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題名:臺股認購權證與標的股票之價格傳遞關係
書刊名:亞太經濟管理評論
作者:王毓敏陳正佑 引用關係
出版日期:2000
卷期:4:1
頁次:頁97-110
主題關鍵詞:認購權證標的股票無風險套利異質性WarrantUnderlying stockArbitrage-free relationshipHeteroscedasticity
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:14
  • 點閱點閱:19
期刊論文
1.李進生、鍾惠民、吳壽山(1996)。現階段台灣權證發行之問題解析與避險策略之形成檢討與因應。證券金融季刊,62,1-28。  延伸查詢new window
2.徐守德、官顯庭、黃玉娟(1998)。台股認購權證定價之研究。管理評論,17(2),45-69。new window  延伸查詢new window
3.Anthony, J. H.(1998)。The Interrelation of Stock and Options Market Trading-volume Data。The Journal of Finance,43(4),949-964。  new window
4.Bhattacharya, M.(1987)。Price Changes of Related Securities: The Case of Call Option and Stocks。Journal of Financial and Quantitative Analysis,22(1),1-15。  new window
5.Diltz, D.、Kim, S.(1996)。The Relationship Between Stock and Option Price Changes。The Financial Review,31(3),499-519。  new window
6.Finucane, T. J.(1991)。Put-call Parity and Expected Returns。Journal of Financial and Quantitative Analysis,26(4),445-457。  new window
7.Garbade, K. D.、Silber, W. L.(1993)。Price Movement and Price Discovery in Futures and Cash Markets。Review of Economics and Statistics,65,289-297。  new window
8.Jenning, R.、Starks, L.(1986)。Earnings Announcements, Stock Price Adjustment, and the Existence of Option Market。The Journal of Finance,41(1),107-125。  new window
9.Manaster, S.、Rendleman, J.(1982)。Option Price as Predictors of Equilibrium Stock。The Journal of Finance,37(4),1043-1057。  new window
10.Ghosh, Asim(1993)。Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model。Journal of Futures Markets,13(7),743-752。  new window
11.Lien, D. H. D.、Tse, Y. K.(1999)。Fractional Cointegration and Futures Hedging。Journal of Futures Markets,19(4),457-474。  new window
12.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
13.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
會議論文
1.許溪南、何怡滿(1999)。臺灣股市認購權證定價之實證研究。第一届亞太管理學術研討會,成功大學 。臺南。  延伸查詢new window
研究報告
1.Cox, J.(1975)。Notes on Option Pricing 1: CEV Diffusions。Stanford University。  new window
學位論文
1.王誌聰(1998)。台灣認購權證與標的股票互動關係之探討(碩士論文)。國立中央大學。  延伸查詢new window
2.曹金泉(1999)。隨機波動度下選擇權評價理論的應用---以台灣認購權證為例(碩士論文)。國立政治大學。  延伸查詢new window
 
 
 
 
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