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題名 訊息傳遞效果與資產訂價
The Information Transmission Effect and Asset Pricing
作者 蔡宗穎
Tsai, Tsung Ying
貢獻者 廖四郎
Liao, Szu Lang
蔡宗穎
Tsai, Tsung Ying
關鍵詞 訊息不對稱
訊息傳遞效果
市場微結構
資產訂價
股票市場
期貨市場
information asymmetry
information transmission
asset pricing
market microstructure
stock market
futures market
日期 2014
上傳時間 1-Jun-2015 11:01:57 (UTC+8)
摘要 本文在訊息不對稱的原理下結合市場微結構進一步推導資產訂價，並且實證探討訊息傳遞的效果是否成立：一是中國的股票市場包含了A股跟B股，探討A股具有訊息傳遞到B股的效果；二是藉由國內的期貨市場與國際因素探討影響台灣的加權指數。對於具備私有訊息的交易者的交易行為往往或多或少會揭露出他們的訊息，進而形成公開訊息；不具私有訊息的交易者來說，唯一可以獲得並利用的資訊就是公開訊息，此時便是訊息傳遞效果的形成。以中國股票市場為例，外國人只能交易B股的限制下，藉由觀察A股的最高價跟最低價的範圍分析B股的合理價格，而此傳遞效果更是縮短了中國股票市場A股跟B股的價差。探討台灣市場，以國內因素而言，發現在台灣期貨市場中，外資跟國內法人的未平倉量對於台灣加權指數有顯著的影響；就國外因素而言，美國市場的標準普爾500指數對台灣加權指數亦是影響甚鉅。基於以上訊息傳遞效果的成立，亦是驗證我們提出在訊息不對稱的情況下，一般投資人(不具備私有訊息)可以藉由觀察公開資訊來弭補自身訊息量的不足，在此市場微結構下兩種交易人的行為便決定了資產的訂價。
We construct a model based on market microstructure and examine the information transmission effect of equity prices in A-share and B-share markets in China and global and domestic impact factors on the Taiwan capitalization weighted stock index (TAIEX). Our investigation on the measure of the information transmission effect presents a substantial segment of the cross-sectional variation in B-share discounts and finds that the information transmission plays a critical role in explaining how foreign share discounts become more contractive in China. On the other hand, We use the Standard and Poor’s (S&P) 500 closing index and open interest from the Taiwan Futures Exchange (TAIFEX) to represent the global and domestic impact factors, respectively. Examining the trading behavior of foreign and domestic institutions by observing open interest in the futures market reveals the private information of these institutions. Finally, the results indicate that the influence of the information transmission effect is significant on asset pricing.
參考文獻 Abugri, B. A., 2008. “Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets”, International Review of Financial Analysis 17, pp. 396-410.
Agosin, M. R. and F., Huaita, 2012. “Overreaction in capital flows to emerging markets: Booms and sudden stops”, Journal of International Money and Finance 31, pp. 1140-1155.
Angeletos, M. and I., Werning, 2006. “Crises and Prices: Information Aggregation, Multiplicity and Volatility”, American Economic Review 96, pp. 1720-1736.
Appiah-Kusi, J. and K., Menyah, 2003. “Return predictability in African stock markets”, Review of Financial Economics 12, pp. 247-270.
Bailey, W. and J., Jagtiani, 1994. “Foreign Ownership Restrictions and Stock Prices in the Thai Capital Market”, Journal of Financial Economics 36, pp. 57-87.
Bessler, D. A. and J., Yang, 2003. “The structure of interdependence in international stock markets”, Journal of international money and finance 22, pp. 261-287.
Bhargava, A. and J.D., Sargan, 1983. “Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods”, Econometrica 51, pp. 1635-1659.
Bloomfield, R. and M., O`Hara, 1999. “Market transparency: Who wins and who loses?”, Review of Financial Studies 12, pp. 5-35.
Cha, B. and S., Oh, 2000. “The relationship between developed equity markets and the Pacific Basin`s emerging equity markets”, International Review of Economics & Finance 9, pp. 299-322.
Chakravarty, S. A., Sarkar and L., Wu, 1998. “Information Asymmetry, Market Segmentation and the Pricing of Cross-Listed Shares: Theory and Evidence from Chinese A and B Shares”, Journal of International Financial Markets, Institutions and Money 8, pp. 325-356.
