1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 價量分析之理論實務與實證
作者 蕭必偉
貢獻者 林綸
蕭必偉
日期 1990
1989
上傳時間 3-May-2016 14:14:32 (UTC+8)
參考文獻 參考文獻
     英文部分
     1. Box. G. E. P. and Jenkins. G. M., Time Series Analysis: Forecasting and Control. Holden-Day, San Francisco.Revised ed.,1976.
     2. Tiao. G. C. and Box,G. E. P. , " Modeling Multiple Time Series with Applications. " Journal of American Statistical Association. 76. (Dec. 1981).pp.802-816.
     3. Tiao, G. C. and Tsay. R. S., "Mutiple Modeling and Extended Sample Cross-Correlation. " Journal of Business EconomicStatistical, 1. (Jan. 1983) ,pp.812-816.
     4. Tiao, G. C. and Box, G. E. P., " Intevention Analysis with Applications to Economic and Environmental Problem. " Journal of American Statistical Association.70. (March.1975),pp.70-79.
     5. Clark,P. H., " A Subordinated Stochastic Process Model with Finite Variance for Speculation price." Econometrica,41. (Jan. 1973) .pp.135-155.
     6. Copeland, T. E., " A Model of Asset Trading under the Assumption of Sequential Information Arriva1.”Journal of Finance, 31 . (Sept. 1976).pp.1149-1168 .
     7.--------, “A Probability Model of Asset Trading. " Journal of Financial Quantitative Analysis,12,(Nov. 1977),pp.563-578.
     8. Crouch. R. L ., "A Non1inear Test of the Random-Walk Hypothesis-“American Economic.Review. 60. (March.1970).pp.199-202.
     9. Epps. T. W.,”Security Price Changes and Transaction Volumes: Theory and Evidence .” American Economic Review .65. (Sept. 1975), pp.586-597.
     10. _____________ ? "Securitv Price Changes and Transaction Volumes: Some Additional Evidence.”Journal of Financial Quantitative Asalysis.12.(March.1977).pp.141-146.
     11. __________ ?"Security Price Changes and Transaction Volumes: reply .”American Economic Review ,68. (Sept. 1978) ,pp.698-700.
     12. Epps. T.W. and M. L. Epps.,”The Stochastic Dependence of Security Price Changes Transaction Volumes: Implications for the Mixture-of Distributions Hypothesis.” Econometrica, 44,(March.1976).pp.305-321.
     13. Fama. E. F.,”Efficient Capital Markets: A Review of Theory and Empirical Works.” Journal of Finance. (May.1970).pp.383-417.
     14. Hanna.M.,”Security Price Changes and Transaction Volumes Additional Evidence.”American Economics Review,68,(Sept. 1978),99.692-695.
     15. Harris. L.,”Cross -Security Tests of Mixture of Distribution Hypothesis."Journal of Financial and Quantitative Analysis,21,(March. 1986),pp.39-46.
     16. Harris. L. and E. Gurel.. "Price and Volume Effects Associated with Changes in the S&P 500 List :New Evidence for the Existence of Price Pressures.”Journal of Finance.41. (Sept. 1986).PP .815-829.
     17. .Jain. P. C. and g. Joh., "The Dependence between Hour1y Prices and Trading Vo1ume."Journal of Financial Quantitative Analysis.23. (Step. 1988).pp.269-2822.
     18. James. C. and R. O. Edmister.,” The Relation between Common Stock Returns Trading Activity and Market Value.”Journal of Finance.38. (Sept. 1983).pp.1075-1086.
     19. Morgan. I. G .,”Stock Prices and Heteroskedasticity.",Journal of Business.49. (Oct. 1976) spp.496-508.
     20. Richardson.G.;S. E. Sefcik and R. Thompson.,”A Test of Dividend Irrelevance Using Volume Reaction to a Change in Dividend Policy.”Journal of Financial Economics,17,(Dec. 1986),pp.313-333.
     21. Rogalski. R. J., "The Dependence of Prices and Vo1-ume”The Review of Economics amd Statistics,36, (May.1978),pp.268-274.
     22. Schneller. M. I.,”Security Price and Transaction Volumes: Comment.”American Economics Review,68,*Sept. 1978),pp.696-697.
     23. S. C. Hillmer. and D. F. Larcker.”Forecasting Accounting Data : A Multiple Time-series Analysis.”Journal of Forecasting,2,1983,pp.405-423.
