| 參考文獻 |
一、國內部分
1.王章誠，「股市季節性異常報酬現象與散戶投資人交易行為之研究」，雲林科技大學企業管理技術研究所碩士論文，民國八十七年。
2.李春旺，「股價行為與規模效應：台灣股票市場實證研究」，國立政治大學企業管理研究所碩士論文，民國七十六年。
3.吳建瑩，「台灣股票市場上市公司規模效果之研究」，淡江大學金融研究所碩士論文，民國七十六年。
4.吳漢銘，「亞太股市之換月效果、一月效果、週末效果及相關性研究」，私立淡江大學金融研究所碩士論文，民國八十二年。
5.林丙輝，「台灣證券市場股票報酬週末效果之研究」，國立台灣大學商學研究所碩士論文，民國七十五年。
6.拾已寰，「台灣股票市場機構投資人與小額投資人投資策略差異性之研究」，國立台灣大學農業經濟學系博士論文，民國七十九年。
7.施旭時，「國內外法人機構、新興市場自由指數與國內股市結構」，淡江國際貿易學系碩士論文，民國八十五年。
8.胡家瑜，「我國股市日曆異常現象之探討」，淡江大學管理科學研究所碩士論文，民國八十二年。
9.陳順宇、鄭碧娥著，統計學，華泰書局，民國87年7月三版。
10.陳順宇著，多變量分析，華泰書局，民國87年7月初版。
11.傅兆康，「台灣證券市場股票報酬與休市效果之研究」，淡江大學管理科學研究所碩士論文，民國七十九年。
12.黃俊郁，「股票投資報酬週末效應之研究」，國立政治大學企業管理研究所碩士論文，民國七十三年。
13.黃俊榮，「台灣股票市場日曆異常現象之探討─各類指數報酬率分析與比較」，國立中正大學財務金融學系碩士論文，民國八十三年。
14.楊朝成、林容如，「規模效果、益本比效果與一月效應─台灣股市之實證研究」，社會科學論叢，民國八十二年。
15.雷雅淇，「公司規模、股價、益本比、淨值市價比與股票報酬關係之實證研究」，國立中央大學企業管理研究所碩士論文，民國八十九年。
16.鄭智成，「台灣與國際股市週日效應的比較」，國立台灣大學商學研究所碩士論文，民國八十一年。
17.盧木生，「台灣股票市場休市效果之再檢定」，淡江大學金融研究所碩士論文，民國八十一年。
18.盧瑞明，「台灣地區證券投資報酬週末效應之研究」，國立政治大學企業管理研究所碩士論文，民國七十八年。
19.羅弘睿，「台灣股票市場假日效應之研究」，國立交通大學管理科學研究所碩士論文，民國八十三年。
二、國外部分
1.Abraham and Ikenberry, 1994, The Individual Investor and the Weekend Effect, Journal of Financial and Quantitative Analysis 29, June, Issue 2, 263-278
2.Aggarwal, R. and P. Rivoli, 1989, Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets, The Financial Review 24, 541-550
3.Ariel, R.A., 1985, High Stock Returns Before Holidays, MIT Working Paper
4.Banz, R.W., 1981, The Relationship Between Return and Market Value of Common Stocks, Journal of Financial Economics 9, 3-18
5.Bekaert and Harvey, 1995, Abstracts of papers presented at the 1995 AFA meeting, Journal of Finance 50, July, Issue 3, 952
6.Bhardwaj Ravinder K. and Leroy D. Brooks, 1992, The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias, The Journal of Finance 2, June, 553-575
7.Brusa Jorge, Pu Liu and Carig Schulman, 2000, The Weekend Effect, ‘Reverse’ Weekend Effect, and Firm Size, Journal of Business Finance & Accounting, June/July 27(5) & (6), 555-574
8.Chan,K.C., Yasushi Hamao, and Josef Lakonishok, 1991, Fundamentals and Stock Returns in Japan, Journal of Finance 46, December, 1739-1764
9.Clare A.D., Ibrahim M.S.B. and Thomas S.H., 1998, The Impact of Settlement Procedures on Day-of-the-week Effects: Evidence From the Kuala Lumpur Stock Exchange , Journal of Business Finance & Accounting 25(3)&(4), April/May, 401-418
10.Condoyanni L., J. O’Hanlon and C.W.R. Ward, 1987, Weekend Effects in Stock Market Returns: International Evidence, Journal of Business Finance & Accounting 14, Summer, 159-174
11.Cross F., 1973, The Behavior of Stock Prices on Fridays and Mondays, Financial Analysts Journal, November-December, 67-69
12.Damodaran, A., 1989, The Weekend Effect in Information Releases: A Study of Earnings and Dividend Announcements, Review of Financial Studies 2, 607-623
13.Eric James Higgins and David R. Peterson, 1999, Day-of-the-Week Autocorrelations, Cross-Autocorrelations, and the Weekend Phenomenon, The Financial Review 34, 159-170
14.Fama, E. F., and K. R. French, 1992, The Cross-Section of Expected Stock Returns, Journal of Finance 47, 427-465
15.Fields, M.J., 1981, Stock Prices: A Problem in Verifiction, Journal of Business 4, October
16.French, K., 1980, Stock Returns and The Weekend Effect, Journal of Financial Economics, March, 55-69
17.French, K. R., 1980, Stock Returns and the Weekend Effect, Journal of Financial Economics 8, 55-69
18.Garza-Gomez Xavier, Jiro Hodoshima, and Michio Kunimura, 1998, Does Size Really Matter in Japan, Financial Analyst Journal 11/12, 22-34
19.Gibbons, M.R. and P. Hess, 1981, Day of the Week Effect and Asset Returns, Journal of Business 54, 579-96
20.Harris, L., 1986, A transaction data study of weekly and intradaily patterns of Stock Returns, Journal of Financial Economics 16, 99-117
21.Hsia Chi-Cheng, Fuller Beverly R., and Brian Y.J. Chen, 2000, Is Beta Dead or Alive?, Journal of Business Finance & Accounting 27(3) & (4), 283-311
22.Jaffe, J. and R. Westerfield, 1985, The Weekend Effect in Common Stock Returns: The International Evidence, Journal of Finance 40, 433-454
23.Jain, P. and G. John, 1988, The Dependence between Hourly Prices and Trading Volume, Journal of Financial and Quantitative Analysis 23, September, 269-284
