المؤلفون: 張正怡, Chang, Cheng-Yi

المساهمون: 淡江大學管理科學學系企業經營碩士在職專班, 莊忠柱, Chuang, Chung-Chu

مصطلحات موضوعية: inversed ETF, Leveraged ETF, Market timing, VIX, volatility index, 反向型ETF, 槓桿型ETF, 擇時指標

وصف الملف: 144 bytes; text/html

Relation: 一、 中文部分 許溪南、郭玟秀、鄭乃誠(2005)，「投資人情緒與股價報酬波動之互動關係：台灣股市之實證」，台灣金融財務季刊，6：3，107-121。 二、 英文部分 Baker, M. and J. C. Stein (2004) “Market liquidity as a sentiment indicator,” Journal of Financial Markets, 7, 271-299. Boscaljon, B., G. Filbeck, and X. Zhao (2011) “Market timing using the VIX for style rotation,” Financial Services Review, 20, 35-44. Brown, G. W. and M. T. Cliff (2004) “Investor sentiment and the near-term stock market,” Journal of Empirical Finance, 11:1, 1-27. Copeland, M. M. and T. E. Copeland (1999) “Market timing: Style and size rotation using the VIX,” Financial Analysts Journal, 55, 73-81. De Long, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann (1990) “Noise trader risk in financial markets,” Journal of Political Economy, 98:4, 703-738. Fleming, J., B. Ostdiek, and R. E. Whaley (1995) “Predicting stock market volatility: A new measure,” Journal of Futures Market, 15:3, 265-302. Giot, P. (2002) “Implied volatility indices as leading indicators of stock index returns?,” Working Paper No. 2002/50, University of Leuvain. Hartmann, U. and F. Ramirez (2013) “Real time detection of turning points in financial time series,” Munich: GRIN Verlag. Larry, C. (1999), “Extreme volatility trading,” Futures, 38. Larry, C. (2002), “Timing your S&P trades with VIX,” Futures, 46. Qadan, M. and G. Cohen (2011) “Is it profitable to invest according to the VIX fear index?,” Journal of Modern Accounting and Auditing, 7:1, 86-90. Rephael, A. B., S. Kandel, and A. Wohl (2012) “Measuring investor sentiment with mutual fund flows,” Journal of Financial Economic, 104, 363-382. Schmelling, M. (2009) “Investor sentiment and stock returns: Some international evidence,” Journal of Empirical Finance, 16:3, 394-408. Simon, D. P. (2003) “The Nasdaq volatility index during and after the bubble,” Journal of Derivatives, 11, 9-24. Simon, D. P. and R. A. Wiggins (2001) “S&P futures returns and contrary sentiment indicators,” Journal of Futures Market, 21:5, 447-462. Simon D. P. and Jim Campasano (2014) “The VIX futures basis: Evidence and trading strategies,”Journal of Derivatives, Spring, 54-69 Traub, H., L. Ferreira, M. Mcardle and M. Antognelli (2000) “Fear and greed in global asset allocation,” Journal of Investing, 9:1, 21-37. Treadway, P. T. and M. C. S. Wong (2013) “Investing in the age of sovereign defaults: How to preserve your wealth in the coming crisis,” New Jersey: Wiley. Whaley, R. E. (2000) “The investor fear gauge,” Journal of Portfolio Management, 26:3, 12-17.; U0002-2906201722464500; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/114323; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/114323/1/index.html

الاتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/114323
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/114323/1/index.html

المؤلفون: 張正怡, Chang, Cheng-Yi

المساهمون: 淡江大學管理科學學系企業經營碩士在職專班, 莊忠柱, Chuang, Chung-Chu

مصطلحات موضوعية: inversed ETF, Leveraged ETF, Market timing, VIX, volatility index, 反向型ETF, 槓桿型ETF, 擇時指標, eco, manag

Relation: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/114323

الاتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/114323

المؤلفون: 陳洸輝, CHEN, KUANG-HUI

المساهمون: 企業管理學系管理科學碩博士班, 袁淑芳, YUAN, SHU-FANG

مصطلحات موضوعية: VIX指標, 擇時指標, 過度樂觀, 過度恐慌, VIX Index, Timing Indicator, Overconfident, Overfear

وصف الملف: 2578002 bytes; application/pdf

Relation: http://nhuir.nhu.edu.tw/handle/987654321/25697; http://nhuir.nhu.edu.tw/bitstream/987654321/25697/1/105NHU00457035-002.pdf; http://nhuir.nhu.edu.tw/bitstream/987654321/25697/-1/index.html

الاتاحة: http://nhuir.nhu.edu.tw/handle/987654321/25697
http://nhuir.nhu.edu.tw/bitstream/987654321/25697/1/105NHU00457035-002.pdf
http://nhuir.nhu.edu.tw/bitstream/987654321/25697/-1/index.html

المؤلفون: 袁淑芳, Yuan, Shu-fang

المساهمون: 淡江大學財務金融學系博士班, 李進生, Lee, Chin-shen, 邱忠榮, Chiou, Jong-rong

مصطلحات موضوعية: VXO, 波動率指標, 槓桿效果, 展望理論, 擇時指標, Implied volatility, Leverage Effect, Prospect Theory, Timing Index

