1、参考文献1-7:是英文期刊参考文献的写法8-11:中文期刊参考文献的写法12 与 61:是中文书目的写法具体的编号已在文章中出现的顺序依次增加。大家严格按照以上提示完成参考文献的标注,注意:一个标点都不能有差异(注意在这里面的标点符号全是英文中的标点)参 考 文 献1 Kendall M J. The analysis of economic time series, Part 1: Prices, Journal of the Royal Statistical Society. Series A (General), 1953,116(1):11-342 Fama E F. The Beh
2、avior of Stock-Market Prices, Journal of Business, 1965, 38(1): 34-1053 Fama E F. Efficient capital markets: a review of theory and empirical workJ. Journal of Finance,1970, May:383-4174 Fama E F. Efficient Capital Markets: II, Journal of Finance, 1991,46(5):1575-1617.5 Box G E P, Pierce D A. distri
3、bution of residual autocorrelations in autoregressive moving average time series modelJ. Journal of the American Statistical Association, 1970,(65): 1509-15216 Ljung G M, Box G E. On a measure of lack of fit in time series modelsJ. Biometrika, 1978(66):67-727 Lo A.W., Mackinlay A.C Stock market pric
4、es do not follow random walks: evidence from a simple specification test J. Review of Financial Studies 1988,(1):41-668 俞乔. 市场有效、周期异常与股价波动J. 经济研究,1994(9):43-509 宋颂兴, 金伟根. 上海股市有效实证研究J. 经济学家,1995(4) :107-11310 高鸿桢. 关于上海股市效率性的探讨J. 厦门大学学报(哲社版),1996(4):13-1811 吴世农. 我国证券市场效率的分析J. 经济研究,1996(4):13-1912 杨朝军等
5、. 上海股票市场价格行为实证研究. 中国证券市场实证分析(刘波主编) ,学林出版社,1997:51-8413 邱宜干. 我国股市是否达到弱式有效J. 东南学术,2001(1):46-5314 张人骥, 朱平方 , 王怀芳. 上海证券市场过度反应的实证研究J. 经济研究, 1998, (5): 5864.15 魏刚. 我国上市公司股利分配的实证研究J. 经济研究,1998,(6):30-3616 赵宇龙. 会计盈余披露的信息含量来自上海股市的经验证据J.经济研究,1998,(7):41-4917 Lo A W, MacKinlay A C. When Are Contrarian Profits
6、 Due to Stock Market 参考文献Overreaction?J. Review of Financial Studies, 1990, 3(2): 175205.18 Campbell J Y, Lo A W, MacKinlay A C. The Econometrics of Financial MarketsM. Princeton: Princeton University Press, 1997.19 Brennan M J, Jegadeesh N, Swaminathan B. Investment Analysis and the Adjustment of S
7、tock Prices to Common InformationJ. Review of Financial Studies, 1993, 6(4): 799824.20 Chordia T, Swaminathan B. Trading Volume and Cross-Autocorrelations in Stock ReturnsR. Working Paper, 2000.21 Hou K W. Information Diffusion and Asymmetric Cross-Autocorrelations in Stock returnsR. Working Paper,
8、2001.22 De Bondt W, Thaler R. Does the Stock Market Overreact?J. Journal of Finance, 1985, 40(3): 793805.23 王永宏, 赵学军. 中国股市“惯性策略”和“反转策略”的实证研究J. 经济研究, 2001, (6): 5661.24 Kang J, Liu M H and Ni S X. Contrarian and Momentum Strategies in the China Stock Market: 1993-2000J. Pacific-Basin Finance Journal,
9、 2002, (10): 243265.25 刘力, 陈兴珠. 中国股市过度反应研究. 研究报告, 北京大学光华管理学院, 2001.26 邹小芃. 我国证券市场回报率过度反应的实证分析J. 经济科学, 2003, (4): 3240.27 张永东, 毕秋香. 日内价格行为和短期过度反应: 对中国股市的实证分析J. 华南金融研究, 2002, 16(6): 3843.28 骆艳, 曾勇. 我国股市对盈利信息反应的一个实证检验J. 电子科技大学学报(自然版), 2003, 32(1): 99103.29 Hameed A, Kusnadi Y. Stock Autocorrelations, C
10、ross-Autocorrelations and Market Conditions in JapanR. Working Paper, 2003.30 Kanas A and Kouretas G P. A Cointegration Approach to the Lead-lag Effect Among Size-sorted Equity PortfoliosR. Working Paper, 2000.31 Marshall P, Walker E. Asymmetric Reaction to Information and Serial Dependence of Short
11、-run ReturnsJ. Journal of Applied Economics, 2002, 5(2): 273292.32 Altay E. Cross-Autocorrelation between Small and Large Cap Portfolios in the German and Turkish Stock Markets R. Working Paper, 2003.33 Chui A, Kwok C. Cross-Autocorrelation Between A Shares and B Shares in the Chinese Stock MarketJ.
