Reference: | Ang, A., and Bekaert, G., “Stock return predictability: is it there?” Review of Financial Studies, Vol.20, Iss.3, May 2007, pp. 651-707
Berkson, J., “Application of the Logistic Function to Bio-assay,” Journal of the American Statistical Association, Vol.39, No.226, September 1944, pp. 357-365
Bry, G., and Boschan, C., “Cyclical Analysis of Time Series: Selected Procedures and Computer Programs,” New York: National Bureau of Economic Research, 1971
Burns, A.F., and Mitchell, W.C., “Measuring Business Cycles,” New York : National Bureau of Economic Research, 1946
Chauvet, M., and Potter, S., “Coincident and leading indicators of the stock market,” Journal of Empirical Finance, Vol.7, Iss.1, May 2000, pp.87–111
Chen, A.S., Leung, M.T., and Daouk, H., “Application of neural networks to an emerging financial market: forecasting and trading the Taiwan stock index,” Computers and Operations Research, Vol.30, Iss.6, May 2003, pp.901–923
Chen, A.S., Leung, M.T., and Daouk, H., “Forecasting stock indices: a comparison of classification and level estimation models,” International Journal of Forecasting, Vol.16, Iss.2, April - June 2000,pp. 173–190
Cunado, J., Gil-Alana, L.A., and Perez de Garcia, F., “Stock Market Volatility in US Bull and Bear Markets,” Journal of Money, Investment and Banking, Vol.1, Iss.1, 2008, pp.24-32
Eun, C.S., and Shim, S., “International transmission of stock market movements,” Journal of Financial and Quantitative Analysis, Vol.24, Iss.2, Jun 1989, pp. 241-256
Fabozzi, F.J., and Francis, J.C., “Stability Tests for Alphas and Betas over Bull and Bear Market Conditions,” Journal of Finance, Vol.22, No.4, September 1977, pp.1093-1099
Gomez Biscarri, J., and Perez de Gracia, F., “Stock market cycles and stock market development in Spain,” Spanish Economic Review, Vol.6, 2004
Gonzalez, L., Powell, J., Shi, J., and Wilson, A., “Two centuries of bull and bear market cycles,” International Review of Economics and Finance,Vol.14, Iss.4, 2005, pp. 469-486
Granger, C.W.J., “Investigating causal relations by econometric models and cross-spectral models,” Econometrica, Vol.37, Iss.3, Jul 1969, pp.424–438
Harding, D., and Pagan, A.R., “Dissecting the Cycle: A Methodological Investigation,” Journal of Monetary Economics, Vol.49, Iss.2, March 2002, pp. 365–381
Hosmer, D.W., and Lemeshow, S., “Applied Logistic Regression,” 1989, New York: John Wiley &Sons, Inc.
Lewellen, J., “Predicting returns with financial ratios,” Journal of Financial Economics, Vol.74, Iss.2, November 2004, pp.209-235
Lunde, A., and Timmermann, A., “Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets,” Journal of Business and Economics Statistics, July 2004, pp253-272
Meric, I., Ratner, M., and Meric, G., “Co-movements of sector index returns in the world’s major stock markets in bull and bear markets: Portfolio diversification implications,” International Review of Financial Analysis, Vol.7, Iss.1, 2008, pp. 156-177
Pagan, A.R., and Sossounov, K.A., “A Simple Framework for Analyzing Bull and Bear Markets,” Journal of Applied Econometrics, Vol.18, Iss.1, Jan/Feb 2003, pp. 23–46
Rapach, D.E., Wohar, M.E., and Rangvid, J., “Macro variables and international stock return predictability,” International Journal of Forecasting, Vol.21, Iss.1, 2005, pp. 137-166
Sims, C.A., “Macroeconomics and reality,” Econometrica, Vol.48, Iss.1, Jan 1980, pp. 1–48
Sperandeo, V., “Trader Vic II: principles of professional speculation,” 1990, New York: John Wiley & Sons, Inc.
Wu, Y., and Zhang, H., “Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis,” Journal of International Money and Finance, Vol.16, Iss.4, August 1997, pp. 609–623
廖珮真,「美、日、英、港、臺五國股市報酬率多元時間數列關聯性之研究」,1993,台灣大學商學研究所未出版碩士論文
林貞君,「從績效指標探討鋼鐵與營建業之景氣循環相關性」,2005,成功大學高階經營管理在職專班未出版碩士論文
鄭梅、苗佳,“Logit模型在上海股市預測中的應用”,《統計與決策》,第2007卷,第3B期,2007,pp.102-104
嚴武、徐偉、王靜,“中國股市週期的劃分與實證分析:1991-2004”,《當代財經》,第2006卷,第10期,2006, pp. 47-52
魏志鴻,「台灣股市六大類股間關聯性之研究」,2002,實踐大學企業管理研究所未出版碩士論文 |