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    政大機構典藏 > 商學院 > 企業管理學系 > 學位論文 >  Item 140.119/89133
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/89133


    Title: 台灣股市日內價量關係之探討
    Authors: 鄭淙仁
    ZHENG, CONG-REN
    Contributors: 劉維琪
    鄭淙仁
    ZHENG, CONG-REN
    Date: 1992
    1991
    Issue Date: 2016-05-02 15:13:15 (UTC+8)
    Reference: 一、中文部份:
    1 .林炯垚,"財務管理:理論與實務",民國79 年,台北:華泰書局。
    2. 林煜宗,"現代投資學:制度、理論與實證",民國77年,台北:三民書局。
    3 .陳隆麒,"現代財務管理,第四版" ,民國77年,台北:華泰書局。
    4. 張紘炬,"高等統計學",民國76年,台北:華泰書局。
    5. 張升寶,"股價震盪幅度的衡量與分析",國立中山大學企業管理研究所未出版碩士論文,民國79年。
    6. 顏月珠,"商用統計學",民國74年,台北:三民書局。

    二、英文部份
    [ 1] A.R.Admati, and P.Pfleiderer, " Divide and Conquer: A Theory of Intraday Day-of-The-Week Mean Effects." Working Paper, Graduate School of Business, Stanford University, (April 1989).
    [ 2J W.A. Brock,and A.W. Kleidon. n Exogenous Demand Shocks and Trading Volume: A Model of Intraday Bids and Asks." Working Paper, Uni. of Stanford(Feb. 1990)
    [ 3] Carpenter,M.D., and D.E. Upton. "Trading Volume and Beta Stability." The Journal of Portfolio Management,7(Winter 1981),60-64.
    [ 4J Clark,P.K. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Price." Econometrica, 41 (Jan. 1973), 135-155
    [ 5J Comiskey,E.E. jR.A. Walkling;and M.A.Weeks."Dispersion of Expectations and Trading Volume." Working Paper, GA Inst. of Tech.(Oct. 1984)
    [ 6] Copeland,T.E. "A Model of Asset Trading under the Assumption of Sequential Information Arrival." Journal of Finance, 31(Sept.1976),1149-1168
    [ 7] Copeland,T.E." A Probability Model of Asset Trading." Journal of Financial and Quantitative Analysis, 12 (Nov. 1977 ),573-578
    [ 8] Cornell ,B."The Relationship between Volume and Price Variability in Futures Markets." The Journal of Futures Markets, 1 (Fall 1981), 303-316.
    [ 9] Crouch,R.L." A Nonlinear test of the Random-Walk Hypothesis." American Economic Review,60(March 1970),199-202
    [10] Crouch,R.L."The Volume of Transactions and Price Changes on the New York stock Exchange."Financial Analysts Journal,26(July-Aug. 1970),104-109
    [11] Epps,T.W. "Security Price Changes and Transaction Volume: Theory and Evidence." American Economic Review,65 (Sept. 1975),586-597
    [12] Epps,T.W." The Demand of Brokers` services: The Relation between Security Trading and Transaction Cost." Bell Journal of Economics, 7 (Spring 1976),163-194
    [13] Epps,T.W."Security Price Changes and Transaction Volumes: Some Additional Evidence." Journal of Financial and Quantati Analysis, 12(March 1977), 141-146.
    [14] Epps,T.W."Security Price Changes and Transaction Volumes: Reply." American Economics Review, 68 (Sept. 1978),698-700.
    [15J Epps,T.W. ,and M.L. Epps. "The Stochastic Dependence of Security Price Changes and Transaction Volume: Implications for the Mixture-of-Distributions Hypothesis." Econometrica,44(March 1976),305-321.
    [16J A.R.Gallant, P.E.Rossi ,and G. Tauchen, "Stock Prices and Volume." Working Paper, Graduate School of Business, The University of Chicago, (Jan. 1990).
    [17J Geweke,J. ;R.Meese;and W.Oent." Comparing Alternative Tests of Causality in Temporal Systems." Journal of Econometrics,21(Feb. 1983),161-194.
    [18] Godfrey,M.D.; C.W.J.Granger; and a. Morgenstern. " The Random Walk Hypothesis of Stock Market Behavior." Kyklos 17 (Fasc. 1,1964),1-30.
    [19] Grammatikos,T., and A. Saunders. " Futures Price Variability: A Test of Maturity and Volume Effects." Journal of Business, 59(April 11986), 319-330.
    [20] Granger,C.W.J., and O. Morgenstern. "Spectral Analysis of New York Stock Market Prices." Kyklos,16(fasc.1 1963), 1-27.
    [21] Hanna, M. "Security Price Changes and Transaction Volumes: Additional Evidence." American Economic Review, 68(Sept.1978), 692-695.
    [22] Harris,L. "Cross-Security Tests of the Mixture ,of Distribution Hypothesis." Journal of Financial and Quantitative Analysis,21(March 1986),39-46.
    [23] Harris,L.,and E.Gurel." Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures."Journal of Finance 41(Sept. 1986), 815-829.
    [24] Harris,L.,"A Transaction Data Study of Weekly and Intradaily Patterns in. Stock Returns~" Journal of Financial Economics,16(1986),99-117.
    [25] Harris,L.," A Day-end Transaction Price Anomaly."Journal of Financial and Quantitative Analysis,24(1989),29-45.
    [26] Haugh,L. " Checking the Independence of Two Covariance Stationary Time Series:A Univariate Residual Cross-Correlation Approach." Journal of the American Statistical Association,71(June 1976),378-385.
    [27] Jain,P.C., and G.Joh." The Dependence between Hourly Prices and Trading Volume." Journal of Financial and Quantitative Analysis,23(Sept. 1988),269-283
