政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35102
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113656/144643 (79%)
Visitors : 51750075      Online Users : 570
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35102


    Title: 台灣股市超額連動性之研究
    excess comovement in Taiwan stock market
    Authors: 張軒瑋
    Contributors: 郭維裕
    張軒瑋
    Keywords: 連動性
    超額連動性
    Date: 2005
    Issue Date: 2009-09-18 14:10:11 (UTC+8)
    Abstract: 本論文研究台灣股市的超額連動性.超額連動性乃資產報酬間非能用市場因子所解釋的部份.本論文建立一個衡量超額連動性的指標,並以該指標對台灣股市及其歷史事件,可能成因做出研究
    Reference: Barberis, N., Shleifer, A., 2003. Style investing. Journal of Financial Economics 68, 161–199.
    Barberis, N., Shleifer, A., Wurgler, J., 2002. Comovement. NBER working paper no. 8895.
    Bodurtha, J., Kim, D., Lee, C.M., 1995. Closed-end country funds and U.S. market sentiment. Review of
    Brad Cornell,2003. Comovement as an Investment Tool. Finance. Paper 17-03
    Campbell, J., Lo, A., MacKinley, C. (1997). The Econometrics of Financial
    Markets. Princeton University Press, New Jersey.
    Campbell, J., Lettau, M., Malkiel, B., Xu, Y. (2001). Have Individual
    Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic
    Risk. Journal of Finance, 56, pp. 1-43.
    Fama, E., French, K. (1992). The Cross-Section of Expected Stock Returns.
    Journal of Finance, 47, pp. 427-465.
    Fama, E., French, K. (1993). Common Risk Factors in the Returns of
    Stocks and Bonds. Journal of Financial Economics, 33, pp. 3-56.
    Greene, W. (1997). Econometric Analysis. Prentice Hall, New Jersey.
    Jarl Kallberg and Paolo Pasquariello, Dec, 2004. Time-Series and Cross-Sectional Excess Comovement in Stock Indexes
    Pasquariello, P. (2002). Imperfect Competition, Information Heterogeneity,
    and Financial Contagion. Working Paper, Stern School of Business,
    New York University.
    Pindyck, R., Rotemberg, J. (1990). The Excess Co-Movement of Commodity
    Prices. Economic Journal, 100, pp. 1173-1189.
    Pindyck, R., Rotemberg, J. (1993). The Comovement of Stock Prices.
    Quarterly Journal of Economics, 108, pp. 1073-1104.
    Sias, R. (2004). Institutional Herding. Review of Financial Studies, 17, pp. 165-206.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    93351010
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093351010
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

    Files in This Item:

    File Description SizeFormat
    35101001.pdf43KbAdobe PDF2697View/Open
    35101002.pdf54KbAdobe PDF2667View/Open
    35101003.pdf11KbAdobe PDF2702View/Open
    35101004.pdf22KbAdobe PDF2678View/Open
    35101005.pdf120KbAdobe PDF2778View/Open
    35101006.pdf17KbAdobe PDF2690View/Open
    35101007.pdf41KbAdobe PDF2868View/Open
    35101008.pdf20KbAdobe PDF2674View/Open
    35101009.pdf56KbAdobe PDF2833View/Open
    35101010.pdf139KbAdobe PDF2720View/Open
    35101011.pdf31KbAdobe PDF2670View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback