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題名:臺股指數現貨與期貨日內交易形態之比較
書刊名:交大管理學報
作者:黃玉娟 引用關係徐守德 引用關係
作者(外文):Huang, Yu-chuanShyu, David
出版日期:2000
卷期:20:2
頁次:頁149-171
主題關鍵詞:日內交易型態U型曲線市場關門理論Intraday patternsU-shaped curveMarket closure theory
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(2) 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:1
  • 共同引用共同引用:4
  • 點閱點閱:57
本研究主要探討與比較臺灣期交所推出的臺灣加權股價指數期貨(臺指期貨)及其標的現貨(加權指數)之日內交易型態。利用日內每五分鐘之交易資料進行分析,主要實證結果如下:(1)加權指數及臺指期貨的交易量與報酬波動性型態皆為U型曲線,報酬型態則沒有一致的型態出現;而臺指期貨在交易量及報酬波動性型態上驗證『市場關門理論』存在。(2)開盤報酬對收盤報酬顯示臺股指數現貨與期貨開盤的波動性均高於收盤的波動性。(3)日內報酬對隔夜報酬的實證結果驗證了交易時間的波動性大於非交易時間的波動性,顯示『訊息效果』是存在的。(4)開盤時,現貨的日內波動性比期貨高,然而再開盤一小時之後,現貨與期貨的日內波動性相差不大。
This paper investigates the intraday patterns of Taiwan Stock Index and Index Futures that traded on TAIFEX. Using the intraday 5 minutes transactions data, we find significant U-shape intraday pattern for trading volatility and volume. However, this pattern doesn't hold for intraday return in both cash and futures markets. The empirical results support the “information theory” and “the market closure theory”.
期刊論文
1.Daigler, R. T.(1997)。Intraday futures volatility and theories of market behavior。Journal of Futures Markets,17(1),45-74。  new window
2.Stoll, Hans R.、Whaley, R. E.(1990)。Stock Market Structure and Volatility。Review of Financial Studies,3(1),37-71。  new window
3.Foster, F. Douglas、Viswanathan, S.(1990)。A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets。Review of Financial Studies,3(4),593-624。  new window
4.Brock, W. A.、Kleidon, A. W.(1992)。Periodic Market Closure and Trading Volume: A Model of Intraday Bids and Asks。Journal of Economic Dynamics and Control,16(3/4),451-489。  new window
5.Merton, Robert C.(1971)。Optimum Consumption and Portfolio Rules in a Continuous-time Model。Journal of Economic Theory,3,373-413。  new window
6.Ederington, Louis H.、Lee, Jae Ha(1993)。How Markets Process Information: News Releases and Volatility。Journal of Finance,48(4),1161-1191。  new window
7.楊朝成、陳立國(19940300)。臺灣股市日內價量關係之研究。證券市場發展,22,323-340。new window  延伸查詢new window
8.Amihud, Y.、Mendelson, H.(1990)。Volatility, Efficiency and Trading: Evidence From the Japanese Stock Market。The Journal of Finance,46(5),1765-1789。  new window
9.Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1(1),3-40。  new window
10.Lee, J. H.、Linn, S. C.(1994)。Intraday And Overnight Volatility Of Stock Index And Stock Index Futures Returns。Review of Futures Markets,13,1-30。  new window
11.Garman, Mark B.、Klass, Michael J.(1980)。On the Estimation of Security Price Volatilities from Historical Data。The Journal of Business,53(1),67-78。  new window
12.Amihud, Y.、Mendelson, H.(1987)。Trading Mechanisms and Stock Returns: An Empirical Investigation。The Journal of Finance,42(3),533-553。  new window
13.French, Kenneth R.、Roll, Richard(1986)。Stock Return Variances: The Arrival of Information and the Reaction of Traders。Journal of Financial Economics,17(1),5-26。  new window
14.Wood, R. A.、McInish, T. H.、Ord, J. K.(1985)。An Investigation of Transactions Data for NYSE Stocks。Journal of Finance,40(3),723-739。  new window
15.Harris, Lawrence(1986)。A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns。Journal of Financial Economics,16(1),99-117。  new window
16.King, Mervyn A.、Wadhwani, Sushil(1990)。Transmission of Volatility between Stock Markets。The Review of Financial Studies,3(1),5-33。  new window
17.Ekman, P. D.(1992)。Intraday Patterns in the S&P 500 Index Futures Market。The Journal of Futures Markets,12(4),365-381。  new window
18.Harvey, C. R.、Huang, Roger D.(1991)。Volatility in the Foreign Currency Futures Market。The Review of Financial Studies,4(3),543-569。  new window
19.Fleming, J.(1994)。On the Comparison of Index Volatility in the Stock and Futures Markets。Review of Futures Markets,13,31-38。  new window
20.Gwilym, O.、Buckle, M.、Foord, T.、Thomas, S.(1996)。The Intraday Behavior in European Bond Futures。Journal of Fixed Income,49-65。  new window
21.Harris, L.(1989)。A day-end Transaction price anomaly。Journal of Financial and Quantitative Analysis,24,29-45。  new window
22.Jordan, J. V.、Seale, W. E.、Dinehart, S.、Kenyon, D.(1988)。The Intraday Variability of Soybean Futures Prices: Information and Trading Effects。Review of Future Markets,7,97-108。  new window
23.Werner, I. M.、Kleidon, A. W.(1996)。Round-the-Clock Trading: Evidence From U. K. Cross-Listed Securities。Review of Financial Studies,9(2),619-664。  new window
24.Park, H. Y.(1993)。Trading Mechanisms and Price Volatility: Spot Versus Futures。The Review of Economics and Statistics,175-179。  new window
25.H. McInish, Thomas、Wood, Robert A.(1990)。A Transactions Data Analysis of the Variability of Common Stock Returns During 1980-1984。Journal of Banking & Finance,14(1),99-113。  new window
研究報告
1.Abhyankar, A. H.、Gosh, D.、Levin, E.、Limmack, R. J.(1994)。Bid-Ask Spreads, Trading Activity and Trading Hours: Intraday Evidence from the London Stock Exchange。0。  new window
學位論文
1.徐忠誠(1991)。臺灣股市日內異常之分時效應研究,0。  延伸查詢new window
2.陳俊毅(1990)。交易與休市期間報酬變動性的影響因子之研究,0。  延伸查詢new window
圖書
1.Levene, Howard(1990)。Robust tests for equality of variances。Contributions to Probability and Statistics。Palo Alto, CA。  new window
 
 
 
 
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