证券市场行业研究的新进展与评述

证券市场行业研究的新进展与评述作者：袁军，杨成，YUANJun，YANGCheng作者单位：袁军,YUANJun(上海工程技术大学,管理学院,上海,201620)，杨成,YANGCheng(上海财经大学,金融学院,上海,200439)刊名：科学·经济·社会英文刊名：SCIENCE·ECONOMY·SOCIETY年，卷(期)：2010,28(2)参考文献(40条)1.MichaelE.PorterCompetitiveStrategy19802.Markowitz,H.MPortfolioSelection1952(7)3.Fama,EugeneF.French,KennethRTheCross-SectionofExpectedStockReturns1992(2)4.King.BFMarketandIndustryFactorsinStockPriceBehavior1966(39)5.Frciman.EckhardEconomicIntegrationandCountryAllocationinEurope1998(9)6.Cavaglia.Stefano.ChristopherBrightman.MichaelAkedTheIncreasingImportanceofIndustryFactors2000(56)7.Ronald,V.D.TjeertK.RegionSectorandStyleSelectioninGlobalEquityMarkets2004(4)8.Beller,KennethR.JohnL.Kling.MichaelJ.LevinsonAreIndustryStockReturnsPredictable1998(54)9.Kavussanos,ManolisG.Marcoulis,SteliosN.Arkoulis,AngelosGMacroeconomicFactorsandInternationalIndustryReturns2002(12)10.JacobBoudoukh.MatthewP.Richardson.RobertFWhitelawATaleofThreeSchools:InsightsonAutocorrelationsofShort-horizonStock1994(3)11.Bernanke,BenS.KennethN.KuttnerWhatExplainstheStockMarket'sReactiontoFederalReservePolicy200512.C.MitchellConover.GeraldR,Jensen.RobertR,Johnson.JeffreyM.MercerSectorRotationandMonetaryConditions2008(1)13.LVeldkamp.JWolfersAggregateShocksorAggregateInformation?CostlyInformationandBusinessCycleComovement2007(Supplement)14.J.Stangl.BJacobsen.NVisaltanachotiSectorRotationoverBusiness-Cycles200915.TobiasJ.Moskowitz.MarkGrinblattDoIndustriesExplainMomentum1999(4)16.CharlesM.C.Lee.BhaskaranSwaminathanPriceMomentumandTradingVolume2000(5)17.GrundyMartin.B.D.Grundy.J.S.MartinUnderstandingtheNatureoftheRisksandtheSourceoftheRewardstoMomentumInvesting2001(14)18.HartwigKos.NatasaTodorovicS&PGlobalSectorSurvivals:MomentumEffectsinSectorIndicesUnderlyingIshares2008(48)19.Engle,RAutoregressiveConditionalHeteroscedasticitywithEstimatesoftheU.K.Inflation1982(50)20.Bollershev,TGeneralizedAutoregressiveConditionalHeteroscedasticity1986(31)21.RobertA.Schwartz.EdwardI.AltmanVolatilityBehaviorofIndustrialStockPriceIndices1973(4)22.MMazzucato.WSemmlerMarketShareInstabilityandStockPriceVolatilityduringtheIndustryLife-cycle:theUSAutomobileIndustry1999(1)23.Zhongzhi(Lawrence)He.LawrenceKryzanowskiDynamicBetasforCanadianSectorPortfolios2008(17)24.KasaKCommonStochasticTrendsinInternationalStockMarkets1992(29)25.EwingB.TTheTransmissionofShocksamongS&PIndexes2002(12)26.PoonS.H.GrangerC.WForecastingVolatilityinFinancialMarkets:aReview2003(61)27.SyedAunHassan.FarooqMlalikMultivariateGARCHModelingofSectorVolatilityTransmission2007(47)28.JarlKallberg.PaoloPasquarielloTime-seriesandCross-sectionalExcessCo-movementinStockIndexes2008(15)29.KodresLaura.MattPristkerARationalExpectationsModelofFinancialContagion2002(57)30.Kee-HBae,G.Andrew.Karolyi.R.M.StulzANewApproachtoMeasuringFinancialContagion2003(16)31.赵宇龙.易琮对我国各行业未来成长能力的实证考察:一种市场视角1999(6)32.宋逢明.梁洪昀发行市盈率放开后的A股市场初始回报研究2001(2)33.范龙振.王海涛上海股市股票收益率因素研究2003(4)34.熊胜君.杨朝军沪深股票市场行业效应与投资风格效应的实证研究2006(4)35.史代敏股票市场波动的政策影响效应2002(8)36.陈健.曾世强.李湛中国股票市场行业风险结构的实证分析2007(12)37.李昆上海证券交易所行业指数的收益扩散和波动扩散效应2003(2)38.蒋祥林.王春峰.吴晓霖基于状态转移ARCH模型的中国股市波动性研究2004(3)39.劳兰珺.邵玉敏中国股票市场行业收益率序列动态聚类分析2004(11)40.蔡伟宏我国股票市场行业指数超额联动的实证分析2006(2)本文链接：