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題名：衡量漲跌幅限制對股票報酬與風險之影響
書刊名：證券市場發展季刊
作者：吳壽山 引用關係／周賓鳳
作者(外文)：Wu, Soushan／Chou, pin-huang
出版日期：1996
卷期：8:1=29
頁次：頁1-29
主題關鍵詞：漲跌幅限制；股票波動性；Price limit；Gibbs sampler；Volatility
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:43
期刊論文
1.Ma, C. K.、Rao, R. P.、Sears, R. S.(1989)。Limit Moves and Price Resolution: the Case of the Treasury Bond Futures Market。Journal of Futures Markets，9，321-335。  new window
2.Albert, J. H.、Chib, S.(1993)。Bayesian Analysis of Binary and Polychotomous Response Data。Journal of the American Statistical Association，88(422)，669-679。  new window
3.Tanner, Martin A.、Wong, Wing(1987)。The Calculation of Posterior Distributions by Data Augmentation。Journal of the American Statistical Association，82(398)，528-540。  new window
4.Chen, Y. M.(1993)。Price Limits and Stock Market Volatility in Taiwan。Pacific-Basin Finance Journal，1，139-153。  new window
5.Brennan, Michael J.(1986)。A Theory of Price Limits in Futures Markets。Journal of Financial Economics，16(2)，213-233。  new window
6.Lo, A. W.、MacKinlay, A. C.(1990)。An econometric analysis of nonsynchronous trading。Journal of Econometrics，45(2)，181-211。  new window
7.Sutrick, K. H.(1993)。Reducing the bias in empirical studies due to limit moves。Journal of Futures Markets，13(5)，527-543。  new window
8.Chiang, Raymond、Wei, John K. C.、Wu, Soushan(1990)。Price Limits in Taiwan and Risk-Retum Estimation。Pacific-Basin Capital Market Research，1，173-180。  new window
9.Coursey, D. L.、Dyl, E. A.(1989)。Price Limits, Trading Suspen-sions, and the Adjustment of Pricesto New Information (with comments and discussion)。Review of Futures Markets，9，342-371。  new window
10.Ma, C. K. R.、Rao, P.、Sears, S. R.(1989)。Volatility, Price Resolution, and the Effectiveness of Price Limits。Journal of Financial Services Research，3，165-199。  new window
11.Gelfand, Alan E.、Smith, Adrian F. M.(1990)。Sampling-Based Approaches to Calculating Marginal Densities。Journal of the American Statistical Association，85(410)，398-409。  new window
12.Kodres, Laura E.(1993)。Tests of Unbiasedness in the Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heteroscedasticity。The Journal of Business，66(3)，463-490。  new window
13.Kyle, A. S.(1988)。Trading Halts and Price Limits, (with comments and discussion)。The Review of Futures Markets，7(3)，426-434。  new window
14.Chib, S.(1992)。Bayesian Inference of Tobit Model。Journal of Econometrics，51，79-99。  new window
15.Kao, G. W.、Ma, C. K.(1992)。Memories, Heteroscedasticity, and Price Limit in Currency Futures Markets。The Journal of Futures Markets，12，679-692。  new window
16.Khoury, S. J.、Jones, G. L.(1982)。Daily Price Limits on Futures Contracts: Nature, Impact, and Justification。Review of Futures Markets，2，22-47。  new window
17.Kodres, Laura E.(1988)。Tests of Unbiasedness in Foreign Exchange Futures Markets: The Effects of Price Limits。Review of Futures Markets，7，139-175。  new window
會議論文
1.沈中華、周賓凰(1994)。漲跌幅限制下的股市週天效應。第三屆證券市場理論與實務研討會。  延伸查詢new window
研究報告
1.Chiang, R.、Wei, K. C. John(1992)。Estimation of Volatility Under Price Limits。University of Miami。  new window
2.Chou, P.-H.、Wu, Soushan(1995)。Measuring the Impact and Effectiveness of Price Limits: The Case of Taiwan's Stock market。National Central University。  new window
3.Chiang, R.、Wei, K. C.(1989)。Price Limits and Estimation of Expected Return and Risk。University of Miami。  new window
圖書
1.Berger, J. O.(1985)。Statistical decision theory and Bayesian analysis。New York：Springer-Verlag。  new window
2.Maddala, G. S.(1983)。Limit-Dependent and Qualitative Variables in Econometrics。Cambridge University Press。  new window
3.Zellner, A.(1971)。An Introduction to Bayesian Econometrics。New York：Wiley。  new window
單篇論文
1.Chib, S.，Greenberg, E.(1993)。Markov Chain Monte Carlo Simulation Methods in Econometrics，St. Louis.：Washington University。  new window
2.Cho, P.-H.(1995)。Estimating the Systematic Risk Under Price Limits: A Gibbs Sampling Approach，Department of Finance, National Central University。  new window
3.Chou, P.-H.，Chib, S.(1995)。Estimating the Optimal Hedge Ratio Under Price Limits: A Bayesian Approach Using Gibbs Sampler，Department of Finance, National Central University。  new window
圖書論文
1.馬黛(1993)。臺灣股市波動因素及穩定措施之研究--停板、信用交易保證金及證交稅對股市波動性之影響。臺灣股市結構與制度。中華民國管理科學學會。  延伸查詢new window
 
 
 
 
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