Chan, K.; A.J., Menkveld and Z., Yang, 2008. “Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount”, Journal of Finance 63, pp. 159-196.
Chang, C. C., P. F., Hsieh and H. N., Lai, 2009. “Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange”, Journal of Banking & Finance 33, pp. 757-764.
Chen, Z. and P., Xiong, 2001. “Discounts on Illiquid Stocks: Evidence from China”, Working Paper. Yale University.
Cheung, Y. L. and S. C., Mak, 1992. “The international transmission of stock market fluctuation between the developed markets and the Asian—Pacific markets”, Applied Financial Economics 2, pp. 43-47.
Chou, H. C., W. N., Chen and D. H., Chen, 2006. “The expiration effects of stock-index derivatives: Empirical evidence from the Taiwan futures exchange”, Emerging Markets Finance and Trade 42, pp. 81-102.
Chou, R. Y., 2006. “Modeling the Asymmetry of Stock Movements Using Price Ranges”, Advances in Economics 20, pp. 231-257.
Darbar, S. M. and P., Deb, 2002. “Cross‐market correlations and transmission of information”, Journal of Futures Markets 22, pp. 1059-1082.
Dickey, D. A. and W. A., Fuller, 1979. “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American statistical association 74, pp. 427-431.
Fernald, J. and John H., Rogers, 2002. “Puzzles in the Chinese Stock Market”, Review of Economics and Statistics 84, pp. 416-432.
Fleming, J., B., Ostdiek and R. E., Whaley, 1996. “Trading costs and the relative rates of price discovery in stock, futures, and option markets”, Journal of Futures Markets 16, pp. 353-387.
Frino, A., T., Walter and A., West, 2000. “The lead–lag relationship between equities and stock index futures markets around information releases”, Journal of Futures Markets 20, pp. 467-487.
Froot, K. A. and T., Ramadorai, 2008. “Institutional portfolio flows and international investments”, Review of Financial Studies 21, pp. 937-971.
Griffin, J. M., F., Nardari and R. M., Stulz, 2004. “Are daily cross-border equity flows pushed or pulled?”, Review of Economics and Statistics 86, pp. 641-657.

Grinblatt, M. and M., Keloharju, 2000. “The Investment Behavior and Performance of Various Investor Types: A Study of Finland`s Unique Data Set”, Journal of Financial Economics 55, pp. 43-67.
Grossman, S. J. and J. E., Stiglitz, 1980. “On the impossibility of informationally efficient markets”, The American economic review 70, pp. 393-408.
Hausman, J. A. and W. E., Taylor, 1981. “Panel Data and Unobservable Individual Effects”, Econometrica 49, pp. 1377-1398.
Henry, P. B., 2000. “Stock market liberalization, economic reform, and emerging market equity prices”, The Journal of Finance 55, pp. 529-564.
Hoffmann, A. O., T., Post and J. M., Pennings, 2013. “Individual investor perceptions and behavior during the financial crisis”, Journal of Banking and Finance 37, pp. 60-74.
Hong, H., 2000. “A model of returns and trading in futures markets”, The Journal of Finance 55, pp. 959-988.
Hsiao, C. M. H., Pesaran and A. K., Tahmiscioglu, 2002. “Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods”, Journal of Econometrics 109, pp. 107-150.
Kahneman, D. and A., Tversky, 1979. “Prospect theory: An analysis of decision under risk”, Econometrica: Journal of the Econometric Society 47, pp. 263-291.
Kang, J. and H. J., Park, 2014. “How Informed Investors Take Advantage of Negative Information in Options and Stock Markets”, Journal of Futures Markets 34, pp. 516-547.
Kwan, A. C., A. B., Sim and J. A., Cotsomitis, 1995. “The causal relationships between equity indices on world exchanges”, Applied Economics 27, pp. 33-37.
Levina, A.; C.-F., Lin; and C.-S. Chu, 2002. “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties”, Journal of Econometrics 108, pp. 1-24.
Luo, J. S. and C. A., Li, 2008. “Futures market sentiment and institutional investor behavior in the spot market: the emerging market in Taiwan”, Emerging Markets Finance and Trade 44, pp. 70-86.
