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    題名: 台灣股市超額連動性之研究
    excess comovement in Taiwan stock market
    作者: 張軒瑋
    貢獻者: 郭維裕
    張軒瑋
    關鍵詞: 連動性
    超額連動性
    日期: 2005
    上傳時間: 2009-09-18 14:10:11 (UTC+8)
    摘要: 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
    參考文獻: 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.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    93351010
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093351010
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

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