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    Title: 台灣主要產業上市股票價格波動之研究
    Authors: 周文玲
    Contributors: 許振明
    周文玲
    Date: 1990
    1989
    Issue Date: 2016-05-03 14:12:13 (UTC+8)
    Reference: 參考文獻
    一、 中文部份
    1. 徐恭忠 股價的隨機漫論(證交資料月刊第二0四期,民國六十八年四月)。
    2. 徐恭忠 台灣股票市場股價結構之研究(民國六十七年政大企研所碩士論文)。
    3. 林和本 台灣股票價格之變化與扱資決策之研究(民國六十七年政大企研所碩士論文)。
    4. 蕭灌修 台灣股市價格分析(民國六十七年交大管研所碩士論文)。
    5. 黃仁德 台灣地區總體產出波動的特性。

    二、英文部份
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    6 Caitipbell,John Y., and Shiller,Rohert J.,1987, "The dividend-price ratio and expections of future dividends and discount factors",Manuscript,Princeton University
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    8 Chen,Mai-fu,Richard Roll and Stephen A.Ross,1986, "Economic forces and the stock market: testing the APT and alternative asset pricing theries" Journal of Business 59
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    12 Cootner,Pau1 H., 1962, "Stock;prices: random vs. systematic changes , Industrial Management Review 3
    13 Caotner P. (ed.) 1964,"The random character of stock market prices" Cambridge,Mass:MIT Press
    14Corpland,Thomas E.,J. Fred Weston, "Financial theory and corporate policy",second edition,Addison-Wesley publishing company,1983
    15 Cox, John C; Jonathan E. Ingersoll; Jr; and Stepher A. Ross,1985, "An intertempora1 equilibrium model for asset prices" Econometrica 53
    16 DeBondt,Werl1er F. M., Richard Thaler, "Does the stock market overreact? " The Joural of Finance,Vol XL,No3.1985
    17 DeLong, J. Bradford ,Andrei Shleifer ,Lawrence Summers,and Robert Wald man, 1987, "The economic consequences of noise traders "National Bureau of econnomic Research working paper no. 2395 (NBER,Cambridge,MA)
    18 Diekey, D. A and W. R . Bell and R. B miller, 1986 "Unit roots in time series models: Tests and implications", American Statistician 40
    19 Dickey, David A. and Wayne A. Duller,1979 "Distrihution of the estimates for the autoregressive time series with a unit root", Journal of American Statistical Association 74,No. 366
    20 Dickey,David A. and Wayne A.Fuller,1931. "ikelihood ratio statistics for autoregressive time series with a unit root",Jourai of American Statistical Association 74,No.366
    21 Diebold, Francis X.,1987, "Deviations from random walk behavior: Tests based on the variance-time function" Special studies papers no. 224,Board of Governors of the Federal Reserve System,
    22 Durlauf, Steven N. and Peter C. B. Philips, 1988 "Trends versus random walks in time series analysis" Econometrica Vol 56,No.6
    23 Fama, Eugene F. and Kenneth R. French "Permanent and Temporary components of stock prices "Center for Research in Security Prices working paper No. 178(University of Chicago, Chicago, IL)
    24 Fama, Eugene F.,1965, "The Behavior of stock market prices" The Joural of Business 38
    25 Fama,Eugene F. 1976,"Foundations of Finance "New York: Basic Books
    26 Fama,Eugene F.,1970, "Efficient capital market: A review of theory and empirical work" Joural of Finance 25
    27 Fama,Eugene F.1965,"Random walk in stock market prices",Financial Analysis Joural
    28 Fama, Eugene F. and Kenneth R. French,1988 "Parmanent and temporary components of stock prices Joural of Political Economy 96
    29 Fama,Eugene F and Merton H. Miller,1972; The theory of finance, Dryder Press . Hinsdale,Illinois
    30 Fama.Eugene F ,1981, Stock returns ,Real Activity,,Inflation and Money American Economic Review 71
    31 Fama,Eugene F. and Michanel R.Gihbol1s J 1982,"Inflation.,real return,and capital investment" Joural of Monetary Economics 9
    32 French, K. R. and Roll. R,1986,Stock return variances: "The arrival of new information and the reaction of traders" Journal of Financial Economics 17