24.Kamara Avraham, 1997, New Evidence on the Monday Seasonal in Stock Returns, Journal of Business 70, 63-84
25.Keim Donald B., 1983, Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence, Journal of Financial Economics 12, 13-32
26.Keim and R.R. Stambaugh , 1984, A Further Investigation of the Weekend Effect in Stock Returns, Journal of Finance 17, 357-390
27.Keim, Donald B., Madhavan Ananth, 1995, Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders, Journal of Financial Economics 37, March, 371-399
28.Kim, S.W., 1988, Capitalizing on the Weekend Effect,” Journal of Portfolio Management, Winter, 61-64
45.Ko Wang, Yuming Li, and John Erickson, 1997, A New Look at the Monday Effect, The Journal of Finance 5, December, 2171-2186
29.Kross and William, 1985, The Size Effect is Primarily a Price Effect, Journal of Financial Research 8, 169-179
30.Lakonishok, Josef and Maurice Levi, 1982, Weekend Effects on Stock Returns: A Note, Journal of Finance 37, 883-889
31.Lakonishok, J. and S. Smidt, 1988, Are Seasonal Anomalier Real? A Ninety-Year Perspective, Review of Financial Studies, 403-425
32.Lakonishok, J. and E. Maberty, 1990, The Weekend Effect: Trading Patterns of Individual Land Institutional Investors, Journal of Finance 45, 231-243
33.Lee, I., R.R. Pettit and M.V. Swankoski, 1989, Daily Return Relationships Among Asian Stock Markets, Journal of Business Finance & Accounting 17, 265-284
34.Miller, Edward, 1988, Why a Weekend Effect?, Journal of Portfolio Management 14, Summer, 42-48
35.Mukherji, Sandip, Manjeet S. Dhatt, and Yong H. Kim, 1997, A Fundamental Analysis of Korean Stock Returns, Financial Analysis Journal, May/June, 75-80
36.Pattel, J.M. and M.A. Wolfson, 1982, Good News, Bad News, and the Intraday Timing of Corporate Disclosures, Accounting Review 57, 509-527
37.Pennman, S. H., 1987, The Distribution of Earnings Over Time and Seasonality in Aggregate Stock Returns, Journal of Financial Economics 12, 199-228
38.Peter Fortune, 1999, Are Stock Returns Different over Weekends? A Jump Diffusion Analysis of the ‘Weekend Effect’, New England Economic Review, September/October, 3-19
39.Pettengill, G.N., 1989, Holiday Closings and Security Returns, Journal of Financial Research 12, 57-67
40.Raymond M. Brooks and Hongshik Kim, 1997, The Individual Investor and the Weekend Effect: A Reexamination with Intraday Data, The Quarterly Review of Economics and Finance 37, Fall, 725-737
41.Reinganum, M.R., 1981, Misspecification of Capital Asset Pricing: Empirical Anomalies Based On Earnings Yields and Market Values, Journal of Financial Economics 9, 19-46
42.Ritter, J.R. and N.Chopra, 1989, Portfolio Re-balancing and the Turn-of-the-year Effect, Journal of Finance 44, 149-166
43.Rogalski, R., 1984, New Findings Regarding Day-of-the-Week Returns Over Trading and Non-Trading Periods: A Note, Journal of Finance 34, 1603-1614
44.Roll, R. and S. A. Ross, 1996, On the Cross-sectional Relation Between Expected Returns and Betas, Journal of Finance 49, 101-121
45.Rozeff, M.S. and W.R. Kinney, Jr., 1976, Capital Market Seasonality: The Case of Stock Returns, Journal of Financial Economics 3, 379-402
46.Sias, R.W., Starks, L.T., 1995, The Day-of-the-week Anomaly: The Role of Institutional Investors, Journal of Financial Analysts 51, 58-67
47. Stoll, Hans R.and E. Whaley Robert, 1983, Transaction Cost and Small Firm Effect, Journal of Financial Economics, June, 57-59.
48.Tinic, Seha, and Richard West, 1984, Fisk and Return: January vs. the Rest of the Year, Journal of Financial Economics 13, 561-574
49.Wang Ko, Yuming Li, and John Erickson, 1997, A New Look at the Monday Effect, The Journal of Finance 5, December
50.Wong, K.A. and H.D.D. Ho, 1986, The Weekend Effect on Stock Returns in Singapore, Hong Kong Journal of Business Management 4, 31-50
51.Ziemba, W.T., 1989, Japanses Security Market Regularities: Monthly, Turn of the Month and Year, Holiday and Golden Week Effects, Yamaichi Research Institute, Tokyo |
[Endnote RIS 格式]
[相關文章]
[文章引用]
[完整記錄]
[館藏目錄]
[檢視]
plurk
funp
live
udn
HD
myshare
netvibes
friend
youpush
delicious
baidu
Google bookmarks
del.icio.us
hemidemi
facebook
twitter
google
reddit