臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：台灣股價指數期貨與現貨之實證研究
作者：蔡垂君 引用關係
作者(外文)：Tsai, Chui-Chun
校院名稱：國立臺北大學
系所名稱：企業管理學系
指導教授：黃營杉
李存修
學位類別：博士
出版日期：2003
主題關鍵詞：台指期貨；價格發現功能；價量關係；到期效應；星期效應；VECM-Bi-EGARCH；非對稱性波動率；訊息傳遞；Taiwan stock index futures；price discovery function；price-volume relationship；maturity effect；day-of-the-week effect；VECM-Bi-EGARCH；asymmetric volatility；information transmission
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(8) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:8
  • 共同引用共同引用:0
  • 點閱點閱:60
中文論文提要內容：
本研究以四個研究論文針對台灣股價指數與指數期貨關係進行實證研究，論文題目分別為台灣股價指數期貨價格發現功能、期貨與現貨價量關係、到期效應以及星期效應。擷取2001年1月2日至2002年6月30日為止的台指與台指期貨近月合約報酬與交易量資料，分別就五種不同計算方式之報酬-日內每五分鐘、日內、開盤、收盤與隔夜報酬，以及日內每五分鐘與日交易量進行實證。
一、台灣股價指數期貨價格發現功能之實證研究
以VECM-Bi-EGARCH(1,0)為實證模式，針對台指期貨價格發現功能、報酬波動率之不對稱性，以及跨市場報酬波動率之傳遞進行實證研究，獲得以下三項研究結果：(1)台指期貨日內每五分鐘、日內與隔夜報酬領先現貨報酬，期間最長為日內10分鐘及日間2天，因此，就日內及日間隔夜報酬之觀點。(2)台指期貨報酬具有壞消息時會單向的引起現貨報酬產生較大波動率。(3)台指期貨與現貨彼此間未預期因素會造成雙方波動率升高。
二、台灣股價指數期貨與現貨價量關係之實證研究
以VECM-Bi-EGARCH(1,0)為實證模式，針對台指與台指期貨價量關係及價量波動率之不對稱性進行實證研究，獲得以下四項研究結果：(1)期貨與現貨日內每五分鐘交易量表現均領先其報酬，期間最長為10分鐘，因此，日內每五分鐘報酬與交易量具有量先價行之訊息傳遞關係。(2)結合價格發現功能所得之結果，可推知期貨與現貨跨市場價量關係是：期貨日內每五分鐘交易量領先期貨日內每五分鐘報酬、而期貨日內每五分鐘報酬又領先現貨日內每五分鐘報酬之遞延性。(3)台指期貨/現貨報酬與交易量具有壞消息雖會交互影響，但交易量訊息較易造成報酬波動率升高。(4)台指期貨/現貨報酬與交易量未預期因素亦會交互影響，但仍以交易量訊息較易造成報酬波動率升高。
三、台灣股價指數期貨到期效應之實證研究
以VECM-Bi-EGARCH(1,0)為實證模式及Mann-Whitney檢定法，針對台指與台指期貨到期效應進行實證研究，獲得以下三項研究結果：(1)隨期貨到期日趨近，期貨與現貨報酬與交易量波動率會加劇，合乎Samuelson Hypothesis(1965,1967)之觀點。(2)期貨到期日最後交易小時之表現唯有現貨交易量上升，合乎Stoll & Whaley(1987, 1990b,1991)之觀點。(3)期貨到期日翌日第一交易小時之表現，包含期貨與現貨報酬以及期貨交易量均合乎Stoll & Whaley(1987, 1990b,1991)之觀點。
四、台灣股價指數期貨與現貨星期效應之實證研究
以VECM-Bi-EGARCH(1,0)為實證模式，以及ANOVA及Kruskal-Wallis檢定法，針對台指與台指期貨星期效應進行實證研究，獲得以下二項研究結果：(1)星期一普遍為週內報酬表現最低者、且其值為負，而交易量亦為最低且減少。(2)即使遇及期貨到期日所在週內，星期一之報酬仍為週內表現最低者、且其值為負，而交易量亦為最低且減少。合乎French(1980)之觀點。
ABSTRACT
This thesis includes six chapters to investigate the relationship between Taiwan stock index and nearby-month stock index futures. The major contents are from chapter two to chapter five. These topics are price discovery function, price-volume relationship, maturity effect and day-of-the-week effect. We apply VECM-Bi-EGARCH model, Mann-Whitney test, ANOVA and Kruskal-Wallis test to demonstrate. The data of return is measured by five-minute, intra-day, open-to-open, close-to-close and overnight; the volume data is measured by five-minute and total amount in a day from January 2, 2001 to June 30, 2002.
