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題名:臺灣股市交易資訊不對稱之實證研究--VAR模型之應用
書刊名:中國財務學刊
作者:黃仁甫劉玉珍
出版日期:1995
卷期:3:1
頁次:頁95-117
主題關鍵詞:股市交易資訊不對稱
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(13) 博士論文(2) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:13
  • 共同引用共同引用:0
  • 點閱點閱:68
期刊論文
1.Hasbrouck, Joel(1991)。The Summary Informativeness of Stock Trades: An Econometric Analysis。The Review of Financial Studies,4(3),571-595。  new window
2.Stoll, Hans R.、Ho, Thomas S. Y.(1981)。Optimal Dealer Pricing under Transactions and Return Uncertainty。Journal of Financial Economics,9(1),47-73。  new window
3.Grossman, S. J.(1977)。The existence of futures markets, noisy rational expectations and informational externalities。Review of Economic Studies,44,431-449。  new window
4.Pagan, A. R.、Wickens, M. R.(1989)。A Survey of Some Recent Econometric Methods。Economic Journal,99,962-1025。  new window
5.Venkatesh, P. C.、Chiang, R.(1986)。Information Asymmetry and the Dealer's Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements。The Journal of Finance,41(5),1089-1102。  new window
6.Grossman, S. J.(1981)。An Introduction to the Theory of Rational Expectations Under Asymmetric Information。Review of Economic studies,48,541-559。  new window
7.Mclnish, T. H.、Wood, R. A.(1990)。A transactions data analysis of the variability of common stock returns during 1980-1984。Journal of Banking and Finance,14,99-112。  new window
8.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
9.McInish, T. H.、Wood, R. A.(1992)。An Analysis of Intraday Patterns in Bid-Ask Spreads for NYSE Stocks。The Journal of Finance,47(2),753-764。  new window
10.Hasbrouck, Joel、Ho, Thomas S. Y.(1987)。Order arrival, quote behavior, and the return-generating process。Journal of Finance,42,1035-1048。  new window
11.Hasbrouck, Joel(1988)。Trades, quotes, inventories and information。Journal of Financial Economics,22,229-252。  new window
12.劉維琪、黃鉦堤、劉玉珍(19900500)。臺灣證券市場公司規模與盈餘宣告所含資訊內容之實證研究。管理科學學報,7(1),31-48。  延伸查詢new window
13.Harris, Lawrenc(1989)。A Day-End Transaction Price Anomaly。Journal of Financial and Quantitative Analysis,24(1),29-45。  new window
14.Admati, A. R.(1991)。The Informational Role of Prices。Journal of Monetary Economics,28,347-361。  new window
15.Bagehot, W.(1971)。The Only Game in Town。Financial Analysts Journal,8,31-53。  new window
16.Chiang, R.、Venkatesh, P. C.(1988)。Insider Holdings and Perceptions of Information Asymmetry: A Note。Journal of Finance,1041-1048。  new window
17.Engle, R. F.、Granger, C. W. J.(1987)。Co-Integration and Error Correction: Representattion, Estimation, and Testing。Econometrica,251-276。  new window
18.Glosten, Lawrence R.、Milgrom, Paul R.(1985)。Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Trades。Journal of Financial Economics,14,71-100。  new window
19.Grossman, S. J.(1976)。On the Efficiency of Competitive Stock Markets when Traders Have Diverse Information。Journal of Finance,31,537-585。  new window
20.Harris, Lawrence(1986)。A Transaction Data Study of Weekly and Intradaily Patterns in the Stock Returns。Journal of Financial Economics,16,99-117。  new window
21.Mclnish, T. H.、Wood, R. A.(1990)。An Analysis of Transactions Data for the Toronto Stock Exchange: Return Patterns and End-of-the-day Effects。Journal of Banking and Finance,14,441-458。  new window
22.Morse, D.、Ushman, N.(1983)。The Effect of Information Announcements on the Market Microstructure。Accounting Review,58(2),247-258。  new window
23.O'Hara, M.、Oldfield, G.(1986)。The Microeconomics of Market Making。Journal of Finanial and Quantitative Analysis,21,361-376。  new window
24.Stoll, H. R.(1978)。The Pricing of Security Dealer Services: An Emperical Study of NASDAQ Stocks。Journal of Finance,1153-1172。  new window
25.Stoll, H. R.(1989)。Inferring the Components of the Bid-Ask Spead: Theory and Empirical Tests。Journal of Finance,115-134。  new window
26.Venkatesh, P. C.(1992)。Empirical Evidence on the Impact of the Bid-Ask Spread on the Characteristics of CRSP Daily Returns。The Journal of Financial Research,15(2),113-125。  new window
27.Wood, R. A.、Mclnish, T. H.(1991)。Autocorrelation of Daily Inde Returns: Intraday-to-intraday Versus Close-to-close Intervals。Journal of Banking and Finance,15,193-206。  new window
28.Wood, R. A.、Mclnish, T. H.、Ord, J. Keith(1985)。An Investigation of Transactions Data for NYSE Stocks。Journal of Finance,723-741。  new window
29.Schwarz, Gideon(1978)。Estimating the Dimension of a model。The Annals of Statistics,6(2),461-464。  new window
30.Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics,19(1),69-90。  new window
31.Grossman, Sanford J.、Stiglitz, Joseph E.(1980)。On the Impossibility of Informationally Efficient Markets。The American Economic Review,70(3),393-408。  new window
32.Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society,37(3),424-438。  new window
33.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
34.Copeland, Thomas E.、Galai, Dan(1983)。Information Effects on the Bid-ask Spread。The Journal of Finance,38(5),1457-1469。  new window
35.Demsetz, Harold(1968)。The cost of Transacting。Quarterly Journal of Economics,82(1),33-53。  new window
36.Hasbrouck, Joel(1991)。Measuring the Information Content of Stock Trades。Journal of Finance,46(1),179-207。  new window
37.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
38.Grossman, S. J.(1978)。Further Results of the Informational Efficiency of Competitive Stock Markets。Journal of Economic Theory,18,81-101。  new window
會議論文
1.Liu, Y. J.、Liu, Vector W.、Cheng, M. S.(1993)。An Investigation of Intraday Pattern in the Taiwan Stock Market。PACAP Conference。  new window
研究報告
1.Hamao, Yasushi、Hasbrouck, Joel(1992)。Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange。N. Y. U.。  new window
2.Ho, Y. K.、Cheung, Y. L.(1992)。Intraday Prices and Trading Volume in an Emerging Asian Market- Hong Kong。  new window
圖書
1.Judge, George G.、Hill, R. Carter、Griffiths, William E.、Lütkepohl, Helmut、Lee, Tsoung-Chao(1988)。Introduction to the Theory and Practice of Econometrics。John Wiley & Sons, Inc.。  new window
 
 
 
 
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