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1Dissertation/ Thesis
المؤلفون: 洪詩涵, Hung, Shih-Han
المساهمون: 郭維裕, Guo, Wei-Yu
مصطلحات موضوعية: 總體經濟指標, 股市報酬, 報酬率波動度, 綜合指數, Macroeconomic Indicators, Stock Return, Return Volatility, Composite Index
وصف الملف: 1253335 bytes; application/pdf
Relation: Boyd, John H., Jian Hu, and Ravi Jagannathan, 2005, The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks, The Journal of Finance 60(2), 649-672. Boyarchenko, Nina, Richard K. Crump, Anna Kovner, and Or Shachar, 2022, Measuring Corporate Bond Market Dislocations, FRB of New York Staff Report 957. Bruno, Valentina, and Hyun Song Shin, 2012, Capital Flows and the Risk-Taking Channel of Monetary Policy, Journal of Monetary Economics 71, 119-132. Chen, Nai-Fu, Richard Roll, and Stephen A. Ross, 1986, Economic Forces and the Stock Market, The Journal of Business 59(3), 383-403. Clewell, David, Chris Faulkner-Macdonagh, David Giroux, Sébastien Page, and Charles Shriver, 2017, Macroeconomic Dashboards for Tactical Asset Allocation, The Journal of Portfolio Management 44(2), 50-61. Gourinchas, Pierre-Olivier, and Maurice Obstfeld, 2012, Stories of the Twentieth Century for the Twenty-First, American Economic Journal 4(1), 226-265. Greenwood, Robin, Samuel G. Hanson, Andrei Shleifer, and Jakob Ahm Sørensen, 2022, Predictable Financial Crises, Journal of Finance 77(2), 863-921. Homa, Kenneth E., and Dwight M. Jaffee, 1971, The Supply of Money and Common Stock Prices, Journal of Finance 26(5), 1045-1066. Kose, M. Ayhan, Christopher Otrok, and Charles H. Whiteman, 2003, International Business Cycles: World, Region, and Country-Specific Factors, The American Economic Review 93(4), 1216-1239. Miranda-Agrippino, Silvia, and Hélène Rey, 2015, World asset markets and the global financial cycle, CEPR Discussion Papers, No. 10936. Petkova, Ralitsa, 2006, Do the Fama-French Factors Proxy for Innovations in Predictive Variables?, Journal of Finance 61(2), 581-612 . Rapach, David E., Jesper Rangvid, and Mark E. Wohar, 2005, Macro variables and international stock return predictability, International Journal of Forecasting 21 (1), 137-166. Rey, Hélène, 2015, Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence, NBER Working Paper 21162. 黃雅楨, 2018, VIX指數、總體經濟變數與台灣加權股價指數關聯性之分析, 碩士論文, 國立政治大學. 楊士漢, 2008, 台灣股市與美國那斯達克的動態相關性分析, 碩士論文, 國立交通大學. 劉照群, 2008, 美國費城半導體股、台灣股市、台積電股價的關聯性之實證研究, 碩士論文, 國立臺北大學.; G0111351034; https://nccur.lib.nccu.edu.tw//handle/140.119/152402; https://nccur.lib.nccu.edu.tw/bitstream/140.119/152402/1/103401.pdf
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2Academic Journal亞洲主要股市報酬波動的潛在鏈結程度衡量 ; Measuring the Connectedness of Returns and Volatilities in Asian Stock Markets
المؤلفون: 徐士勛*, Hsu, Shih-Hsun, 李佳罄
المساهمون: 經濟系
مصطلحات موضوعية: 股市報酬率與波動率, 廣義預測誤差變異數分解, 鏈結指數, 外溢效果, 網 絡佈局圖, Return and Volatility, generalized forecast error variance decomposition, connectedness, spillover effect, connectedness layout
وصف الملف: 6330459 bytes; application/pdf
Relation: 經濟論文叢刊, 47卷4期, 579 - 620; https://nccur.lib.nccu.edu.tw//handle/140.119/129113; https://nccur.lib.nccu.edu.tw/bitstream/140.119/129113/1/157.pdf
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3
المساهمون: 企業管理系, 賴惠華
مصطلحات موضوعية: 企業永續發展(ESG), 財務績效, 股價股市報酬率, 減碳轉型
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4Report
المؤلفون: 楊聲勇
المساهمون: 行政院國家科學委員會, 國立中興大學財務金融學系（所）
Relation: http://hdl.handle.net/11455/53852
الاتاحة: http://hdl.handle.net/11455/53852
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5Dissertation/ Thesis
المؤلفون: 王羿婷, Wang, Yi-Ting
المساهمون: 徐士勛, Hsu, Shih-Hsun
مصطلحات موضوعية: 股市報酬, 頻域因果關係, Granger因果關係檢定
وصف الملف: 929686 bytes; application/pdf
Relation: [1] 姜文怡 (2000)，「股票報酬預測產出之不對稱性效果」，碩士論文， 淡江大學，財務金融研究所。\n[2] 董澍琦，楊聲勇與藍淑鳳 (2005)，「股票報酬與經濟成長–亞太新興 國家之實證研究」，東海管理評論，7，285–304。\n[3] Breitung, J. and B. Candelon (2006), “Testing for short- and long- run causality: a frequency-domain approach,”Journal of Economet- rics, 132, 363–378.\n[4] Dickey, D.A. and W.A. Fuller (1981), “Likelihood ratio statistics for autoregressive time series with a unit root,”Econometrica: journal of the Econometric Society, 49,1057–1072.\n[5] Dufour,J.M.andE.Renault(1998),“ShortRunandLongRunCausal- ity in Time Series:Theory,”Econometrica, 66, 1099–1125.\n[6] Fama, E. F.(1990), “Stock returns, expected returns, and real activ- ity,”The Journal of Finance, 45, 1089-1108.\n[7] Geweke, J. (1982), “Measurement of linear dependence and feedback between multiple time series,” Journal of the American Statistical As- sociation, 77, 304–313.\n[8] Granger, C.W.J. (1969), “Investigating causal relations by economet- ric models and cross-spectral methods,”Econometrica: journal of the Econometric Society, 37, 424–438.\n[9] Hosoya, Y. (1991), “The decomposition and measurement of the in- terdependence between second-order stationary process,”Probability Theory and Related Fields, 88, 429–444.\n[10] Hou, H. and S.Y. Cheng (2010), “The roles of stock market in the finance-growth nexus: time series cointegration and causality evi- dence from Taiwan,”Applied Financial Economics, 20, 975-981.\n[11] Huang, B.N. and C.W. Yang (2004), “Industrial Output and Stock Price Revisited: An Application of the Multivariate Indirect Causal- ity Model,”The Manchester School, 72, 347-362.\n[12] Ibrahim, H.M. (1999), “Macroeconomic variables and stock prices in Malaysia: an empirical analysis,”Asian Economic Journal, 13, 219– 231.\n[13] Kaplan, M. (2008), “The impact of stock market on real economic ac- tivity: evidence from Turkey,”Journal of Applied Sciences, 8, 374– 378.\n[14] Pearce, D.K. (1983), “Stock prices and the economy,” Federal reserve bank of Kansas city economic review, 68, 7–22.\n[15] Singh, D. (2010), “Causal relationship between macro-economic vari- ables and stock market: A case study for India,”Pakistan Journal of Social Sciences, 30, 263–274.\n[16] Thach, N.N., L.H. Anh and H.T.N. Phuong (2019), “Frequency Do- main Causality Analysis of Stock Market and Economic Activites in Vietnam,” In: Kreinovich V., Sriboonchitta S. (eds) Structural Changes and their Econometric Modeling. TES 2019. Studies in Com- putational Intelligence, 808. Springer, Cham\n[17] Tiwari, A. K., M. I. Mutascu, C. T. Albulescu and P. Kyophilavong (2015), “Frequency domain causality analysis of stock market and eco- nomic activity in India,”International Review of Economics and Fi- nance, 39, 224 - 238.; G0107258022; https://nccur.lib.nccu.edu.tw//handle/140.119/131181; https://nccur.lib.nccu.edu.tw/bitstream/140.119/131181/1/802201.pdf