Chapter two investigates the price discovery function, asymmetric volatility and cross-market volatility transmission on Taiwan stock index and index futures. We apply VECM-Bi-EGARCH model to test the relationship of return between stock index and nearby-month stock index futures. Three major findings obtain regarding the price discovery function: (1) Taiwan stock index futures leads stock market by ten minutes to two days when five-minute data, intra-day and overnight data are tested. (2) Negative shocks on index futures markets result in higher volatility in spot market. (3) Unexpected shocks on the spot market induce higher volatility in the futures market, and vice versa.
Chapter three investigates the price-volume relationship, asymmetric volatility and price-volume volatility transmission on Taiwan stock index and nearby-month index futures by VECM-Bi-EGARCH model. Four major findings obtain regarding the price-volume relationship: (1) Five-minute trading volume leads price by as long as ten minutes both spot and futures market alike. (2) The immediate inference would be that five-minute futures trading volume leads futures price, which in turn leads five-minute spot return. (3) Bad news occurred in both spot and futures markets tend to enlarge volatility of both markets. (4) Unexpected changes in the trading volume of spot and futures market closely interact with the returns of both markets, with most significant interaction found between trading volume and return volatility.
Chapter four investigates the maturity effect on Taiwan stock index and nearby-month index futures by VECM-Bi-EGARCH model and Mann-Whitney test. Three major findings obtain regarding the maturity effect: (1) Near the maturity day, the volatility of return and volume on stock index and index futures are larger. The result is the same as Samuelson Hypothesis (1965,1967). (2) On the last hour of maturity day, only the volume of stock index is larger. The result is the same as Stoll & Whaley (1987, 1990b, 1991). (3) In the first exchange hour of next morning, the price and volume reversal. The return and volume of stock index and index futures is larger than the last hour. The result is also the same as Stoll & Whaley (1987, 1990b, 1991).
Chapter five investigates the day-of-the-week effect on Taiwan stock index and nearby-month index futures by VECM-Bi-EGARCH model, ANOVA and Kruskal-Wallis test. Two major findings obtain regarding the day-of-the-week effect: (1) On Mondays, the return and volume are negative and smaller than the other exchange day. (2) Even in the maturity weeks, the return and volume are also negative and smaller on Mondays. The result is the same as French (1980).
