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    題名: 股價與成交量相依程度之探討-臺灣股市實證分析
    作者: 蕭幸金
    XIAO, XING-JIN
    貢獻者: 鄭丁旺
    ZHENG, DING-WANG
    蕭幸金
    XIAO, XING-JIN
    關鍵詞: 股價
    成交量
    會計
    日期: 1993
    1992
    上傳時間: 2016-05-02 15:15:08 (UTC+8)
    摘要: 研究資本市場價格變動的特性，一直是財務學者實証研究的一□。以經濟學中需求
    參考文獻: 一、 中文部分
    1. 伍忠謙，「台灣股票市場價格變動習性為隨機漫步假定之再驗證」，淡江管科所未出版碩士論文，民國76年。
    2. 李春旺，「股價行為與規模效應－台灣股票市場實證研究」，台灣經建研究叢書之三十四，民國78年。
    3. 李碧林，「重貼現率變動對週轉率及股價之影響－台灣證券市場之實證研究」，淡江管科所未出版碩士論文，民國80年。
    4. 何培基，「商用統計學與SAS／PC應用」民國79年，長諾資訊圖書公司。
    5. 林玩香編譯，「SAS使用手冊－高等統計篇」，民國76年，儒林圖書公司。
    6. 林茂文編著，「時間數列分析與預測」，民國81年，華泰書局。
    7. 周文賢，「計量經濟與時間數列分析－SAS ETS之運用」，作者自印。
    8. 黃敏助，「八十年代證券投資策略」，民國80年。
    9. 陳東明，「台灣股票市場價量關係之實證研究」，台大商學研究所未出版碩士論文，民國80年。
    10. 曾祥琳，「每季盈餘公告對股票成交量影響之實證影響」，成大工管所未出版碩士論文，民國78年。
    11. 趙美蘭，「融資融券比率調整對股價成交量影響之實證研究」，中興企研所未出版碩士論文，民國78年。
    12. 魯憶萱，「現金增資股發放對成交量集股價影響之探討」，政大企研所未出版碩士論文，民國79年。
    13. 鍾振明，「上市股票價格和交易量對營業公告之反應及其關係之實證研究」，交大管研所未出版碩士論文，民國74年。
    14. 譚淑卿，「台灣股市價格變動與成交量的關係」，淡江金融所未出版碩士論文，民國81年。


    二、英文部分
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    6. Crouch,R.L.,”A Nonlinear Test of Random-Walk Hypothesis”, The American Economic Review 60 Mar. 1970, pp.199-202.
    7. ──────,”The Volume of Transactions and Prices Changes on the New York stock Exchange”, Financial Analysts Journal 26, July-Aug, 1970.
    8. Epps, T. W. "Security Price Changes and Transaction Volumes:
    Theory and Evidence ", The American Economic
    Review 65, Sep. 1975, pp.586-597
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    of Security Price Changes and Transaction Volumes: Implications
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    44, Mar. 1976, pp.305-321.
    10. Fama, E.F. "The Behavior of Stock Market Prices" Journal
    of Business. Vol.38( January 1965), pp. 34 -105.
    11. Foster, G. " Stock Market Reaction to Estimates of Earnings
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    Journal of Financial Econornics 7 (March 1980), pp. 55-69.
    13. Freund, R. J. and Littell, R. C. and P. C. Spector, "SAS
    System for Linear Models ", 1991, SAS Institute Inc.
    14. Garman, M. B . "Market microstructure J) Journal of Financial
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    15. Gibbons, M.R. and Hess, P. J) Day of the Week Effect and
    Asset Returns, J) Journal of Business 54(1981), pp.580-586.
    16.Godefrey,M.D., Granger,C.W.J. and O. Morgenstern,”The Random-Walk Hypothesis of Stock Market Behavior” Kyklos 17, Fasc. 1, 1964 pp.1-30.
    17.Granger, C.W.J. and Morgenstern,O.,”Spectral Analysis of New York Stock Market Prices”, Kyklos 16, Fasc. 1, 1963,pp.1-27.
    18,Granger, C.W.J., “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods” Econometrica 37, July 1969, pp.424-438.
    19. Hanna,M.”Security Price Changes and Transaction Volumes: Additional Evidence” American Economic Review,Vol.68 (Setember 1978), pp.692-695.