Mandelbrot, B. B., 1971. “When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models”, Review of Economics and Statistics 53, pp. 225-236.
Masih, R. and A. M., Masih, 2001. “Long and short term dynamic causal transmission amongst international stock markets”, Journal of international Money and Finance 20, pp. 563-587.
Mei, J., J. A., Scheinkman and W., Xiong, 2009. “Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia”, Annals of Economics and Finance, Society for AEF 10, pp. 225-255.
Min, J. H. and M., Najand, 1999. “A further investigation of the lead–lag relationship between the spot market and stock index futures: Early evidence from Korea”, Journal of Futures Markets 19, pp. 217-232.
Morris, S. and H. S., Shin, 2000. “Rethinking Multiple Equilibria in Macroeconomic Modelling”, NBER Macroeconomics Annual 2000 15, pp. 139-161.
Morris, S. and H. S., Shin, 2006. “Endogenous Public Signals and Coordination”, Working Paper. Princeton University.
Nasseh, A. and J., Strauss, 2000. “Stock Prices and Domestic and International Macroeconomic Activity: A Cointegration Approach”, Quarterly Review of Economics and Finance 40, pp. 229-245.
Ozdenoren, E. and K., Yuan, 2008. “Feedback Effects and Asset Prices”, Journal of Finance 63, pp. 1939-1975.
Palomino, F., 1996. “Noise Trading in Small Markets”, Journal of Finance 51, pp. 1537-1550.
Poon, Winnie P. H.; M., Firth; and H., Fung, 1998. “Asset Pricing in Segmented Capital Markets: Preliminary Evidence from China-Domiciled Companies”, Pacific-Basin Finance Journal 6, pp. 307-319.
Richards, A., 2005. “Big fish in small ponds: The trading behavior and price impact of foreign investors in Asian emerging equity markets”, Journal of Financial and quantitative Analysis 40, pp. 1-27.
Salomons, R. and H., Grootveld, 2003. “The equity risk premium: emerging vs. developed markets”, Emerging Markets Review 4, pp. 121-144.
Scholes, M. and J., Williams, 1977. “Estimating beta from non-synchronous data”, Journal of Financial Economics 5, pp. 309-327.
Soydemir, G., 2000. “International transmission mechanism of stock market movements: evidence from emerging equity markets”, Journal of Forecasting 19, pp. 149-176.
Van Nieuwerburgh, S. and L., Veldkamp, 2006. “Learning Asymmetries in Real Business Cycles”, Journal of Monetary Economics 53, pp. 753-772.
Zhu, Y. and Y., Jiang, 2012. “Are Foreign Institutions More or Less Informed? Evidence from China`s Stock Markets”, Emerging Markets Finance and Trade 48, pp. 175-189.
描述 博士
國立政治大學
金融研究所
99352505
103
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0993525051
資料類型 thesis
dc.contributor.advisor 廖四郎zh_TW
dc.contributor.advisor Liao, Szu Langen_US
dc.contributor.author (Authors) 蔡宗穎zh_TW
dc.contributor.author (Authors) Tsai, Tsung Yingen_US
dc.creator (作者) 蔡宗穎zh_TW
dc.creator (作者) Tsai, Tsung Yingen_US
dc.date (日期) 2014en_US
dc.date.accessioned 1-Jun-2015 11:01:57 (UTC+8)-
dc.date.available 1-Jun-2015 11:01:57 (UTC+8)-
dc.date.issued (上傳時間) 1-Jun-2015 11:01:57 (UTC+8)-
dc.identifier (Other Identifiers) G0993525051en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/75405-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 99352505zh_TW
dc.description (描述) 103zh_TW
dc.description.abstract (摘要) 本文在訊息不對稱的原理下結合市場微結構進一步推導資產訂價，並且實證探討訊息傳遞的效果是否成立：一是中國的股票市場包含了A股跟B股，探討A股具有訊息傳遞到B股的效果；二是藉由國內的期貨市場與國際因素探討影響台灣的加權指數。對於具備私有訊息的交易者的交易行為往往或多或少會揭露出他們的訊息，進而形成公開訊息；不具私有訊息的交易者來說，唯一可以獲得並利用的資訊就是公開訊息，此時便是訊息傳遞效果的形成。以中國股票市場為例，外國人只能交易B股的限制下，藉由觀察A股的最高價跟最低價的範圍分析B股的合理價格，而此傳遞效果更是縮短了中國股票市場A股跟B股的價差。探討台灣市場，以國內因素而言，發現在台灣期貨市場中，外資跟國內法人的未平倉量對於台灣加權指數有顯著的影響；就國外因素而言，美國市場的標準普爾500指數對台灣加權指數亦是影響甚鉅。基於以上訊息傳遞效果的成立，亦是驗證我們提出在訊息不對稱的情況下，一般投資人(不具備私有訊息)可以藉由觀察公開資訊來弭補自身訊息量的不足，在此市場微結構下兩種交易人的行為便決定了資產的訂價。zh_TW