參考文獻
一、中文部份
1.王毓敏、黃瑞靜(2001)，「價量關係－台股指數期貨市場之研究」，台灣金融財務季刊，第二卷，頁97-114。new window
2.余尚武(1997)，「股價指數期貨之價格發現與領先效果之研究-Nikkei 225指數之實證」，證券市場發展季刊，第九卷，頁29-61。new window
3.李天行、陳能靜、蔡榮裕(2001)，「現貨盤後期貨交易資訊內涵之研究－以新加坡交易所日經225指數期貨為例」，管理學報，第十八卷，頁567-588。new window
4.李存修(1996)，「台灣股價數期貨上市交易之影響面面觀」，證券金融季刊，第五十一卷，頁1-8。
5.周雨田、李志宏、巫春洲(2002)，「台灣期貨度現貨市場的訊息傳遞效果分析」，財務金融學刊，第十卷，頁1-22。
6.洪舜華(2002)，「摩根台灣股價期貨指數到期效應對股票市場的影響」，台北大學未出版碩士論文。
7.莊忠柱(2001a)，「現貨、近月期與近季期股價指數期貨市場間價格與價格波動的資訊傳遞：台灣早期的經驗」，管理學報，第十八卷，頁311-332。new window
8.--------- (2001b)，「台灣發行量加權股價指數期貨與現貨市場間之價量連動關係」，台灣銀行季刊，第五十二卷。頁345-363。
9.黃玉娟(1999)，「報酬與波動性動態關聯之研究－摩根台股指數與指數期貨之探討」，研究彙刊，第九卷，頁153-162。
10.黃玉娟、徐守德(1997)，「台股指數期貨與現貨市場價格動態關聯性之研究」，證券市場發展季刊，第九卷，頁1-28。new window
11.黃柏農(1995)，「多國性股價報酬率的統計特性及星期效應研究-自相關條件異質性模型之應用」，中國財務學刊，第二卷，頁43-76。new window
12.謝文良(2002)，「價格發現、資訊傳遞、與市場整合-台股期貨市場之研究」，財務金融學刊b，第十卷，頁1-31。new window
二、英文部份
1.Abhyankar, A., (1995) "Return and Volatility Dynamics in the FT-SE l00 Stock Index and Stock Index Futures Markets," Journal of Futures Markets, Vol.15, pp.457-486.
2.---------, (1998) "Linear and Nonlinear Granger Causality: Evidence from the U.S. Stock Index Futures Market,” Journal of Futures Markets, Vol.18, pp.519-540.
3.Abraham, A. and D. L. Ikenbery, (1994) "The Individual Investor and the Weekend Effect," Journal of Financial and Quantitative Analysis, Vol.29, pp.263-277.
4.Andersen, T. G., (1996) “Return Volatility and Trading Volumes: An Information Flow Interpretation of Stochastic Volatility,” Journal of Finance, Vol.51, pp.69-204.
5.Andersen, T. G. and T. Bollerslev, (1997) "Heterogeous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-run in High Frequency Returns,” Journal of Finance, Vol.52, pp.957-1006.
6.Anderson, R. W., (1985) "Some Determinants of the Volatility of Futures Prices," Journal of Futures Markets, Vol.5, pp.331-348.
7.Antoniou, A. and P. Holmes, (1994) "Systematic Risk and Returns to Stock Index Futures Contracts: International Evidence," Journal of Futures Markets, Vol.14, pp.773- 787.
8.Ball, C. A., W. N. Torous, and A. E. Tschoegl, (1982) "Gold and the "Weekend Effect," Journal of Futures Markets, Vol,2, pp.172-175.
9.Berndt, E. K., B. H. Hall, R. E. Hall, and J. Hausman, (1974) "Estimation and Inference in Nonlinear Structural Models,” Annals of Economic and Social Measurement, Vol.4, pp.653-665.
10.Bessembinder, H. and P. J. Seguin, (1993) "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Vol.28, pp.21-39.
11.Bhar, R., (2001) "Return and Volatility Dynamics in the Spot and Futures Markets in Australian: An Intervention Analysis in a Bivariate EGARCH-X Framework," Journal of Futures Markets, Vol.21, pp.833-850.
12.Bishara, H., (1989) "Stock Returns and the Weekend Effect in Canada, Akron Business and Economic Review," Vol.20, pp.62- 71.
13.Black, F., (1976a) "The Pricing of Commodity Contracts," Journal of Financial Economics, Vol.3, pp.167-179.
14.---------, (1976b) "Studies of Stock Markets Volatility Changes," 1976 Proceedings of the American Statistical Association, Business and Economic Statistics Section, pp.177-181.
15.Blume, L., D. Easley and M. O''Hara, (1994) "Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, Vol.49, pp.153-181.
16.Board, J. L. G. and C. M. S. Sutcliffe, (1988) "The Weekend Effect in UK Stock Market Returns," Journal of Finance and Accounting, Vol.15, pp.199-213.
17.---------, (1990) "Information, Volatility, Volume, and Maturity: An Investigation of Stock Index Futures," Review of Futures Markets, Vol.19, pp.533-548.