    33 Franch, Kenneth R, G. William Schwert, Robert F. Stam-baugh,1987, "Expected returns and volatility" Joural of Financial Economics 19
    34 Franch, Kenneth R. and Richard roll, 1986, "Stock return variances: The arrival of information and the reaction of traders",Joural of Financial Economics 17
    35 Fullef,Wayne A. 1976, Introduction to statistical time series,Wiley,New York
    36 Gregory,Mankiw,N. Romer,David and Shapiro. Matthew,1985 "An unhiased reexdmination of stock Market volativity" Joural of Finance
    37 Grossman ,Sanford J.,Robert J. Shiller,1981, "The determinants of the variability of stock market prices" American Economic Review Vol 71 No. 2
    38 Hansen,Lars P. and Robert J. Hodrick ,1980, "Forward exchange rates asoptimal predictiors of future spot rates: an econometric analysis", Journal of Political Economy 88
    39 Huizinga, John,1987, "An empirical investigation of the long run behavior of real exchange rates " Carnegie-Rochester Conference Series on Public Policy 27
    40 Lo,Andrew W and A. Craig Mackinlay, 1988 "Stock market prices do not follow random walk: Evidence from a simple specification test",Review of Financial studies 1
    41 Lo, A. W and A. C. Mackinlay, 1988 "The size and power of the variance ratio test in finite samples: A Monte Carlo investigation ",NBER Technical Working Paper No. 66
    42 Lucas, R. E ,1978, "Asset prices in an exchange economy" Econometrica 46
    43 Marsh, Terry A. and Merton, Robert C.,1986, "Dividend variability and variance bounds tests for the rationality of stock market prices", American Economic Review
    44 Merton,Robert C.,1973,"An intertemporal capital asset pricing model" Econometrica 41
    45 Nelson,Charles R. and Charles I. Plosser,1982 "Trends and random walks in macroeconomic time series" Journal of Monetary Economics 10
    46, Nelson, Charles R. and Heejoon Kang, 1981, "Spurious perrodicity in inappropriately detrend time series" Econometrica 49
    47 O`Brien, James M,1987, "`Testing for transitory elements in stock prices " Mimeo, Board of Governors of the Federal Reseral,Washington,DC
    48 Peterba, James. M and Lawrence H. Summers :1988,"Mean reversion in stock prices: evidence and implications" Journal of Financial Economics 22
    49 Poole, W, 1967, "Speculative prices as random walks: an analysis of the time series of flexible exchange rates "Soutthern Economic Journal 33
    50 Poterba,James M. and. Lawrence H. Summers, 1986, "The persistence of volatility and stock market fluctuations" The American Economic Review vol.76,No.2
    51 Pierre Perron, 1988, "Trends and random walks in macroeconomic time series Journal of Economic Dynamics and contral 12
    52 Pindyc,.Robert S., 1984"Risk,inflation and the stock market "American Economic Review 74
    53 Schwert,G. William ,1987,"Effects of model specification on tests for unit root in macroeconomic data", Journal of Monetary Economics 28
    54 Shiller,Robert J. ,1981,"Do stock price move too much to be justified by subsequent changes in dividends ? "American Economic Review Vo1.71,No.3
    55 Shiller,Robert J., 1984 , "Stock prices and social dynamics", Brookings papers on economic activity 2
    56 Shille,Robert J. and Pierre Perron,1985 ,"Testing the random walk hypothesis: power versus frequency of observation" Economics Letters 18
    57 Sprenkle,C. M ,1961, "Warrant prices as indicators of expectations and prices",Ya1e Economic Essaays, 1
    58 Summers ,Lawrence H. ,1986, "Does the stock market rationally reflect fundamental values? "Journal of Finance Vol.XLI , No.3
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002005339
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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