:::

詳目顯示

回上一頁
題名:The Information Transmission between the Stock Market and the Options Market--The Case of IBM
書刊名:中山管理評論
作者:chiang, min-hsien 引用關係
出版日期:2001
卷期:9(特刊)
頁次:頁19-47
主題關鍵詞:Lead-lagVARBid-ask spreadInformation 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(2) 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:1
  • 共同引用共同引用:0
  • 點閱點閱:8
期刊論文
1.Easley, David、O'Hara, Maureen(1992)。Time and the Process of Security Price Adjustment。The Journal of Finance,47(2),577-605。  new window
2.Black, F.(1975)。The Fact and Fantasy in the Use of Options。Financial Analysts Journal,31(4),36-41+61-72。  new window
3.Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1996)。Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets。Journal of Futures Markets,16(4),353-387。  new window
4.Vijh, Anand M.(1990)。Liquidity of the CBOE Equity Options。Journal of Finance,45(4),1157-1179。  new window
5.Stoll, Hans R.(1989)。Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests。Journal of Finance,44(1),115-134。  new window
6.Anthony, Joseph H.(1988)。The Interrelation of Stock and Options Market Trading-volume Data。The Journal of Finance,43(4),949-964。  new window
7.Manaster, S.、Rendleman, R. J. Jr.(1982)。Option Prices as Predictors of Equilibrium Stock Prices。Journal of Finance,37(4),1043-1057。  new window
8.Johnson, Herb、Chung, Y. Peter、Chan, Kalok(1993)。Why option prices lag stock prices: A trading-based explanation。Journal of Finance,48,1957-1967。  new window
9.Stephan, Jens A.、Whaley, Robert E.(1990)。Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets。Journal of Finance,45(1),191-220。  new window
10.Pagan, Adrian R.、Schwert, G. William(1990)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics,45(1/2),264-290。  new window
11.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
12.Nelson, D. B.(1990)。Stationarity and Persistence in the GARCH(1,1) Model。Econometric Theory,6(3),318-334。  new window
13.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
14.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
15.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
16.Back, Kerry(1993)。Asymmetric Information and Options。Review of Financial Studies,6,435-472。  new window
17.Biais, Bruno、Hillion, Pierre(1994)。Insider and liquidity trading in stock and options markets。Review of Financial Studies,7(4),743-780。  new window
18.Finucane, Thomas J.(2000)。A new measure of the direction and timing of information flow between markets。Journal of Financial Markets,2,135-151。  new window
19.Sheikh, Aamir M.、Ronn, Ehud I.(1994)。A characterization of the daily and intraday behavior of returns on options。The Journal of Finance,49,557-579。  new window
研究報告
1.O'Hara, Maureen、Easley, David、Srinivas, P. S.(1994)。Option volume and stock prices: Evidence on where informed traders trade。0。  new window
2.Hasbrouck, Joel(1995)。One security, many market: Determining the contributions to price discovery。0。  new window
學位論文
1.Vijh, Anand M.(1987)。Four essays in the application of option pricing theory,Berkeley。  new window
其他
1.Hasbrouck, Joel(1992)。Using the TORQ database,0。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top