18.Bollerslev, T. and J. M. Wooldridge, (1992) "Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances," Econometric Review, Vol.ll, pp.143-1172.
19.Box, G. E. P. and D. R. Cox, (1964) "An Analysis of Transformations," Journal of the Royal Statistical Society, Vol.26, pp.211-252.
20.Box, G. E. P. and G. M. Jenkins, (1976) Time Series Analysis: Forecasting and Control, The San Francisco: Holden-Day, Inc. Press.
21.Braun, P. A., D. B. Nelson, and A. M. Stillier, (1995) "Good News, Bad News, Volatility, and Betas," Journal of Finance, Vol.50, pp.1575-1603.
22.Brown-Hruska, S., and G. Kuserk, (1995) "Volatility, Volume, and the Notion of Balance in the S&P500 Cash and Futures Markets," Journal of Futures Markets, Vol.15, pp.677-689.
23.Chamberlain, T. W., (1989) "Maturity Effects in Futures Markets: Some Evidence from the City of London," Scottish Journal of Political Economy, Vol.36, pp.90-95.
24.Chan, K., (1992) "A Further Analysis of the Lead-lag Relationship between the Cash Market and Stock Index Futures Market, " Review of Financial Studies, Vol.5, pp.123-152.
25.Chan, K., K. C. Chan, and G. A. Karolyi, (1991) "Intra-day Volatility in the Stock Index and Stock Index Futures Markets," Review of Financial Studies, Vol.4, pp.657-684.
26.Chan, K. S. and W. Fong, (2000) "Trade Size, Order Imbalance, and the Volatility-Volume Relation," Journal of Financial Economics, Vol.57, pp.247-273.
27.Chang, E. C. and C. Kim, (1988) "Day of the Week Effects and Commodity Price Changes," Journal of Futures Markets, Vol.8, pp.229-241.
28.Chen, Y., J. Duan, and M. Hung, (1999) "Volatility and Maturity Effect in the Nikkei 225 Index Futures." Journal of Futures Markets, Vol.19. pp.895-909.
29.Chen, C and J. Williams, (1994) “Triple-Witching Hour, the Change in Expiration Timing, and Stock Market Reaction,” Journal of Futures Markets, Vol.14, pp.275-292.
30.Cheung, Y. M. and N. Ng, (1990) "The Dynamic of S&P 500 Index and Futures Intra-day Price Volatility," Review of Futures Markets, Vol.9, pp.71-486.
31.Chiang, R. C. and T. C. Tapley, (1983) "Day-of-the-Week Effects and the Futures Market," Review of Research in Futures Markets, Vol.2, pp.356-410.
32.Chu, Q. C., W. G. Hsieh and Y. Tse, (1999) "Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs," International Review of Financial Analysis, Vol.8, pp.21-34.
33.Ciner, C., (2002) "Information Content of Volume: An Investigation of Tokyo Commodity Futures Markets," Pacific-Basin Finance Journal, Vol.10, pp.201-215.
34.Clark, P. K., (1973) "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices,” Econometrica, Vol.41, pp.135-155.
35.Copeland, T. E., (1976) "A Model of Asset Trading under the Assumption of Sequential Information Arrival," Journal of Finance, Vol.31, pp.1149-1168.
36.Cornell, B., (1981) “The Relationship between Volume and Price Variability in Futures Markets,” Journal of Futures Markets, Vol.1, pp.303-316.
37.Cross, F., (1973) "The Behavior of Stock Prices on Fridays and Mondays," Financial Analysts Journal,Vol.29, pp.67-69.
38.Daigler, R. T., (1997) "Intra-day Futures Price volatility and the Volume of Market Behavior," Journal of Futures Markets, Vol.17, pp.45- 74.
39.Daigler, R. T. and M. K. Wiley, (1999) "The Impact of Trader Type on the Futures Volatility-Volume Relation," Journal of Finance, Vol.54, pp.2297-2315.