dc.description.abstract (摘要) We construct a model based on market microstructure and examine the information transmission effect of equity prices in A-share and B-share markets in China and global and domestic impact factors on the Taiwan capitalization weighted stock index (TAIEX). Our investigation on the measure of the information transmission effect presents a substantial segment of the cross-sectional variation in B-share discounts and finds that the information transmission plays a critical role in explaining how foreign share discounts become more contractive in China. On the other hand, We use the Standard and Poor’s (S&P) 500 closing index and open interest from the Taiwan Futures Exchange (TAIFEX) to represent the global and domestic impact factors, respectively. Examining the trading behavior of foreign and domestic institutions by observing open interest in the futures market reveals the private information of these institutions. Finally, the results indicate that the influence of the information transmission effect is significant on asset pricing.en_US
dc.description.tableofcontents 謝辭 I
中文摘要 II
Abstract III
List of Tables VI
List of Figures VII
Chapter 1 Introduction 1
Chapter 2 Model of Information Asymmetry and Transmission and empirical analysis by China 9
2.1 Equilibrium Price in the A-Share Market 11
2.2 Equilibrium Price in the B-Share Market 12
2.3 Analysis of the Information transmission Effect on the B-Share Discount and Empirical Results 13
2.3.1 Data and Statistics 15
2.3.2 Empirical Result of Panel Data 18
Chapter 3 Model of Information Asymmetry and Transmission and empirical analysis by Taiwan 24
3.1 Equilibrium Opening Price in the Stock Markets 26
3.2 Analysis of the Information Transmission Effect in the Taiwan Stock Market and Empirical Result 27
3.2.1 Data and Statistics 29
3.2.2 Empirical Results 32
Chapter 4 Conclusions 39
References 42
Appendix A 49
Appendix B 55


List of Tables
1 Descriptive statistics of trading variables in the A-share and B-share markets 17
2 Results of unit root test of trading variables in the A-share and B-share markets 18
3 Hausman Test - SHSE and SZSE 19
4 Analysis of Coefficients and t-statistic – SHSE 21
5 Analysis of Coefficients and t-statistic – SZSE 23
6 Descriptive statistics of trading variables in the U.S. and Taiwan 31
7 Results of unit root test of trading variables in the U.S. and Taiwan 33
8 Analysis of Coefficients and t-statistic in the U.S. and Taiwan (full period) 35
9 Analysis of Coefficients and t-statistic in the U.S. and Taiwan (during financial crisis) 36
10 Analysis of Coefficients and t-statistic in the U.S. and Taiwan (after financial crisis) 38
List of Figures
1 Averages of A-share price, B-share prices, and B-share discounts 3		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0993525051en_US
dc.subject (關鍵詞) 訊息不對稱zh_TW
dc.subject (關鍵詞) 訊息傳遞效果zh_TW
dc.subject (關鍵詞) 市場微結構zh_TW
dc.subject (關鍵詞) 資產訂價zh_TW
dc.subject (關鍵詞) 股票市場zh_TW
dc.subject (關鍵詞) 期貨市場zh_TW
dc.subject (關鍵詞) information asymmetryen_US
dc.subject (關鍵詞) information transmissionen_US
dc.subject (關鍵詞) asset pricingen_US
dc.subject (關鍵詞) market microstructureen_US
dc.subject (關鍵詞) stock marketen_US
dc.subject (關鍵詞) futures marketen_US
dc.title (題名) 訊息傳遞效果與資產訂價zh_TW
dc.title (題名) The Information Transmission Effect and Asset Pricingen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Abugri, B. A., 2008. “Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets”, International Review of Financial Analysis 17, pp. 396-410.