     24. Smirlock. M. and L. Starks.,”A Further Examination of Stock Price Changes and Transactions Volume.”Journal of Financial of Research.8. (Fall.1985) .pp.217-255.
     25. Tnuchen. G. and M. Pitts.,” The Price Variability -Volume Relationship on Speculation Markets .” Econometrica,51. (March.1983).pp.485-505.
     26. Trond Riise and Dag Tjostheim,”Theory and Practice of Multivariate ARMA.” Journal of Forecasting.3. (1984).pp.309-317.
     27. Westerfield, R.,”The Distribution Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Model.”Journal of Financial and Quantitative Analysis,12,(DEC. 1977),pp.743-765.
     28. Wood. R. A. and T. H. McInish and J. K. Ord .,”A Investigation Transactions Data for NYSE Stocks.”Journal of Finance,60,(July. 1985),pp.723-739.
     29. Ying, C. C.,”Stock Market Prices and Volume of Sales.”Econometrica,34,(July. 1966)pp.676-686.
     
     中文部分
     1. 林宗永著，”證卷投資技社分析指標獲利行性之實證研究.”國立政大學企業管理研究所為出版碩士論文，民國78年7月.
     2. 林茂文著，時間數列分析與預測，第二版，民國75年10月.
     3. 林煜宗著，現代投資學，第四版，民國77年7月.
     4. 劉鶯釧著，”多元時間數列分析法之介紹與應用，經濟論文叢刊，民國71年5月，頁191-210.
描述 碩士
國立政治大學
統計學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002005392
資料類型 thesis
dc.contributor.advisor 林綸zh_TW
dc.contributor.author (Authors) 蕭必偉zh_TW
dc.creator (作者) 蕭必偉zh_TW
dc.date (日期) 1990en_US
dc.date (日期) 1989en_US
dc.date.accessioned 3-May-2016 14:14:32 (UTC+8)-
dc.date.available 3-May-2016 14:14:32 (UTC+8)-
dc.date.issued (上傳時間) 3-May-2016 14:14:32 (UTC+8)-
dc.identifier (Other Identifiers) B2002005392en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90116-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 統計學系zh_TW
dc.description.tableofcontents 目錄
     第一章 緒論………1
     第一節 第一研究動機及目的………1
     第二節 研究架構及內容………2
     第二章 文獻回顧………5
     第一節 價量獨立文獻………5
     第二節 價量相關文獻………6
     第三節 綜合說明………7
     第三章 媒體有關價量分析報導………12
     第一節 資料說明………12
     第二節 預測結果分析………13
     第三節 移動平均線預測法則………14
     第四章 時間數列理論探討………16
     第一節 單變量時間數列………16
     第二節 多變量時間數列………21
     第三節 介入分析(Intervention Analysis) ………30
     第五章 實證研定………34
     第一節 資料描述………34
     第二節 時間序列型之建立………35
     第三節 單元時間序列型之建立………39
     第四節 預測方法比較………42
     第五節 介入分析實證研究………45
     第六章 結論與建議………48
     第一節 結論………48
     第二節 建議………49
     參考文獻………56		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005392en_US
dc.title (題名) 價量分析之理論實務與實證zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻
     英文部分
     1. Box. G. E. P. and Jenkins. G. M., Time Series Analysis: Forecasting and Control. Holden-Day, San Francisco.Revised ed.,1976.
     2. Tiao. G. C. and Box,G. E. P. , " Modeling Multiple Time Series with Applications. " Journal of American Statistical Association. 76. (Dec. 1981).pp.802-816.
     3. Tiao, G. C. and Tsay. R. S., "Mutiple Modeling and Extended Sample Cross-Correlation. " Journal of Business EconomicStatistical, 1. (Jan. 1983) ,pp.812-816.
     4. Tiao, G. C. and Box, G. E. P., " Intevention Analysis with Applications to Economic and Environmental Problem. " Journal of American Statistical Association.70. (March.1975),pp.70-79.
     5. Clark,P. H., " A Subordinated Stochastic Process Model with Finite Variance for Speculation price." Econometrica,41. (Jan. 1973) .pp.135-155.
     6. Copeland, T. E., " A Model of Asset Trading under the Assumption of Sequential Information Arriva1.”Journal of Finance, 31 . (Sept. 1976).pp.1149-1168 .
     7.--------, “A Probability Model of Asset Trading. " Journal of Financial Quantitative Analysis,12,(Nov. 1977),pp.563-578.
