。  new window
11.Brock, William、Lakonishok, Josef、LeBaron, Blake(1992)。Simple Technical Trading Rules and the Stochastic Properties of Stock Returns。The Journal of Finance,47(5),1731-1764。  new window
12.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
13.Gençay, R.(1996)。Non-Linear Prediction of Security Returns with Moving Average Rules。Journal of Forecasting,15(3),165-174。  new window
14.Chen, An-Sing、Leung, Mark T.、Daouk, Hazem(2003)。Application of Neural Networks to an Emerging Financial Market: Forecasting and Trading the Taiwan Stock Index。Computers & Operations Research,30(6),901-923。  new window
15.Gunasekarage, Abeyratna、Power, David M.(2001)。The profitability of moving average trading rules in South Asian stock markets。Emerging Markets Review,2(1),17-33。  new window
16.Kearney, Colm、Liu, Sha(2014)。Textual sentiment in finance: a survey of methods and models。International review of financial analysis,33(5),171-185。  new window
17.Baker, M.、Wurgler, J.(2006)。Investor Sentiment and Cross-Section of Stock Returns。The Journal of Finance,61(4),1645-1680。  new window
18.Li, X.、Xie, H.、Chen, L.、Wang, J.、Deng, X.(2014)。News impact on stock price return via sentiment analysis。Knowledge-Based Systems,69,14-23。  new window
19.Weng, B.、Ahmed, M. A.、Megahed, F. M.(2017)。Stock market one-day ahead movement prediction using disparate data sources。Expert Systems With Applications,79,153-163。  new window
20.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
21.Sharpe, William F.(1994)。The Sharpe ratio。The Journal of Portfolio Management,21(1),49-58。  new window
22.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
23.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics,49(3),307-343。  new window
24.Chen, Nai-fu、Roll, Richard、Ross, Stephen A.(1986)。Economic Forces and the Stock Market。Journal of Business,59(3),383-403。  new window
25.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
26.Brown, Gregory W.、Cliff, Michael T.(2004)。Investor sentiment and the near-term stock market。Journal of Empirical Finance,11(1),1-27。  new window
27.Tetlock, Paul C.(2007)。Giving content to investor sentiment: The role of media in the stock market。The Journal of Finance,62(3),1139-1168。  new window
28.Slovic, Paul、Finucane, Melissa L.、Peters, Ellen、MacGregor, Donald G.(2007)。The affect heuristic。European journal of operational research,177(3),1333-1352。  new window
29.Faber, M. T.(2007)。A Quantitative Approach to Tactical Asset Allocation。The Journal of Wealth Management,9(4),69-79。  new window
30.Baker, M.、Wurgler, J.(2007)。Investor Sentiment in the Stock Market。Journal of Economic Perspectives,21(2),129-151。  new window
31.Biswas, R.、Riffe, D.、Zillmann, D.(1994)。Mood Influence on the Appeal of Bad News。Journalism & Mass Communication Quarterly,71(3),689-696。  new window
32.Chan, S. W. K.、Chong, M. W. C.(2017)。Sentiment Analysis in Financial Texts。Decision Support Systems,94,53-64。  new window
33.Daniel, M.、Neves, R. F.、Horta, N.(2017)。Company Event Popularity for Financial Markets Using Twitter and Sentiment Analysis。Expert Systems with Applications,71,111-124。  new window
34.García Petit, J. J.、Vieites, A. R.、Lafuente, E. V.(2020)。Sense and Sentiment: A Behavioral Approach to Risk Premium Modelling。Spanish Journal of Finance and Accounting,49(3),292-321。  new window
35.Yang, C.、Zhang, R.(2014)。Does Mixed-Frequency Investor Sentiment Impact Stock Returns? Based on the Empirical Study of MIDAS Regression Model。Applied Economics,46(9),966-972。  new window
36.Weng, B.、Lu, L.、Wang, X.、Megahed, F. M.、Martinez, W.(2018)。Predicting Short-Term Stock Prices Using Ensemble Methods and Online Data Sources。Expert Systems with Applications,112,258-273。  new window
37.Pavlov, V.、Hurn, S.(2012)。Testing the Profitability of Moving-Average Rules as a Portfolio Selection Strategy。Pacific-Basin Finance Journal,20(5),825-842。  new window
38.蔡佩蓉、王元章、張眾卓(20090700)。投資人情緒、公司特徵與臺灣股票報酬之研究。經濟研究. 臺北大學經濟學系,45(2),273-322。new window  延伸查詢new window
39.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
40.Ding, Zhuanxin、Granger, Clive W. J.、Engle, Robert F.(1993)。A long memory property of stock market returns and a new model。Journal of Empirical Finance,1(1),83-106。  new window
41.Chiarella, C.、He, X. Z.、Hommes, C.(2006)。A dynamic analysis of moving average rules。Journal of Economic Dynamics and Control,30(9/10),1729-1753。  new window
會議論文
1.Fung, G. P. C.、Yu, J. X.、Lam, W.(2002)。News sensitive stock trend prediction。Pacific-Asia Conference on Knowledge Discovery and Data Mining。Springer。481-493。  new window
2.Zhai, Y.、Hsu, A.、Halgamuge, S. K.(2007)。Combining News and Technical Indicators in Daily Stock Price Trends Prediction。The 4th International Symposium on Neural Networks,(會議日期: 2007/06/03-06/07)。Springer。1087-1096。  new window
3.Mahajan, A.、Dey, L.、Haque, S. M.(2008)。Mining Financial News for Major Events and Their Impacts on the Market。The 2008 IEEE/WIC/ACM International Conference on Web Intelligence and Intelligent Agent Technology。IEEE Computer Society。423-426。  new window
研究報告
1.台北市媒體服務代理商協會(2017)。2017年台灣媒體白皮書。  延伸查詢new window
2.臺灣證券交易所(2016)。市場交易月報。  延伸查詢new window
3.Wysocki, P. D.(1998)。Cheap Talk on the Web: The Determinants of Postings on Stock Message Boards。  new window
圖書
1.尼爾森媒體大調查(2013)。尼爾森媒體研究月刊。  延伸查詢new window
2.創市際市場研究顧問股份有限公司(20160315)。創市際雙週刊。  延伸查詢new window
3.Appel, G.(2005)。Technical Analysis: Power Tools for Active Investors。Financial Times。  new window
其他
1.台北市媒體服務代理商協會(2010)。2010年台灣媒體白皮書,https://maataipei.org/download/2010%e5%aa%92%e9%ab%94%e7%99%bd%e7%9a%ae%e6%9b%b8/。  new window
 
 
 
 
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