    [28] James,C., and R.O.Edmister."The Relation between Common Stock Returns Trading Activity and Market Value." Journal of Finance, 38(Sept. 1983), 1075-1086.
    [29] Jennings,R.H., and C. Barry. "Information Dissemination and Portfolio Choice." Journal of Financial and Quantitative Analysis, 18(March 1983), 1-19.
    [30] Karpoff,J.M. "Costly Short Sales and the Correlation of Returns with Volume." Working Paper, Univ.of WA(Oct.1985) .
    [31] Karpoff, J. M."A Theory of Trading Volume." Journal of Finance, 41(Dec. 1986),1069-1088
    [32] Karpoff,J.M.,and R.A.Walkling."Short-Term Trading Around Ex-Dividend Days." Journal of Financial Economics,21(Sept. 1988),291-298.
    [33] Lakonishok,J., and T. Vermaelen." Tax-Induced Trading around Ex-Dividend Days." Journal of Financial Economics 16(July 1986), 287-319.
    [34] Lakonishok,J. ,and S.Smidt." Past Price Changes and Current Trading Volume." The Journal of Portfolio Management, (Summer 1989),18-24.
    [35] Lehvari,D.,and H.Levy. " The Capital Asset Pricing Model and the Investment Horizon." Review of Economics and Statistics, 59(Feb. 1977),92-104.
    [36] McInish,T.H. and R.A.Wood, " A Transactions Data Analysis of the Variability of Common Stock Returns during 1980-1984." Journal of Banking and Finance,14 (1990) 99-112.
    [37J Morgan,I.G." Stock Prices and Heteroskedasticity." Journal of Business, 49(Oct. 1976),496-508.
    [38J Morse,D."Asymmetrical Information in Securities Markets and Trading Volume." Journal of Financial and Quantitative Analysis, 15(Dec.1980),1129-1148.
    [39J Morse,D." Price and Trading Volume Reaction Surrounding Earnings Announcements: A Closer Examination. "Journal of Accounting Research, 19(Autumn 1981),374-383.
    [40J Osborne,M.F.M. " Brownian Motion in the Stock Market." Operations Research,7(March-April 1959),145-173.
    [41] Patell ,J.,and M.Wolfson."The Timing of Financial Accounting Disclosures and the Intraday Distribution of Security Price Changes." Journal of Financial Economics, 13(June 1984),223-252.
    [42J D.R.Peterson," A Transaction Data Study of Day-of-The Week and Intraday Paterns in Option Returns." Journal of Financial Research,2(Summer 1990),117-131.
    [43] Richardson,G. ;S.E.Sefcik; and R. Thompson. " A Test of Dividend Irrelevance Using Volume Reaction to a Change in Dividend Policy." Journal of Financia1 Economics, 17 (Dec. 1986), 313-333.
    [44J Rogalski,R.J." The Dependence of Prices and Volume." The Review of Economics and Statistics,36(May 1978), 268-274
    [45] Rogalski,R.J. " New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note." Journal of Finance,39(Dec.1984),1603-1614.
    [46] Smirlock,M., and L. Starks. " A Further Examination of Stock Price Changes and Transactions Volume." Journal of Financial Research,8(Fall 1985), 217-225.
    [47] Smirlock,M. and L.Starks,"Day-of-the-Week and Intraday Effects in Stock Returns." Journal of Financial Economics,17(1986),197-210.
    [48] J.A.Stephan, and R.E.Whaley, "Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets." Journal of Finance 45(March 1990),191-219.
    [49] S.E.Stickel," The Ex-Dividend Behavior of Nonconvertible Preferred Stock Returns and Trading Volume." Journal of Financial and Quantitative Analysis,26(March 1991),45-61.
    [50] Stoll ,H.R., and R.E.Whaley." Transaction Costs and the Small Firm Effect." Journal of Financial Economics,12 (June 1983),57-79.
    [51J Tauchen,G., and M.Pitt. "The Price Variability-Volume Relationship on Speculative Markets." Econometrica, 51 (March 1983),485-505.
    [52] Upton, D.E., and D.S.Shannon."The Stable Paretian Distribution, Subordinated Stochastic Processes, and Asymptotic Lognormality: An Empirical Investigation." Journal of Finance 34(Sept. 1979), 1031-1039.
    [53J Walkling,R.A. and R.O.Edmister." Are There Commission Cost Side-Effect form Portfolio Management Decisions ? " Financial Analysts Journal,39(July-Aug. 1983),52-59.
    [54] Westerfield,R. " The distributions of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models." Journal of Financial and Quantitative Analysis,12(Dec. 1977), 743-765.
    [55] Wood,R.A. ;T.H. McInich; and J.K.Ord. R An Investigation of Transactions Data of NYSE Stocks." Journal of Finance, 60(July 1985),723-739.
    [56] Ying,C.C." Stock Market Prices and Volumes of Sales." Econometrica, 34(July 1966), 676-686.
    Description: 碩士
    國立政治大學
    企業管理學系
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002004474
    Data Type: thesis
    Appears in Collections:[企業管理學系] 學位論文

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