Agosin, M. R. and F., Huaita, 2012. “Overreaction in capital flows to emerging markets: Booms and sudden stops”, Journal of International Money and Finance 31, pp. 1140-1155.
Angeletos, M. and I., Werning, 2006. “Crises and Prices: Information Aggregation, Multiplicity and Volatility”, American Economic Review 96, pp. 1720-1736.
Appiah-Kusi, J. and K., Menyah, 2003. “Return predictability in African stock markets”, Review of Financial Economics 12, pp. 247-270.
Bailey, W. and J., Jagtiani, 1994. “Foreign Ownership Restrictions and Stock Prices in the Thai Capital Market”, Journal of Financial Economics 36, pp. 57-87.
Bessler, D. A. and J., Yang, 2003. “The structure of interdependence in international stock markets”, Journal of international money and finance 22, pp. 261-287.
Bhargava, A. and J.D., Sargan, 1983. “Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods”, Econometrica 51, pp. 1635-1659.
Bloomfield, R. and M., O`Hara, 1999. “Market transparency: Who wins and who loses?”, Review of Financial Studies 12, pp. 5-35.
Cha, B. and S., Oh, 2000. “The relationship between developed equity markets and the Pacific Basin`s emerging equity markets”, International Review of Economics & Finance 9, pp. 299-322.
Chakravarty, S. A., Sarkar and L., Wu, 1998. “Information Asymmetry, Market Segmentation and the Pricing of Cross-Listed Shares: Theory and Evidence from Chinese A and B Shares”, Journal of International Financial Markets, Institutions and Money 8, pp. 325-356.
Chan, K.; A.J., Menkveld and Z., Yang, 2008. “Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount”, Journal of Finance 63, pp. 159-196.
Chang, C. C., P. F., Hsieh and H. N., Lai, 2009. “Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange”, Journal of Banking & Finance 33, pp. 757-764.
Chen, Z. and P., Xiong, 2001. “Discounts on Illiquid Stocks: Evidence from China”, Working Paper. Yale University.
Cheung, Y. L. and S. C., Mak, 1992. “The international transmission of stock market fluctuation between the developed markets and the Asian—Pacific markets”, Applied Financial Economics 2, pp. 43-47.
Chou, H. C., W. N., Chen and D. H., Chen, 2006. “The expiration effects of stock-index derivatives: Empirical evidence from the Taiwan futures exchange”, Emerging Markets Finance and Trade 42, pp. 81-102.
Chou, R. Y., 2006. “Modeling the Asymmetry of Stock Movements Using Price Ranges”, Advances in Economics 20, pp. 231-257.
Darbar, S. M. and P., Deb, 2002. “Cross‐market correlations and transmission of information”, Journal of Futures Markets 22, pp. 1059-1082.
Dickey, D. A. and W. A., Fuller, 1979. “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American statistical association 74, pp. 427-431.
Fernald, J. and John H., Rogers, 2002. “Puzzles in the Chinese Stock Market”, Review of Economics and Statistics 84, pp. 416-432.
Fleming, J., B., Ostdiek and R. E., Whaley, 1996. “Trading costs and the relative rates of price discovery in stock, futures, and option markets”, Journal of Futures Markets 16, pp. 353-387.
Frino, A., T., Walter and A., West, 2000. “The lead–lag relationship between equities and stock index futures markets around information releases”, Journal of Futures Markets 20, pp. 467-487.
Froot, K. A. and T., Ramadorai, 2008. “Institutional portfolio flows and international investments”, Review of Financial Studies 21, pp. 937-971.
Griffin, J. M., F., Nardari and R. M., Stulz, 2004. “Are daily cross-border equity flows pushed or pulled?”, Review of Economics and Statistics 86, pp. 641-657.

Grinblatt, M. and M., Keloharju, 2000. “The Investment Behavior and Performance of Various Investor Types: A Study of Finland`s Unique Data Set”, Journal of Financial Economics 55, pp. 43-67.
Grossman, S. J. and J. E., Stiglitz, 1980. “On the impossibility of informationally efficient markets”, The American economic review 70, pp. 393-408.
Hausman, J. A. and W. E., Taylor, 1981. “Panel Data and Unobservable Individual Effects”, Econometrica 49, pp. 1377-1398.