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6Dissertation/ Thesis
المؤلفون: 洪誌宏, Hung, Chin-Hung
المساهمون: 財務金融學系碩士在職專班
مصطلحات موضوعية: GJR-GARCH模型, 製藥產業, 股市報酬, GJR-GARCH model, Pharmaceutical Industry, stock return, manag, eco
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7Dissertation/ Thesis
المؤلفون: 陳科全, Chen, Ke-Chuan
المساهمون: 徐士勛, Shiu, Shr-Shiun
مصطلحات موضوعية: 股市報酬, 公債利差, 因果拆解法, 經驗模態分解法, Granger 因果關係檢定法
وصف الملف: 3293864 bytes; application/pdf
Relation: G1062580372; http://nccur.lib.nccu.edu.tw//handle/140.119/124215; http://nccur.lib.nccu.edu.tw/bitstream/140.119/124215/1/037201.pdf
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8Dissertation/ Thesis
المؤلفون: 吳宸瑋, WU, CHEN-WEI
المساهمون: 財務金融系, 李瑞琳, LEE, RUEI-LIN
مصطلحات موضوعية: 股市報酬, 交易活動, 天氣影響, 情緒, 分量迴歸, stock market return, trading activity, weather effects, sentiment, quantile regression
وصف الملف: 1211434 bytes; application/pdf
Relation: 106CYUT0304017; http://ir.lib.cyut.edu.tw:8080/handle/310901800/35511; http://ir.lib.cyut.edu.tw:8080/bitstream/310901800/35511/1/106CYUT0304017-002.pdf
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9Dissertation/ Thesis
المؤلفون: 嚴敬傑, Yen, Ching Chieh
المساهمون: 林柏生, Lin, Po Sheng
مصطلحات موضوعية: UIP檢驗, 外匯效率市場假設, 考量股市報酬率之UIP檢驗, Conventional UIP test, EMH, UIP test with returns of stock markets, eco, manag
Relation: http://nccur.lib.nccu.edu.tw/bitstream/140.119/111287/1/103501.pdf; http://nccur.lib.nccu.edu.tw//handle/140.119/111287
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10
المؤلفون: 董凡義, Tung, Fan-Yi
المساهمون: 林盈課, Anchor-Y Lin, 中興大學, 林哲群, 陳育成
مصطلحات موضوعية: VAR, Hot money, Exchange rate, Stock return, 熱錢, 匯率, 股市報酬率, eco, manag
Relation: http://hdl.handle.net/11455/23317
الاتاحة: http://hdl.handle.net/11455/23317
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11Dissertation/ Thesis
المؤلفون: 林佳琪
المساهمون: 郭維裕
مصطلحات موضوعية: 主要要素模型, 預測, 股市報酬, Principal Components Analysis, Forecasting, Stock Market, eco, manag
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12Dissertation/ Thesis
المؤلفون: 劉逸軒, Liu, Yi-xuan
المساهمون: 財務金融學系財務管理碩士班, 陳昇鴻, Sheng-hung Chen
مصطلحات موضوعية: 美國聯準會, 利率政策調整, 雙變量一般化自我回歸條件異質變異數, 股市報酬率, 股市波動性, 外溢效果, Stock Volatility, Spillover Effects, BEKK GARCH, US Fed, Stock Return, Interest Rate Policy Adjustment
Relation: http://nhuir.nhu.edu.tw/handle/987654321/18504; http://nhuir.nhu.edu.tw/bitstream/987654321/18504/-1/099NHU05304015-001.pdf; http://nhuir.nhu.edu.tw/bitstream/987654321/18504/-1/index.html
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13Dissertation/ Thesis
المؤلفون: 沈芳妃, Shen, Fang-fei
المساهمون: 財務金融學系財務管理碩士班, 邱魏頌正, 張瑞真, Sung-cheng Chiu-wei, Jui-chen Chang
مصطلحات موضوعية: 共同基金流量, 股市報酬率, GARCH模型, mutual fund flow, GARCH model, stock market returns
Relation: http://nhuir.nhu.edu.tw/handle/987654321/19941; http://nhuir.nhu.edu.tw/bitstream/987654321/19941/-1/097NHU05304021-001.pdf; http://nhuir.nhu.edu.tw/bitstream/987654321/19941/-1/index.html
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14
المؤلفون: 林坤龍.呂琪茹.田筱代.朱志遠
المساهمون: 資訊管理系
مصطلحات موضوعية: 小波分解式、股市報酬率、技術指標、區隔分析、經濟指標。
Relation: 指導老師:張家豪; http://120.106.195.12/handle/310904600Q/4540
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15
