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題名:股市波動性是否引發熊市?
書刊名:中山管理評論
作者:吳淑貞
作者(外文):Wu, Shue-jen
出版日期:2022
卷期:30:4
頁次:頁673-704
主題關鍵詞:熊市波動性預測Bear marketVolatilityPredictability
原始連結:連回原系統網址new window
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  • 點閱點閱:5
期刊論文
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3.Chen, S. S.(2012)。Revisiting the empirical linkages between stock returns and trading volume。Journal of Banking & Finance,36(6),1781-1788。  new window
4.Chang, K. L.(2009)。Do Macroeconomic Variables Have Regime-Dependent Effects on Stock Return Dynamics? Evidence from the Markov Regime Switching Model。Economic Modelling,26(6),1283-1299。  new window
5.Candelon, Bertrand、Piplack, Jan、Straetmans, Stefan(2008)。On Measuring Synchronization of Bulls and Bears: The Case of East Asia。Journal of Banking & Finance,32(6),1022-1035。  new window
6.Estrella, A.(1998)。A New Measure of Fit for Equations with Dichotomous Dependent Variables。Journal of Business & Economic Statistics,16(2),198-205。  new window
7.Guidolin, M.、Hyde, S.(2012)。Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective。Journal of Banking & Finance,36(3),695-716。  new window
8.Gordon, Stephen、St-Amour, Pascal(2000)。A Preference Regime Model of Bull and Bear Markets。American Economic Review,90(4),1019-1033。  new window
9.Wu, S. J.、Lee, W. M.(2012)。Predicting the U.S. Bear Stock Market Using the Consumption-Wealth Ratio。Economics Bulletin,32(4),3174-3181。  new window
10.Chen, Shiu-Sheng(2009)。Predicting the bear stock market: Macroeconomic variables as leading indicators。Journal of Banking and Finance,33(2),211-223。  new window
11.Kim, M. K.、Zumwalt, J. K.(1979)。An analysis of risk in bull and bear Markets。Journal of Financial and Quantitative Analysis,14(5),1015-1025。  new window
12.Ramchand, L.、Susmel, R.(1998)。Volatility and cross correlation across major stock markets。Journal of Empirical Finance,5(4),397-416。  new window
13.Diebold, F. X.、Rudebusch, G. D.(1989)。Scoring the Leading Indicators。Journal of Business,62(3),369-391。  new window
14.McQueen, G.、Roley, V. V.(1993)。Stock prices, news, and business conditions。Review of Financial Studies,6(3),683-707。  new window
15.Fama, Eugene F.、French, Kenneth R.(1989)。Business Conditions and Expected Returns on Stocks and Bonds。Journal of Financial Economics,25(1),23-49。  new window
16.Chen, Shiu-Sheng(2007)。Does Monetary Policy Have Asymmetric Effects on Stock Returns?。Journal of Money, Credit and Banking,39(2/3),667-688。  new window
17.Lewellen, J.(2004)。Predicting returns with financial ratios。Journal of financial Economics,74(2),209-235。  new window
18.Lintner, J.(1965)。The Valuation of Risky Assets and The Selection of Risky Investments in Stock portfolios and Capital budgets。Review of Economics and Statistics,47(1),13-37。  new window
19.Campbell, John Y.(1987)。Stock Returns and the Term Structure。Journal of Financial Economics,18(2),373-399。  new window
20.Pesaran, M. Hashem、Timmermann, Allan(1992)。A simple nonparametric test of predictive performance。Journal of Business & Economic Statistics,10(4),461-465。  new window
21.Chordia, Tarun、Shivakumar, Lakshmanan(2002)。Momentum, Business Cycle, and Time-varying Expected Returns。Journal of Finance,57(2),985-1019。  new window
22.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
23.Rapach, David E.、Wohar, Mark E.、Rangvid, Jesper(2005)。Macro Variables and International Stock Return Predictability。International Journal of Forecasting,21(1),137-166。  new window
24.Merton, Robert C.(1973)。An Intertemporal Capital Asset Pricing Model。Econometrica,41(5),867-887。  new window
25.Pagan, Adrian R.、Sossounov, Kirill A.(2003)。A simple framework for analysing bull and bear markets。Journal of Applied Econometrics,18(1),23-46。  new window
26.Wu, S. J.、Lee, W. M.(2015)。Predicting Severe Simultaneous Bear Stock Markets Using Macroeconomic Variables as Leading Indicators。Finance Research Letters,13,196-204。  new window
27.Fama, Eugene F.、French, Kenneth R.(1988)。Dividend Yields and Expected Stock Returns。Journal of Financial Economics,22(1),3-25。  new window
28.Mossin, Jan(1966)。Equilibrium in a Capital Asset Market。Econometrica,34(4),768-783。  new window
29.Bandi, F. M.、Perron, B.(2008)。Long-Run Risk-Return Trade-Offs。Journal of Econometrics,143(2),349-374。  new window
30.Duncan, A. S.、Kabundi, A.(2014)。Global Financial Crises and Time-Varying Volatility Comovement in World Equity Markets。South African Journal of Economics,82(4),531-550。  new window
31.Schwert, G. W.(1989)。Business cycle, Financial Crises, and Stock Volatility。Carnegie-Rochester Conference Series on Public Policy,31,83-126。  new window
32.Schwert, G. W.(2011)。Business Cycle, Stock Volatility during the Recent Financial Crisis。European Financial Management,17(5),789-805。  new window
33.Sharpe, W. F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Market Risk。Journal of Finance,19(3),425-442。  new window
34.Wang, Y.、Wei, Y.、Wu, C.、Libo, L.(2018)。Oil and the Short-Term Predictability of Stock Return Volatility。Journal of Empirical Finance,47,90-104。  new window
35.Wu, S. J.、Lee, W. M.(2015)。Intertemporal risk–return relationships in bull and bear markets。International Review of Economics and Finance,38,308-325。  new window
36.Diebold, Francis X.、Yilmaz, Kamil(2009)。Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets。Economic Journal,119(534),158-171。  new window
37.Cooper, Michael J.、Gutierrez, Roberto C. Jr.、Hameed, Allaudeen(2004)。Market States and Momentum。Journal of Finance,59(3),1345-1365。  new window
38.Abel, Andrew B.(1988)。Stock Prices Under Time-varying Dividend Risk: An Exact Solution In An Infinite-horizon General Equilibrium Model。Journal of Monetary Economics,22(3),375-393。  new window
39.Gennotte, G.、Marsh, T. A.(1993)。Variations in Economic Uncertainty and Risk Premiums on Capital Assets。European Economic Review,37(5),1021-1042。  new window
40.Backus, David K.、Gregory, Allan W.(1993)。Theoretical Relations between Risk Premiums and Conditional Variances。Journal of Business and Economic Statistics,11(2),177-185。  new window
41.Ball, C. A.、Torous, W. N.(2000)。Stochastic correlation across international stock markets。Journal of Empirical Finance,7(3/4),373-388。  new window
42.Morana, C.、Beltratti, A.(2008)。Comovements in international stock markets。Journal of International Financial Markets, Institutions and Money,18(1),31-45。  new window
研究報告
1.Bry, G.、Boschan, C.(1971)。Cyclical Analysis of Time Series: Selected procedures and Computer Programs。New York:National Bureau of Economic Research。  new window
 
 
 
 
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