40.Dickey, D. D. and W. A. Fuller, (1979) "Distribution of the Estimators for Autoregressive Time Series with a Unit Root," Journal of the American Statistical Association, Vol.74, pp.427-431.
41.Edwards, F. R ., (1988a) "Futures Trading and Cash Market Volatility: Stock Index and Interest Rate Futures," Journal of Futures Markets, Vol.8, pp.421-439.
42.---------, (1988b) "Does Futures Trading Increase Stock Market Volatility," Financial Analysts Journal, Vol.44, pp.63-69.
43.Ekman, P. D., (1992) "Intra-day Patterns in the S&P 500 Index Futures Market?," Journal of Futures Markets, Vol.12, pp.365-381.
44.Engle, R F., (1982) "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of Untied Kingdom Inflation," Econometrica, Vol.50, pp.987-1007.
45.Engle, R F. and C. W. J. Granger, (1987) "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Vol.55, pp.251-276.
46.Engle, R F., T. Ito, and W. Lin, (1990) "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," Econometrica, Vol.58, pp.525-542.
47.Epps, T. W. (1975) "Security Price Changes and Transaction Volumes: Theory and Evidence," American Economic Review, Vol.65, pp.586-597.
48.Epps, T. W. and M. L. Epps, (1976) "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis," Econometrica, Vol.44, pp.305-321.
49.Fama, E. F., (1965) "The Behavior of Stock-Market Prices," Journal of Business, Vol.38, pp.34-105.
50.---------, (1970) "Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, Vol.25, pp.384-417.
51.Fleming, J, B. Ostdiek, and R. Whaley, (1996) "Trading costs and Price Discovery in Stock., Futures and Options Markets," Journal of Futures Markets, Vol.16, pp.353-387.
52.Foster, (1995) "Volume-volatility Relationships for Crude Oil Futures Markets," Journal of Futures Markets, Vol.15, pp.929-951.
53.Foster, F. D. and S. Viswanathan, (1990) "A Theory of the Inter-day Variations in Volume, Variance, and Trading Costs in Securities Markets," Review of Financial Studies, Vol.3, pp.593-624.
54.---------, (1993) "Variations in Trading Volume, Return Volatility and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, Vol.48, pp.187-212.
55.French, R. K., (1980) "Stock Returns and the Weekend Effect," Journal of Financial Economics, Vol.8, pp.55-69.
56.Fung, H. and G. A. Patterson, (2001) "Volatility, Global Information, and Market Conditions: A Study in Futures Markets,” Journal of Futures Markets, Vol.21, pp.173-196.
57.Gallant, A. R, P. E. Rossi and G. Tauchen, (1992) "Stock Prices and Volume," Review of Financial Studies, Vol.5, pp.199-242.
58.Galloway, T. M. and R. W. Kolb, (1996) "Futures Prices and the Maturity Effect," Journal of Futures Markets, Vol.16, pp.809-828.
59.Garbade, K. D. and W. L. Silber, (1983) "Price Movements and Price Discovery in Futures and Cash Masrkets," Review of Economics and Statistics, Vol.63, pp.289-297.
60.Garcia, P., R. M. Leuthold, and H. Zapata, (1986) "Lead-Lag Relationship between Trading Volume and Price Variability: New Evidence," Journal of Futures Markets, Vol.6, pp.1-10.
61.Gerety, M. S. and J. H. Mulherin, (1994) "Price Formation on Stock the Evolution of Trading within the Day," Review of Financial Studies, Vol.7, pp.609-629.
62.Ghosh, A., (1993) "Co-integration and Error Correction Models: Intertemporal Causality between Index and Futures Price," Journal of Futures Markets, Vol.13, pp.193-198.
63.Gibbons, M. R. and P. Hess, (1981) "Day of the Week Effects and Asset Returns," Journal of Business, Vol.54, pp.579-596.
64.Grammatikos, T. and A. Saunders, (1986) "Futures Price Variability: A Test of Maturity and Volume Effects." Journal of Business, VoL59, pp.319-330.
65.Granger, C. W. J., (1969) "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Vol.37, pp.424-438.