المؤلفون: 關偉倫
المساهمون: 張國平
Time: 40
وصف الملف: 155 bytes; text/html
Relation: Barsky , Robert B. , and Lutz Kilian , 2004 , Oil and macroeconomy since the 1970s , Journal of Economic Perspectives 18 , 115 - 134 Binswanger , Mathias , 2000 , Stock returns and real activity：is there still a connection？ , Applied Financial Economics 10 , 379 - 387 Binswanger , Mathias , 2000 , Does the stock market still lead real activity？- an investigation for the G-7 countries , Swiss Society for Financial Market Research , 15 - 29 Campbell , John Y. , 1991 , A variance decomposition for stock returns , The Economic Journal 101 , 157 - 179 Campbell , John Y. , and Robert J. Shiller , 1988 , The dividend-price ratio and expectations of future dividends and discount factors , Review of Financial Studies 1 , 195 - 228 Cunado , Juncal , and Fernando Perez de Gracia , 2004 , Oil price , Economic activity and inflation：evidence for some Asian countries , working paper Fama , Eugene F , 1981 , Stock returns , real activity , inflation , and money , American Economic Review 71 , 545 - 565 Fama , Eugene F , 1990 , Stock returns , expected returns , and real activity , Journal of Finance 45 , 1089 - 1108 Fattouh , Bassam , 2007 , OPEC pricing power：the need for a new perspective , Oxford Institute for Energy Studies Gogineni Sridhar , 2006 , The stock market rection to oil price changes , working paper Goodwin , Thomas H , and Micha Gisser , 1986 , Crude oil and macroeconomy：tests of some popular notions：note , Journal of money , credit and banking 18 , 95 - 103 Guo , Hui , 2002 , Why are stock market returns correlated with future economic activities？ , Federal Reserve Bank of St. Louis 84 , 19 - 34 Hamilton , James D , 1983 , Oil and the macroeconomy since World War Ⅱ , Journal of Political Economy 91 , 228 - 248 Jacobsen , Bem , and Benjamin Maat , 2003 , Striking Oil：Another Puzzle？ , working paper Jones , Charles M , and Gautam Kaul , 1996 , Oil and stock market , Journal of Finance 51 , 463 - 491 Sadorsky , Perry , 1999 , Oil price shocks and stock market activity , Energy Economics 21 , 449 - 469 Schwert , G. William , 1990 , Stock return and real activity：A century of evidence , Journal of Finance 45 , 1237 - 1257; http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/34613
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16Dissertation/ Thesis
المؤلفون: 卓玉敏, Cho, Yu-Min
المساهمون: 會計學系碩博士班, 王澤世, Wang, Alan T.
مصطلحات موضوعية: DCC, conditional correlation, Bivariate GARCH model, Emerging market, Exchange rate fluctuation, conditional volatility, stock market return, 匯率波動, 新興市場, 雙變量GARCH模型, 條件相關, 股市報酬, 條件波動性, eco, manag
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17Dissertation/ Thesis
المؤلفون: 曾聖軒, Tseng, Sheng-Hsuan
المساهمون: 政治經濟學研究所, 陳奕奇, Chen, Yi-Chi
مصطلحات موضوعية: Quantile Regression, reward beta model, Capital Asset Pricing Model, Taiwan cross-section stock return, 分量迴歸, 報償貝它模型, 資本資產定價模型, 台灣橫斷面股市報酬, eco, manag
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18
المؤلفون: 李欣怡, Sin-Yi Lee
المساهمون: 指導教授: 張淑華, 黃亮洲, 財經研究所
مصطلحات موضوعية: 股市報酬, 風險溢酬, 景氣循環, stock returns, risk premium, business cycle, eco, manag
Time: 22
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19Dissertation/ Thesis
المؤلفون: 何聖隆
