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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85295


    Title: 以個股報酬率連動性探討台灣股市訊息傳導模式
    Authors: 沈綺容
    Contributors: 林修葳
    Lin, Hsiou-Wei
    沈綺容
    Keywords: 訊息傳導
    矩陣自我迴歸
    類神經網路
    領先-落後關係
    指標股
    Date: 2001
    Issue Date: 2016-04-18 16:24:10 (UTC+8)
    Abstract: 當市場上有訊息產生時,由於市場機制的限制或其他因素影響,例如投資人的心理,導致不同股票在傳導訊息時存在時間上的落差,因此產生反應訊息領先其他股票的指標股,在本研究中將利用兩種方法:矩陣自我迴歸及類神經網路檢測市場上是否存有指標股、其特性為何?及指標股是否具有穩定性。
    Reference: 中文部分
    1、何怡滿,台灣股票上市公司資訊特性之實證研究,國立中正大學財務 金融研究所未出版碩士論文,1992年。
    2、林志鴻,類神經網路支援股市投資決策,國立台灣大學商學研究所未出版碩士論文,1995年。
    3、張宮熊,矩陣自我迴規模式在金融市場資訊傳遞結構上之研究,國立中山大學企業管理研究所未出版博士論文,1997年。
    4、賴育志,台灣股市資訊傳導效果之研究,國立中正大學財務金融研究所未出版碩士論文,1999年。
    5、熊杏華,台灣股市大小公司間資訊傳遞方向及結構性差異之研究,國立中央大學財務管理研究所未出版碩士論文,1996年。
    6、蔡瑞煌,類神經網路概論,台北:三民書局,1995年。
    英文部分
    1、Badrinath, S.G., J.R.Kale, and T.H.Noe, 1995,”Of shepherds, sheep, and the cross-autocorrelation in equity returns”, Review of Financial Studies 6, 799-823.
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    3、Bacmannr, J.F. and M.Dubois,1998,”Contrarian strategies and cross-autocorrelation in stock returns:Evidence from France”, Working paper.
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    7、Chordia, T. and B. Swaminathan 2000,”Trading volume and cross-autocorrelations in stock returns”, The Journal of Finance55, 913-935.
    8、DeBondt, Werner F.M. and R. Thaler, 1985,”Does the stock market overreact?”, The Journal of Finance40, 793-808.
    9、Easley, D., N.M. Kiefer, M.O` Hara, and J.B. Paperman, 1996, "Liquidity, information, and infrequently traded stocks", the Journal of Finance, 1405-1436.
    10、Fama, E.F. and K.R. French, 1988, “Permanent and temporary components of stock prices”, Journal of Political Economy 96, 246-273.
    11、Fargher N.L. and R.A. Weigand,1998,”Changes in the stock price reaction of small firms to common information”, The Journal of Financial Research 21, 105-121.
    12、Jegadeesh, N. 1990,”Evidence of Predictable behavior of security returns”, The Journal of Finance 45, 881-898.
    13、Jegadeesh, N. and S. Titman, 1995,”Overreaction, delayed reaction, and contrarian profits”, The Review of Financial Studies 8, 973-993.
    14、Lo, A. W., and A. C. Mackinlay, 1988,”Stock market prices do not follow random walks: Evidence from a simple specification test”, The Review of Financial Studies 1, 41-66.
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    16、Maddala, G.S, Introduction to econometrics, USA: Prentice Hall International Editions, 1992.
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    19、Sias, R.W, and L.T Starks,1997,”Return autocorrelation and institutional investors”, Journal of Financial Economics 46, 103-131.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    88351014
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001507
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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