    20.Harris, L. “Coss-Security Tests of the Mixture of Distributions Hypothesis” Journal of Financial and Quantitative Analysis, Vol.21(March 1986),pp.39-46.
    21. ───, “A Transaction Data Study of Weekly and Intradaily Potterns in Stock Returns” Journal of Financial Economics, Vol. 16 (May 1986), PP. 99-117.
    22. Haugh,L.D.”Checking the Independence of Two Covariance –Stationary Time Series:A Univariate Residual Cross-Correlation Approach”Journal of the American Statistical Association 71, June 1976, pp.378-385.
    23. Jain, P. C., and Ajinkya, B.B., "The Behavior of Daily Stock
    Market Trading Volume" Journal of Accounting and
    Economics, Vol.11 (Noven~ber 1989), pp.331-359.
    24 . Jain, P. C., and J oh, G. "The Dependence between Hourly
    Prices and Trading Volume. " Journal of Financial and
    Quantitative Analysis, Vol.23 (Septe`mber 1988), pp.269-283.
    25. James, C. and Edrnister, R. C. "The Relation between Common
    Stock Returns Trading Activity and Market Values"
    Journal of Finance, Vol.38 (September 1983), pp.l075-1086.
    26. Jennings, R.H. and Barry C. "Information Dissemination
    and Portfolio Choice" Journal of Financial and Quantitative
    Analysis, Vol.18 (March 1983), pp.1-19.
    27. --------------, "On Information Dissemination
    and Eq1.lilibrium A sset Prices.` A Note" J ournal
    of Financial and Quantitative Analysis, Vol.19 (December1984), pp.395-402.
    28. Jennings, R.H., Starks, L.J. and J. C. Fellingham ," An
    Equilibriu`m Model of Asset Tradi`ng with Sequential Information
    ATTi`ual" Jo`uTnal of Finance, Vol.36 (March 1981),pp.143-161.
    29. John C.B. and David A.D., "SAS System for Forecasting
    Time Series ", 1986. SAS Institute Inc.
    30. Karp off, J.M. "A Theory of Trading Volume." Journal of
    Finance, Vol.4l (December 1986), pp.l069-1087.
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    and Trading Volume: A Survey ", Journal of Financial
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    32. ----------, "Costly Short Sales and the Correlation
    of Returns with Volume. " Journal of Financial Research,
    Vol.ll (Fall 1988), pp.173-188.
    33. Keim, D.B. and Starnbaugh R.F. "A Further Investigation
    of Weekend Effect in Stock Returns " Journal of Finance
    39 (July 1984), pp.819.
    34. Morgan, 1. G, "Stock Prices and H eteroskedasticity" J ournal
    of Business, Vol.49 (Octorber 1976) pp.496-508.
    35. Morse, D. "Asymmetrical Information in Securities M arkets
    and Trading Volume. " Journal of Financial and Quantitative
    Analysis, Vol.15 (Decernber 1980), pp.1129-1148.
    36. ------, "Price and Trading Volume Reaction Surrounding
    Earnings Announcements: A Closer Examination.
    " Journal of Accounting Research, Vol.19 (Autumn
    1981), pp.374-383.
    37. Osborne, M.F.M., "Brownian Motion in the Stock Market."
    Operations Research, Vol. 7 (M arch- April 1 959), pp.145-173.
    38. Rogalski, R.J. "The Dependence of Prices and Volume"
    The Review of Econ01nics and Statistics, Vol. 36 (May 1978),pp.268-274•
    39. -------, "New Findings Regarding Day-of-theWeek
    Returns Over Trading and Non-Trading Periods :A
    Note ," Journal of Finance 39 (December 1984), pp.1604-1606.
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    Testing Information A rrival Models" Working Paper, Washington
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    47. Upton,D.E.,and Shannon, D.S., “The Stable Paretion Distribution,Subordinated Stochastic Processes, and Asymptotic Lognormality:A Empirical Investigation.”Journal of Finance, Vo.34(September 1979), pp.1031-1039.
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    描述: 碩士
    國立政治大學
    會計學系
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002004321
    資料類型: thesis
    顯示於類別:[會計學系] 學位論文

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