Henry, P. B., 2000. “Stock market liberalization, economic reform, and emerging market equity prices”, The Journal of Finance 55, pp. 529-564.
Hoffmann, A. O., T., Post and J. M., Pennings, 2013. “Individual investor perceptions and behavior during the financial crisis”, Journal of Banking and Finance 37, pp. 60-74.
Hong, H., 2000. “A model of returns and trading in futures markets”, The Journal of Finance 55, pp. 959-988.
Hsiao, C. M. H., Pesaran and A. K., Tahmiscioglu, 2002. “Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods”, Journal of Econometrics 109, pp. 107-150.
Kahneman, D. and A., Tversky, 1979. “Prospect theory: An analysis of decision under risk”, Econometrica: Journal of the Econometric Society 47, pp. 263-291.
Kang, J. and H. J., Park, 2014. “How Informed Investors Take Advantage of Negative Information in Options and Stock Markets”, Journal of Futures Markets 34, pp. 516-547.
Kwan, A. C., A. B., Sim and J. A., Cotsomitis, 1995. “The causal relationships between equity indices on world exchanges”, Applied Economics 27, pp. 33-37.
Levina, A.; C.-F., Lin; and C.-S. Chu, 2002. “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties”, Journal of Econometrics 108, pp. 1-24.
Luo, J. S. and C. A., Li, 2008. “Futures market sentiment and institutional investor behavior in the spot market: the emerging market in Taiwan”, Emerging Markets Finance and Trade 44, pp. 70-86.
Mandelbrot, B. B., 1971. “When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models”, Review of Economics and Statistics 53, pp. 225-236.
Masih, R. and A. M., Masih, 2001. “Long and short term dynamic causal transmission amongst international stock markets”, Journal of international Money and Finance 20, pp. 563-587.
Mei, J., J. A., Scheinkman and W., Xiong, 2009. “Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia”, Annals of Economics and Finance, Society for AEF 10, pp. 225-255.
Min, J. H. and M., Najand, 1999. “A further investigation of the lead–lag relationship between the spot market and stock index futures: Early evidence from Korea”, Journal of Futures Markets 19, pp. 217-232.
Morris, S. and H. S., Shin, 2000. “Rethinking Multiple Equilibria in Macroeconomic Modelling”, NBER Macroeconomics Annual 2000 15, pp. 139-161.
Morris, S. and H. S., Shin, 2006. “Endogenous Public Signals and Coordination”, Working Paper. Princeton University.
Nasseh, A. and J., Strauss, 2000. “Stock Prices and Domestic and International Macroeconomic Activity: A Cointegration Approach”, Quarterly Review of Economics and Finance 40, pp. 229-245.
Ozdenoren, E. and K., Yuan, 2008. “Feedback Effects and Asset Prices”, Journal of Finance 63, pp. 1939-1975.
Palomino, F., 1996. “Noise Trading in Small Markets”, Journal of Finance 51, pp. 1537-1550.
Poon, Winnie P. H.; M., Firth; and H., Fung, 1998. “Asset Pricing in Segmented Capital Markets: Preliminary Evidence from China-Domiciled Companies”, Pacific-Basin Finance Journal 6, pp. 307-319.
Richards, A., 2005. “Big fish in small ponds: The trading behavior and price impact of foreign investors in Asian emerging equity markets”, Journal of Financial and quantitative Analysis 40, pp. 1-27.
Salomons, R. and H., Grootveld, 2003. “The equity risk premium: emerging vs. developed markets”, Emerging Markets Review 4, pp. 121-144.
Scholes, M. and J., Williams, 1977. “Estimating beta from non-synchronous data”, Journal of Financial Economics 5, pp. 309-327.
Soydemir, G., 2000. “International transmission mechanism of stock market movements: evidence from emerging equity markets”, Journal of Forecasting 19, pp. 149-176.
Van Nieuwerburgh, S. and L., Veldkamp, 2006. “Learning Asymmetries in Real Business Cycles”, Journal of Monetary Economics 53, pp. 753-772.
Zhu, Y. and Y., Jiang, 2012. “Are Foreign Institutions More or Less Informed? Evidence from China`s Stock Markets”, Emerging Markets Finance and Trade 48, pp. 175-189.		zh_TW