وصف الملف: 143 bytes; application/octet-stream

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Schwert, and R. Stambaugh, 1987. Expected Stock Returns and Volatility. Journal of Financial Economics, 19, 3-29. Gastineau, G., 1977. An Index of Listed Option Premiums. Financial Analysis Journal, 30, 70-75. Giot, P., 2002a. Implied Volatility Indices as Leading Indicators of Stock Index Returns. Working Paper. Giot, P., 2002b. The Information Content of Implied Volatility Indexes for Forecasting Volatility and Market Risk. Working Paper. Giot, P., 2003. The Asian Financial Crisis: the Start of a Regime Switch in Volatility. Working Paper. Giot, P., 2005. Relationships between Implied Volatility Indexes and Stock Index Returns. Journal of Portfolio Management, 31, 92-100. Glosten, L., R. Jagannathan and D. Runkle, 1993. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance, 48, 1779-1801. Gwilym, O., 2001. Forecasting Volatility for Options Pricing for the U.K. Stock Market. 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Journal of Finance, 34, 1173-1186. Moraux, F., P. Navatte and C. Villa, 1999. The Predictive Power of the French Market Volatility Index: A Multi Horizons Study. European Finance Review, 2, 303-320. Nelson, D. 1989. Modeling Stock Market Volatility Changes. Procedings of the 1989 Meetings of the American Statistical Association, Business and Economics Section, 93-98. Nelson, D., 1991. Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59, 347-370. Odean, T., 1998. Are Investors Reluctant to Realize Their Losses? Journal of Finance, 53, 1775-1798. Olsen, R., 1998. Behavioral Finance and Its Implications for Stock-Price Volatility. Financial Analysis Journal, 10-18. Pindyck, R., 1984. Risk, Inflation, and the Stock Market. American Economic Review, 74, 335-51. Poon S. and C. Granger, 2003. Forecasting Volatility in Financial Market: A Review. Journal of Economic Literature, 41, 478-539. Poterba, J., and L. Summers, 1986. The Persistence of volatility and Stock Market Fluctuations. American Economic Review, 76, 1142-1151. Poteshman, A., 2006. Unusual Option Market Activity and the Terrorist Attacks of 104 September 11. Journal of Business, 79, 1703-1726. Richards, A., 1996. Volatility and Predictability in National Stock Markets: How Do Emerging and Mature Market Differ? IMF Staff Papers, 43, 461-501. Schmalensee, R. and R. Trippi, 1978. Common Stock Volatility Expectations Implied by Option Prices. Journal of Finance, 33, 129-147. Schwert, G., 1990. Stock Volatility and the Crash of ’87. Review of Financial Studies, 3, 77-101. Sharpe, W., 1964. Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19, 425-442. Shefrin, H and M .Statman, 1985. The Disposition to Sell Winner Too Early and Ride Losers Too Long: Theory and Evidence. Journal of Finance, 40, 777-790. Shiller, R., 1984. Stock Prices and Social Dynamics. Brookings Paper on Economic Activity, 2, 457-498. Shleifer, A., 2000. Inefficient Market. Oxford: Oxford U. Press. Summa, J., 2002. Forecasting Market Direction with Put/Call Ratios. http://www.investopedia.com/. Tan, K., 2002. Fixated on the VXO: Soaring Volatility Mean Fear – and Opportunity. Barron’s, MW13. Tauchen, G., H. Zhang and M. Liu, 1996. Volume, Volatility, and Leverage: A Dynamic Analysis. Journal of Econometrics, 74, 177-208. Thaler, R., 1980. Toward a Positive Theory of Consumer Choice. Journal of Economic Behavior and Organization, 1, 39-60. Thaler, R., 1985. Mental Accounting and Consumer Choice. Marketing Science, 4, 199-214. Traub, H., L. Ferreira, M. Mcardle, and M. Antognelli, 2000. Fear and Greed in Global Asset Allocation. The Journal of Investing, 27-31. Whaley, R., 1986. Valuation of American Futures Options: Theory and Empirical Tests. Journal of Finance, 10, 71-84. Whaley, R., 1993. Derivatives on Market Volatility: Hedging Tools Long Overdue. Journal of Derivatives, 71-84. Whaley, R., 2000. The Investor Fear Gauge. The Journal of Portfolio Management, 12-17. Whitelaw, R., 1994. Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns. Journal of Finance, 49, 515-541. Xu, X., and S. Taylor, 1995. Conditional Volatility and the Informational Efficiency of the PHLX Currency Options Market. Journal of Banking and Finance,19, 803-821. Yadav, P. and P. Pope, 1994. Stock Index Futures Mispricing: Profit Opportunities or Risk Premia?. Journal of Banking and Finance, 921-953. Yuan, S. and C. Lee, 2007. The Property of Market Volatility Index on Taiwan Market: Taifex’s VXO and Prospect Theory. Journal of Management (In Chinese), 24, 211-228.; U0002-2502200815144500; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31621; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/31621/1/

الاتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31621
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/31621/1/

المؤلفون: 陳沅竹

مصطلحات موضوعية: 動態配置, 灰預測, 擇時指標, Bond-Equity Yield Ratio, ARMA

وصف الملف: 148 bytes; application/octet-stream

Relation: http://ir.lib.ntust.edu.tw/handle/987654321/11448; http://ir.lib.ntust.edu.tw/bitstream/987654321/11448/1/

الاتاحة: http://ir.lib.ntust.edu.tw/handle/987654321/11448
http://ir.lib.ntust.edu.tw/bitstream/987654321/11448/1/