     8. Crouch. R. L ., "A Non1inear Test of the Random-Walk Hypothesis-“American Economic.Review. 60. (March.1970).pp.199-202.
     9. Epps. T. W.,”Security Price Changes and Transaction Volumes: Theory and Evidence .” American Economic Review .65. (Sept. 1975), pp.586-597.
     10. _____________ ? "Securitv Price Changes and Transaction Volumes: Some Additional Evidence.”Journal of Financial Quantitative Asalysis.12.(March.1977).pp.141-146.
     11. __________ ?"Security Price Changes and Transaction Volumes: reply .”American Economic Review ,68. (Sept. 1978) ,pp.698-700.
     12. Epps. T.W. and M. L. Epps.,”The Stochastic Dependence of Security Price Changes Transaction Volumes: Implications for the Mixture-of Distributions Hypothesis.” Econometrica, 44,(March.1976).pp.305-321.
     13. Fama. E. F.,”Efficient Capital Markets: A Review of Theory and Empirical Works.” Journal of Finance. (May.1970).pp.383-417.
     14. Hanna.M.,”Security Price Changes and Transaction Volumes Additional Evidence.”American Economics Review,68,(Sept. 1978),99.692-695.
     15. Harris. L.,”Cross -Security Tests of Mixture of Distribution Hypothesis."Journal of Financial and Quantitative Analysis,21,(March. 1986),pp.39-46.
     16. Harris. L. and E. Gurel.. "Price and Volume Effects Associated with Changes in the S&P 500 List :New Evidence for the Existence of Price Pressures.”Journal of Finance.41. (Sept. 1986).PP .815-829.
     17. .Jain. P. C. and g. Joh., "The Dependence between Hour1y Prices and Trading Vo1ume."Journal of Financial Quantitative Analysis.23. (Step. 1988).pp.269-2822.
     18. James. C. and R. O. Edmister.,” The Relation between Common Stock Returns Trading Activity and Market Value.”Journal of Finance.38. (Sept. 1983).pp.1075-1086.
     19. Morgan. I. G .,”Stock Prices and Heteroskedasticity.",Journal of Business.49. (Oct. 1976) spp.496-508.
     20. Richardson.G.;S. E. Sefcik and R. Thompson.,”A Test of Dividend Irrelevance Using Volume Reaction to a Change in Dividend Policy.”Journal of Financial Economics,17,(Dec. 1986),pp.313-333.
     21. Rogalski. R. J., "The Dependence of Prices and Vo1-ume”The Review of Economics amd Statistics,36, (May.1978),pp.268-274.
     22. Schneller. M. I.,”Security Price and Transaction Volumes: Comment.”American Economics Review,68,*Sept. 1978),pp.696-697.
     23. S. C. Hillmer. and D. F. Larcker.”Forecasting Accounting Data : A Multiple Time-series Analysis.”Journal of Forecasting,2,1983,pp.405-423.
     24. Smirlock. M. and L. Starks.,”A Further Examination of Stock Price Changes and Transactions Volume.”Journal of Financial of Research.8. (Fall.1985) .pp.217-255.
     25. Tnuchen. G. and M. Pitts.,” The Price Variability -Volume Relationship on Speculation Markets .” Econometrica,51. (March.1983).pp.485-505.
     26. Trond Riise and Dag Tjostheim,”Theory and Practice of Multivariate ARMA.” Journal of Forecasting.3. (1984).pp.309-317.
     27. Westerfield, R.,”The Distribution Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Model.”Journal of Financial and Quantitative Analysis,12,(DEC. 1977),pp.743-765.
     28. Wood. R. A. and T. H. McInish and J. K. Ord .,”A Investigation Transactions Data for NYSE Stocks.”Journal of Finance,60,(July. 1985),pp.723-739.
     29. Ying, C. C.,”Stock Market Prices and Volume of Sales.”Econometrica,34,(July. 1966)pp.676-686.
     
     中文部分
     1. 林宗永著，”證卷投資技社分析指標獲利行性之實證研究.”國立政大學企業管理研究所為出版碩士論文，民國78年7月.
     2. 林茂文著，時間數列分析與預測，第二版，民國75年10月.
     3. 林煜宗著，現代投資學，第四版，民國77年7月.
     4. 劉鶯釧著，”多元時間數列分析法之介紹與應用，經濟論文叢刊，民國71年5月，頁191-210.		zh_TW