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    政大機構典藏 > 商學院 > 企業管理學系 > 學位論文 >  Item 140.119/89578


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    題名: 台灣股市崩盤之實證研究 : 以九二四證所稅事件為例
    作者: 莊義瑞
    貢獻者: 劉維琪
    莊義瑞
    日期: 1991
    1990
    上傳時間: 2016-05-02 17:00:16 (UTC+8)
    摘要: 從民國76年至80年之間，美國發生2次崩盤，而我國也發生3次崩盤。藉由整理國外文獻，並且以「77年9月24日證所稅事件」為研究對象，本研究探討崩盤背後的原因及市場現象是否中外一致。
    參考文獻: (1)林煜宗，”台灣證券市場之檢討"，台灣金融發展會議抽印本，中央研究院經濟研究所，民國73 年12月。p.225.
    (2)陳少杰原著，林繼安譯，股市群眾心理的本質，工商時報，76 年10 月。
    (3)劉其昌，投資學，台北:華泰，77 年2 月，頁356~358 。
    (4)洪祥文，台灣股票市場投資者過度反應之研究，台灣大學商學研究所未出版碩士論文，77 年7 月。
    (5)吳麗瑩，76 年台灣股票價格變動之過度反應檢定，企銀季刊，第12 卷，第2 期。
    (6)林煜宗，現代投資學──制度，理論與實證，台北:三民，74年8月修訂3 版，頁376--389 。
    (7)顏月珠，實用無母數統計方法──企管、醫療、環境及社會科學研究適用，台北:陳昭明發行，75年9月初版。頁245-249
    (8) Laing ,L., "From Pits to Peaks to... UnitI Friday, the Crash was just a Fading Memory" Barron`s, October 16, 1989, p.8.
    (9) Bose, M., THE CRASH, Great Braitain, Cox and Wyman Limited, Reading, Berks, 1988, p.3.
    (10)Leland, H. E., "On the Stock Market Crash and Portfolio Insurance" American Economic Association, December 21, 1987.
    (11)Ferguson, R., "On Crashes" Financial Analysts Journal, March-April, 1989, pp.42-52.
    (12)Fama, E. F., "Perspectives on October 1987, or What did We Learn from the Crash? " In Kamphuis, R. W., Kormendi, R. C., and Watson, J. W., Black Monday and the Future of Financial Markets, Irwin, Homewood, 1989, pp.71-76.
    (13)Telser G. L., "October 1987 and the Structure of Financial Markets: An Exorcism of Demons" In Kamphuis, R. W., Kormendi, R. C., and Watson,. J. W., Black Monday and the Future of Financial Markets,Irwin, Homewood, 1989, pp.102-103.
    (14) Copeland T., and Weston J., Financial Theory and Corporate Policy, 3rd Edition, 1988, p.393-401.
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    (19)Summers, L.H., “Does the Stock Market Rationally Reflect Fundamental Values?" Journal of Finance, July 1986, pp.591-601.
    (20)Kryzanowski L., "The Efficiacy of Trading Suspensions : A ReguIatory Action Designed to Prevent the Exploitation of Monopoly Information" Journal of Finance, December 1979, pp.1187-1200.
    (21) Berstein, P. L., "Liquidity, Stock Markets, and Market Makers" Financial Management, Summer 1987, pp.54-62.
    (22)Amihud, ., Mendelson, H., and Wood, R.A., "Liquidity and the 1987 Stock Market Crash" Journal of Portfolio Management, Spring 1990, pp.65-70.
    (23)Santoni, G. J., "The October Crash: Some Evidence on the Cascade Theory" Federal Reserve Bank of ST LOUIS, May / June 1988, pp.18-33.
    (24) Reid, M., “Reaping the Whirlwind-and How the Markets Coped” Banking World, April 1988, pp.29-31.
    (25)Meltzer, A.H . , "Overview" in Kamphuis, R. W., Kormendi, R. C., and Watson, J. W., Black Monday and the Future of Financial Markets, Irwin, Homewood, 1989, pp.15-33.
    (26)Roll, R., "The International Crash of October 1987" In Kamphuis, R. W. , Kormendi, R. C., and Watson, J. W. Black Monday and the Future of Financial Markets, Irwin, Homewood, 1989, pp.35-66 .
    (27)Arbel, A., Carvell, S., and Postnieks, E., "The Smart Crash of October 19th" Harvard Business Review, May / June 1988, pp.124-136.
    (28) Laing, J. R., " The Day the WorId Stopped - - Taking Stock of the Crash One Year Later" Barron`s, October 17, 1988. pp.6-18 .
    (29)Niederhoffer V., "The Analysis of World Events and Stock Price" Journal of Business, April, 1971.
    (30)Renshaw, E. F., "Stock Market Panic: A Test of the Efficient Market Hypothesis” Financial Analysts Journal, May / June, 1984.
    (31)Keynes, J . M., The General Theory of Employment, Investment and Money, London: Harcourt Brace Jovanovich, 1964.
    (32)Berstein, P. L., The Discussion of "Does the Stock Market Market Overreact? " Journal of Finance, July 1985, pp. 806-807.
    (33)De Bondt, W.F.M., and Thaler, R., "Does the Stock Market Overreact?” Journal of Finance, July 1985, pp.793-804.
    (34)Smidt S., "A New Look at the Random Walk Hypothesis " Journal of Financial and Quantitative Analysis, September 1968, and Ackley G., "Commodities and Capital Prices and Quantities" American Economic Review, March 1983.
    (35)Goldman, M. B., and Sosin, H. B., "Information Dissemination, Market Efficiency and the Frequency of Transactions" Journal of Financial Economics, March 1979.
    (36)Howe, J. S., "Evidence on Stock Market Overreaction " Financial Analysts journal, July/August 1986, pp.74-77.
    (37) Zoraw in, P., " Short - Run Market Overreaction: Size and Seasonality Effect" Journal of Portfolio Management, Spring 1989, pp . 74-77.
    (38)Pettengill, G. N. and Jordan, B. D. "The Overreaction Hypothesis, Firm Size, and Stock Market Seasonality " Journal of Portfolio Management, Spring 1990,pp.60-64.
    (39)Seyhun, H. N., "Overreaction or Fundamentals: Some Lessons from Insiders Response to the Market Crash of 1987" Journal of Finance, December 1990, pp. 1363-1387.
    (40)Blume, M.E.; Craigmacklinlay, A., and Terker, B.," Order Imbalances and Stock Price Morements on October 19 and 20, 1987" Journal of Finance, September 1989. pp.827-848.
    (41). Atkins, A.B.; and Dyl, E.A., “Price Reversal, Bid-Ask Spreads, and Market Efficiency" Journal of Financial and Quantitative Analysis, December 1990, pp535-547.
    (42) Grant, J.L.,”Stock Return Volatility During the Crash of 1987" Journal of Portfolio Management, 1990, pp.69-71.
    (43) Brown, K. C.; HarIow, W. V .; and Tinie, S. M ., "Risk Aversion, Uncertain Information, and Market Efficiency " Journal of Financial Economics, December 1988, pp.355-385.
    (45) Fama, Eugene F., “Efficient Capital Markets : A Review of Theory and Empirical Work”, Journal of Finance, 1970.
    (46)感謝美國紐約證券交易所提供有關Circuit Breaker 資料。
    描述: 碩士
    國立政治大學
    企業管理學系
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002005109
    資料類型: thesis
    顯示於類別:[企業管理學系] 學位論文

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