12、 Journal of Financial Research, 1998, 21(3): 333353.34 王承炜, 吴冲锋. A、B 股互自相关研究J. 系统工程理论方法应用, 2001, 10(4): 265268.35 Li Y M, Greco J F and Chavis B. Lead-lag Relations Between A Shares and H Shares in the 参考文献Chinese Stock MarketsR. Working Paper. 2002.36 赵金刚, 陈武 . 关于封闭式投资基金投资理念的实证分析J. 西南石油学院学报( 社科版),
13、2003, (5): 2529.37 永波. 投资者心中的三大疑虑. http:/ 2003.38 Hurst H. Long term storage capacity of reservoirsJ. Transactions of the American Society of Civil Engineers, 1951, 116: 770799.39 Mandelbrot B, Wallis J. Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical depend
14、enceJ. Water Resources Research, 1969, 5 (5): 96798840 Mandelbrot B. Statistical methodology for nonperiodic cycles: from covariance to R/S analysis. Annals of Economic and Social Measurement. 1972, 1(3): 25929041 Greene M, Fielitz B. Long-term dependence in common stock returnsJ. Journal of Financi
15、al Economics. 1977, 4: 33934942 Lo A W. Long-term memory in stock market pricesJ. Econometrica, 1991, 59(5): 1279131343 Jacobsen B. Long term dependence in stock returnsJ. Journal of Empirical Finance, 1996, 3(4): 39341744 Cheung Y. Long memory in foreign exchange rates and sampling properties of so
16、me statistical procedures related to long memory modelsD. Ph.D. Dissertation, University of Pennsylvania, Philadelphia, 199045 Hiemstra C, Jones J. Another look at long memory in common stock returnsJ. Journal of Empirical Finance, 1997, 4(4): 37340146 Cha G. Reappraisal of market efficiency tests a
17、rising from nonlinear dependence, fractals and dynamical systems theoryD. Dissertation., Stockholm School of Economics, Stockholm, 199347 史永东. 上海证券市场的分形结构J. 预测, 2000, 19(5): 788048 樊智, 张世英. 金融市场的效率与分形市场理论 J. 系统工程理论与实践, 2002, 3(2): 131949 曹宏铎, 李昊. 经济系统分形机制与股票市场 R/S 分析J. 系统工程理论与实践, 2003, 3(2): 91350 庄
18、新田, 黄小原. 证券市场的标度理论及实证研究 J. 系统工程理论与实践, 2003, 3(2): 1851 王春峰, 张庆翠 , 李刚. 中国股票市场收益的长期记忆性研究J. 系统工程, 2003, 21(1): 参考文献222852 陈梦根. 股票价格分形特征的实证研究:修正 R/S 分析J. 统计研究, 2003, (4): 576053 Chueng Y, Lai K. Do gold market returns have long memory?J. The Financial Review. 1993, 28(2): 18120254 Peters E. R/S analysis
19、 using logarithmic returns: a technical noteJ. Financial Analysts Journal. 1992, (November/December): 818255 Cajueiro D, Tabak K. Possible causes of long range dependence in the Brazilian stock marketR. Working paper. 2003 http:/mfs.rutgers.edu/conferences/11/ mfcindex/files/MFC-181%20CajueiroTabak.
20、pdf56 Mandelbrot B, Van Ness J. Fractional brownian motion, fractional noises and applicationsJ. SIAM Review. 1968, 10(4): 42243757 Andrews D. Heteroskedasticity and autocorrelation consistent covariance matrix estimationJ. Econometrica.1991, 59(3): 81785858 Teverovsky V, Taqqu M, Willinger W. A cri
21、tical look at Los modified R/S statisticJ. Journal of Statistical Planning and Inference. 1999, 80(12): 21122759 卢嘉瑞, 徐圣银. 宏观调控与我国的经济周期J. 生产力研究, 2002, (6): 848660 Lobato N, Savin E. Real and spurious long memory properties of stock market dataR. Working paper, 1996 http:/econwpa.wustl.edu/eps/em/pap
22、ers/9605/ 9605004.pdf61 哈里马科维茨. 资产选择投资的有效分散化(第二版)M. 北京:首都经济贸易大学出版社,200062 Fama E, French K.The cross-section of expected stock returnsJ. The Journal of Finance, June 199263 Haugen R A. The new finance-the case against efficient marketsM. New Jersey: Prentice Hall, 199964 朱文晖,汪前明. CAPM 模型与股票投资风险:对上海证券市场的实证研究J. 世界经济文汇,2002:(6):273765 毕秋香. 股票投资风险收益关系的实证分析J. 华南金融研究,2002,17(4):313466 欧梅萍,黄志忠. 股票收益的“反转”现象与解释J. 经济师,2002, (7):12913067 尹占华,张文修. 投资组合分散风险的理论及实证分析J. 西安财经学院学报,2003,16(4):151868 许立新,郭国雄,栾长福.股票组合的风险变动规律及最佳组合有效前沿Markowitz 理论在深圳证券市场的应用实证J. 华南理工大学学报(自然科学版) ,2001,29(9):58