66.---------, (1981) "Some Properties of Time Series Data and Their Use in Econometric Model Specification," Journal of Econometrics, Vol.16, pp.121-130.
67.---------, (1999) "Overview of Nonlinear Time Series Specifications in Economics," Academia Economic Papers, Vol.27, pp.433-457.
68.Grossman, S. J., (1989) The Informational Role of Price, The MIT Press.
69.Halim, B., (1989) "Stock Returns and the Weekend Effect in Canada," Akron Business and Economic Review, Vol.20, pp.62- 71.
70.Han, L., J. L. Kling, and C. W. Sell, (1999) "Foreign Exchange Futures Volatility on Day-of-the-Week Effects and Maturity Effects in the Presence Macroeconomic Announcement," Journal of Financial Economics, Vol.19, pp.665-693.
71.Harris, L., (1986a) "A Transaction Data Study of Weekly and Intra-daily Patterns in Stock Returns," Journal of Financial Economics, Vol.16, pp.99-117.
72.---------, (1986b) "Cross-Security Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis, Vol.21, pp.39-46.
73.---------, (1987) "Transaction Data Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis, Vol.22, pp.127-141
74.Herbst, A. F. and E. D. Maberly, (1990) ”Stock index Futures, Expiration Day Volatility, and the ''Special'' Friday Opening: A Note,” Journal of Futures Markets, Vol.10, pp.323-325.
75.Herbst, A. F., J. P. McConnack, and E. N. West, (1987) "Investigation of a Lead-Lag Relationship between Spot Stock Indices and Their Futures Contracts," Journal of Futures Markets, Vol.7, pp.373-381.
76.Hiemstra, C. and J. D. Jones, (1994) "Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation," Journal of Finance, Vol.49, pp.1639-1664.
77.Iihara, Y., K. Kato, and T. Tokunaga, (1996) "Intra-day Return Dynamics between the Cash and the Futures Markets in Japan, " Journal of Futures Markets, Vol.16, pp.147-162.
78.Jaffe, J. and R. Westerfield, (1985a) "Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year effects," Journal of Financial and Quantitative Analysis, Vol.20, pp.261-272.
79.---------, (1985b) "The Weekend Effect in Common Stock Returns: The International Evidence," Journal of Finance, Vol.40, pp.433-454.
80.Jarque, C. M. and A. K. Bera, (1987) "Test for Normality of Observations and Regression Residuals," International Statistical Reviews, Vol.55, pp.163-172.
81.Jennings, R. H. and C. B. Barry, (1984) "On Information Dissemination and Equilibrium Asset Prices: A Note," Journal of Financial and Quantitative Analysis, Vol.19, pp.395-402.
82.Jennings, R. H., L. T. Starks, and J. C. Feningham, (1981) "An Equilibrium Model of Asset Trading with Sequential Information Arrival," Journal of Finance, Vol.36, pp.143-161.
83.Jones, C. M., G. Kaul, and M. L. Lipson, (1994) "Transactions, Volume, and Volatility," Review of Financial Studies, Vol. 7, pp.631-651.
84.Junk, J. C., (1986) "Weekend and Day of the Week Effects in Returns on Stock Index Futures," Journal of Financial Economics, Vol.6, pp.397-407.
85.Karpoff, J. M., (1986) "A Theory of Trading Volume, Journal of Finance," Vo1.41, pp.1069-1087.
86.---------, (1987) "The Relation between Price Change and Trading Volume: A Survey, Journal of Financial and Quantitative Analysis,” Vol.22, pp.109-126.
87.Kawaller, I. G., P. D. Koch and T. W. Koch, (1987) "The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index," Journal of Finance, Vol.42, pp.1309-1331.
88.Kawaller, I. G., T. W. Koch, and J. E. Peterson, (2001) "Volume and Volatility Surrounding Quarterly Redesignation of the Lead S&P 500 Futures Contract," Journal of Futures Markets, Vol.21, pp.1119-1149.
