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題名:漲跌幅限制之再探討
書刊名:中國財務學刊
作者:周賓凰 引用關係吳壽山 引用關係
作者(外文):Chou, Pin-huangWu, Soushan
出版日期:1998
卷期:6:2
頁次:頁19-48
主題關鍵詞:漲跌幅限制冷卻效果磁鐵效果市場波動性貝氏分析Price limitsCool-off effectMagnet effectVolatilityGibbs samplerBayesian analysis
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(9) 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:9
  • 共同引用共同引用:16
  • 點閱點閱:21
期刊論文
1.Chen, Y. M.(1993)。Price Limits and the Stock Market: Volatility in Taiwan。Pacific-Basin Finance Journal,1,139-153。  new window
2.Ma, Christopher K.、Rao, Ramesh P.、Sears, R. Stephen(1989)。Volatility, price resolution, and the effectiveness of price limits。Journal of Financial Services Research,3(2/3),165-199。  new window
3.Kim, Kenneth A.、Rhee, S. Ghon(1997)。Price Limit Performance: Evidence From the Tokyo Stock Exchange。Journal of Finance,52(2),885-901。  new window
4.Lehmann, B. N.(1989)。Commentary: Volatility, Price Resolution, and the Effectiveness of Price Limits。Journal of Financial Services Research,3,205-209。  new window
5.吳壽山、周賓凰(1996)。衡量漲跌停限制對股票報酬與風險之影響。證券市場發展季刊,8(1),1-28。new window  延伸查詢new window
6.Brennan, Michael J.(1986)。A Theory of Price Limits in Futures Markets。Journal of Financial Economics,16(2),213-233。  new window
7.Lo, A. W.、MacKinlay, A. C.(1990)。An econometric analysis of nonsynchronous trading。Journal of Econometrics,45(1/2),181-211。  new window
8.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
9.Kyle, A. S.(1988)。Trading Halts and Price Limits, (with comments and discussion)。The Review of Futures Markets,7(3),426-434。  new window
10.Ma, C. K.、Rao, R. P.、Sears, R. S.(1989)。Limit moves and price resolution: the case of the Treasury bond futures markets。The Journal of Futures Markets,9(4),321-335。  new window
11.Ma, T.(1993)。Price limits, margin requirements, and stock market volatility: An empirical analysis of the Taiwan stock market。Research in International Business and Finance,10,229-251。  new window
12.沈中華、周賓凰(1997)。漲跌幅限制下臺灣股市的星期效應與自我相關-Gibbs Sampler的應用。經濟論文,25(1),21-44。new window  延伸查詢new window
13.Albert, J.、Chib, S.(1993)。Bayesian Analysis of Binary and Polychotomous Response Data。Journal of American Statistical Association,88,669-679。  new window
14.Chiang, R.、Wei, K. C. J.、Wu, S.(1990)。Price Limits in Taiwan and Risk-return Estimation。Pacific-Basin Capital Market Research,1,173-180。  new window
15.Chib, S.(1992)。Bayesian Inference of Tobit Model。Journal of Econometrics,51,79-99。  new window
16.Chou, P. H.(1997)。A Gibbs sampling approach to the estimation of linear regression models under daily price limits。Pacific-Basin Finance Journal,5,39-62。  new window
17.Coursey, D. L.、Dyl, E. A.(1989)。Price Limits, Trading Suspensions, and the Adjustment of Prices to New Information (with comments and discussion)。Review of Futures Markets,9(2),342-371。  new window
18.France, V. G.、Kodres, Laura、Mosers, James T.(1995)。A Review of Regulatory Mechanisms to Control the Volatility of Prices。Economic Perspectives,18,15-28。  new window
19.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
20.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
21.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
22.Kodres, L. E.、O'Brien, D. P.(1994)。The Existence of Pareto-Superior Price Limits。The American Economic Review,84,919-932。  new window
23.Lee, S. -B.、Kim, K. -J.(1995)。The Effect of Price Limits on Stock Price Volatility: Empirical Evidence in Korea。Journal of Business Finance & Accounting,22,257-267。  new window
24.Sutrick, K. H.(1993)。Reducing the Bias in Empirical Studies due to Limit Moves。The Journal of Futures Markets,13(5),527-543。  new window
25.Yang, S. R.、Brorsen, B. W.(1995)。Price Limits as an Explanation of Thin-tailedness in Pork Bellies Futures Prices。The Journal of Futures Markets,15,45-59。  new window
會議論文
1.蕭慧玲、李存修、胡星陽(1997)。漲跌幅措施對股票報酬率影響之研究。沒有紀錄。319-343。  延伸查詢new window
研究報告
1.Chiang, R.、Wei, K. C.(1989)。Price Limits and Estimation of Expected Return and Risk。University of Miami。  new window
2.Chiang, R.、Wei, K. C. John(1995)。Using Daily Security Prices to Estimate Volatility and Regression Models under Price Limits。Department of Finance, Hong Kong University of Science and Technology。  new window
3.Chib, S.、Greenberg, E.(1995)。Markov Chain Monte Carlo Simulation Methods in Econometrics。St. Louis。  new window
4.Chou, P. -H.(1997)。Modeling Price Limits。Taiwan。  new window
5.Chou, P. -H.、吳壽山(1996)。On the Impact and Effectiveness of Price Limits on Stock Returns and Volatility: Evidence from Taiwan。0。  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)。Limited-dependent and Qualitative Variables in Econometics。Cambridge University Press。  new window
其他
1.Chib, S.,Chou, P. H.,Wu, S.(1997)。An Investigation of the Impact of Daily Price Limits on Futures Markets,Taiwan。  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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