المساهمون: 郭維裕
مصطلحات موضوعية: 董事會組成, 董事會規模, 外部董事, 董事及CEO薪酬誘因, CEO改組, 外部大股東, 外國股東, 機構投資人, 現金流量權, 控制權, 金字塔結構, 交叉持股, 優先投票權, 股權集中性, 併購, 法律制度及執行, 法源, 會計盈餘, 股市報酬率, ROA, ROE, Tobin's Q
Relation: G0091932120; http://nccur.lib.nccu.edu.tw//handle/140.119/36242; http://nccur.lib.nccu.edu.tw/bitstream/140.119/36242/1/index.html
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20Dissertation/ Thesis
المؤلفون: 林昆毅, Lin, Kun-Yi
المساهمون: 周國端, 臺灣大學：財務金融學研究所
مصطلحات موضوعية: 涉險值, 尾端條件期望值, RSLN模型, GARCH模型, 台灣股市報酬指數, Value at Risk, Conditional Tail Expectation, GARCH Model, RSLN Model, Taiwan Stock Exchange Total Return Index
وصف الملف: 879498 bytes; application/pdf
Relation: 英文文獻 1. American Academy of Actuaries, Life Capital Adequacy Subcommittee (2004), Recommended Approach for Setting Regulatory Risk-Based Capital Requirements for Variable Annuities and Similar Products. 2. Artzner, P,（1999）, Application of Coherent Risk Measures to Capital Requirements in Insurance, North American Actuarial Journal, 2 , 11-25 3. Boyle P. P.& Hardy, M. R.(1997) Reserving for maturity guarantees :Two approaches. Insurance: Mathematics and Economics 21 ,113-127 4. Canadian Institute of Actuaries , Task Force on Segregated Fund Investment Guarantees(2002). The final project. 5. Chan, Yin-Ting , (2004), Reserving for Investment Guarantees in Hong Kong - A Stochastic Approach, ASHK Annual Award for Best Paper, 2004 6. Hamilton (1994), Time Series Analysis, Princeton University Press. 7. Hardy, M. R.(2000), Stock Return Models for Segregated Fund Guarantees, Institute for Insurance and Pensions Research, University of Waterloo, Research Report 99-14. 8. Hardy, M. R.(2000), Hedging and Reserving for Single-Premium Segregated Fund Contracts. North American Actuarial Journal, 4 , 63-74 9. Hardy, M. R.(2001), A Regime-switching Model of Long-term Stock Returns. North American Actuarial Journal, 5 , 41-53 10. Hardy, M. R.(2003), Investment Guarantees: Modeling and Risk Management for Equity-Linked Life Insurance. New York: John Wiley & Sons. 11. Philip, H.F. and Dick van Dijk, 2000. Nonlinear Time Series Models in Empirical Finance, Cambridge University Press. 12. Society of Actuaries (2004), Regime Switching Equity Workbook, (http://www.soa.org/ccm/content/research-publications/research-projects/regime-switching-equity-model-workbook-beta-version/) 13. Tsay, R.S,(2002),Analysis of Financial Time Series. New York: John Wiley & Sons. 14. Wirch J. L. and Hardy M. R. (1999), A synthesis of risk measures for capital adequacy, Insurance: Mathematics and Economics, 25, 337-347. 15. Wirch, J.L,（1999）,Raising Value At Risk, North American Actuarial Journal,3,106-115 中文文獻 1. 江義玄(2000),「投資組合之風險評價：新模擬方法的應用」,國立政治大學企業管理學系碩士論文 2. 魏輝娥(2003),「最適尾端參數估計之探討：台灣股票風險報酬值之應用」,國立中正大學國際經濟研究所碩士論文 3. 曹中岑、朱大中(2001),「臺灣股市報酬指數－調整以股價指數衡量股市報酬率及財富之誤差」, 產業金融季刊，111 期，58-75 4. 康倫年(1999),「Value at Risk與無母數方法」，國立台灣大學財務金融研究所碩士論文 5. 黃采薇(2002),「馬可夫轉換模型應用於風險值(VaR)之計測---以台灣股價為例」，國立台灣大學國際企業研究所碩士論文 6. 張家瑋(2002)，「狀態轉換模型下涉險值的計算—方法與實證」，國立台灣大學經濟研究所碩士論文 7. 鄭宇鴻(2003)，「同調風險測量值在附保證給付投資型保險準備金提存之應用」，國立政治大學風險管理與保險學研究所碩士論文 8. 張孝旭(2005),「附保證給付投資型保險責任準備金和風險基礎資本探討-以勞退新制變額年金險為例」，國立台灣大學財務金融研究所未出版論文; zh-TW; http://ntur.lib.ntu.edu.tw/handle/246246/60671; http://ntur.lib.ntu.edu.tw/bitstream/246246/60671/1/ntu-94-R92723081-1.pdf