89.Khoury, N. and P. Yourougou, (1993) "Determinants of Agricultural Futures Price Volatilities: Evidence from Winnipeg Commodity Exchange," Journal of Futures Markets, Vol.13, pp.345-356.
90.Kocagil, A. E. and Y. Shachmurove, (1998) "Return-Volume Dynamics in Futures Markets," Journal of Futures Markets, Vol.18, pp.399-426.
91.Kunter, G. W. and R J. Sweeney, (1991) "Causality Tests between the S&P500 Cash and Futures Markets," Quarterly Journal of Business and Economics, Vol.29, pp.51- 74.
92.Kurov, A. A., and D. J. Lasser, (2002) "The Effect of the Introduction of Cubes on the NASDAQ-100 Index Spot-futures Pricing Relationship," Journal of Futures Markets, Vol.22, pp.197-218.
93.Lakonishok, J. and M. Levi, (1982) "Weekend Effects on Stock Returns: A Note," Journal of Finance, Vol.37, pp.883-889.
94.Lakonishok, J. and E. Maberly, (1990) "The Weekend Effect: Trading Patterns of Individual and Institutional Investors," Journal of Finance, Vol.45, pp.231-243.
95.Lamoureux, C. G. and W. D. Lastrapes, (1994) “Endogenous Trading Volume and Momentum in Stock-Return Volatility,” Journal of Business and Economic Statistics, Vol.12, pp.253-260.
96.Lee, S. B. and K. Y. Ohk, (1992) "Stock Index Futures Listing and Structural Change in Time-Varying Volatility," Journal of Futures Markets, Vol.12, pp.493-509.
97.Ljung, G. M. and Box, G. E. P., (1978) “On a Measure of Lack of Fit in Time series Models,” Biometrika, Vol.65, pp.297-303.
98.Lockwood, L. J. and S. C. Linn, (1990) "An Examination of Stock Market Return Volatility during Overnight and Intra-day Periods, 1964-1989," Journal of Finance, Vol.45, pp.591-601.
99.Ma, C. K., R. L. Peterson, and R. S. Sears, (1992) "Trading Noise, Adverse Selection, and Intra-day Bid-Ask Spreads in Futures Markets," Journal of Futures Markets, Vol.12, pp.519-538.
100.Maberly, E. D., (1986) "The Informational Content of the Intra-day Price Change with Respect to Stock Index Futures," Journal of Futures Markets, Vol.6, pp.385-395.
101.Malliaris, A. G. and J. L. Urrutia, (1998) "Volume and Price Relationships: Hypothesis and Test for Agricultural Futures,” Journal of Futures Markets, Vol.18, pp.53-72.
102.Mandelbrot, B., (1963) "The Variation of Certain Speculative Prices,” Journal of Business, Vol.36, pp.394-419.
103.Martell, T. F. and A. S. Wolf, (1987) "Determinants of Trading Volume in Futures Markets,” Journal of Futures Markets, Vol.7, pp.233-244.
104.Mclnish, T. H. and R. A. Wood, (1985) "Intra-day and Overnight Returns and Day-of-the-Week Effects," Journal of Financial Research, Vol.8, pp.119-126.
105.Merrick, J. J., (1987) "Volume Determination in Stock and Stock Index Futures Markets: An Analysis of Arbitrage and Volatility Effects," Journal of Futures Markets, Vol. 7, pp.483-496.
106.Miller, E. M., (1988) "Why a Weekend Effect?," Journal of Portfolio Management, Vol.14, pp.43-48.
107.Milonas, N. T., (1986) "Price Variability and the Maturity Effect in Futures Markets," Journal of Futures Markets, Vol.6. pp.443-460.
108.Min, J. H. and M. Najand, (1999) "A Futures Investigation of the Lead-lag Relationship between the Spot Market and Stock Index Futures: Early Evidence from Korea, " Journal of Futures Markets, Vol.19, pp.217-232.
109.Nelson, D. B., (1990) "ARCH Models as Diffusion Approximations," Journal of Econometrics, Vol.45, pp.7-38.
110.---------, (1991) "Conditional Heteroskedasticity in Asset Returns: A New Approach, " Econometrica, Vol.59, pp.347-370.
111.Oldfield, G. S. and R. J. Rogalski, (1980) "A Theory of Common Stock Returns over Trading and Non-Trading Periods," Journal of Finance, Vol.35, pp.729-753.
112.Pettengill, G. N. and D. E. Buster, (1994) "Variation in Return Signs: Announcement and the Weekday Anomaly," Quarterly Journal of Business and Economics, Vol.33, pp.81-93.
113.Pindyck, R. S. and J. J. Rotemberg, (1990) "The Excess Co-Movement of Commodity Prices,” Economic Journal, Vol.100, pp.1173-1189.
114.Rutledge, D. J. S., (1976) "A Note on the Variablity of Futures Prices," Review of Economics and Statistics, Vol.58, pp.118-120.
115.Rystrom, D. S. and D. Benson, (1989) "Investor Psychology and the Day-of-the-Week Effect," Financial Analysis Journal, Vol.45, 75-78.
116.Samuelson, P. A., (1965) “Proof That Properly Anticipated Prices Fluctuate Randomly," Industrial Management Review, Vol.6. 41-49.
117.---------, (1976) “Is Real-World Price a Tale Told by the Idiot of Chance?," Review of Economics and Statistics, Vol.58. pp.120-123.
118.Segall, J., (1956) "The Effect of Maturity on Price Fluctuations," Journal of Business, Vol.29, pp.202-206.
119.Shvy, G., V. Vijayraghavan, and B. Scott-Quinn, (1996) "A Futures Investigation of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market with the Use of Bid/Ask Quotes: The Case of France," Journal of Futures Markets, Vol.16, pp.405-420.
120.Sims, C. A., (1980) " Macroeconomics and Reality," Econometrica, Vol.48, pp.1-48
121.Smirlock, M. and L. Starks, (1985) "A Further Examination of Stock Price Changes and Transaction Volume," Journal of Financial Research, Vol.8, pp.217-225.
122.----------, (1986) "Day-of-the-Week and Intra-day Effects in Stock Returns," Journal of Financial Economics, Vol.17, pp.197-210.
123.Speight, A. E., D. G. Mcmillam, and O. A. Gwilym, (2000) "Intra-Day Volatility Components in FTSE-100 Stock Index Futures," Journal of Futures Markets,Vol.20, pp.425-444.
124.Stoll, H. R and R. E. Whaley, (1987) “Program Trading, and Expiration-Day Effects," Financial Analysts Journal, Vol.43, pp.16-28.
125.---------, (1990a) "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial Quantitative Analysis, Vol.25, pp.441-468.
126.---------, (1990b) "Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew,” Journal of Business, Vol.63, pp.165-192.
127.---------, (1991)“Expiration-day Effects: What has Changed?," Financial Analysts Journal, Vol.48, pp.58-72.
128.Tauchen, G. E. and M. Pitts, (1983) "The Price Variability-Volume Relationship on Speculative Markets,” Econometrica, Vol.51, pp.485-505.
129.Tse, Y., (1999) "Price Discovery and Volatility Spillovers in the DJIA Index and Futures Markets," Journal of Futures Markets, Vol.19, pp.911-930.
130.Wahab, M and M Lashgari, (1993) "Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Co-integration Approach," Journal of Futures Markets, Vol.13, pp.711- 742.
131.Wang, G. H. K. and J. Yau, (2000) "Trading Volume, Bid-Ask Spread, and Price Volatility in Futures Markets," Journal of Futures Markets, Vol.20, pp.943-970.
132.Wang, G. H. K., J. Yau, and T. Baptiste, (1997) "Trading Volume and Transaction Costs in Futures Markets," Journal of Futures Markets, Vol.17, pp.757-780.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關書籍
 
無相關著作
 
無相關點閱
 
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：686（臺灣：656，外國：30） ／ 本年度總使用人次：1931025 ／ 訪客人次（自102年09月）：67731975
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上