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題名:指數期貨交易與股票市場波動性--短期與長期分析
書刊名:臺灣金融財務季刊
作者:王毓敏
出版日期:2004
卷期:5:4
頁次:頁19-34
主題關鍵詞:期貨市場股票市場波動性波動性不對稱效果
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:58
  • 點閱點閱:25
期刊論文
1.Antoniou, A.、Holmes, P.(1995)。Futures Trading and Spot Price Volatility: Evidence for The FTSE-100 Stock Index Futures Contract Using GARCH。Journal of Banking and Finance,19,117-129。  new window
2.Pericli, A.、Koutmos, G.(1997)。Index futures and options and stock market volatility。The Journal of Futures Markets,17(8),957-974。  new window
3.McKenzie, Michael D.、Brailsford, Timothy J.、Faff, Robert W.(2001)。New Insights into the Impact of the Introduction of Futures Trading on Stock Price Volatility。Journal of Futures Markets,21(3),237-255。  new window
4.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics,39(1),71-104。  new window
5.Arshanapalli, B.、Doukas, J.、Lang, L.(1995)。Pre and post-October1987 stock market linkages between U.S. and Asian markets。Pacific-Basin Finance Journal,3,57-73。  new window
6.Soenen, L. A.、Hennigar, E. S.(1988)。An Analysis of Exchange Rates and Stock Prices--The U. S. Experience between 1980 and 1986。Akron Business and Economic Review,19(4),7-16。  new window
7.Edwards, F. R.(1988)。Futures Trading and Cash Market Volatility: Stock Index and Interest Rates Futures。Journal of Futures Markets,8,421-439。  new window
8.林楚雄、劉維琪、吳欽杉(19990300)。臺灣股票店頭市場股價報酬波動行為的研究。企業管理學報,44,165-191。new window  延伸查詢new window
9.王毓敏、陳正佑(20010500)。臺股認購權證與標的股票交易量及資訊不對稱對於波動性之影響。風險管理學報,3(1),49-69。new window  延伸查詢new window
10.王毓敏(20020700)。臺股指數期貨與股票市場交易活動對於波動性的影響。證券市場發展,14(2)=54,49-70。new window  延伸查詢new window
11.Bessembinder, Hendrik、Seguin, Paul J.(1992)。Futures-trading Activity and Stock Price Volatility。The Journal of Finance,47(5),2015-2034。  new window
12.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。An Intertemporal General Equilibrium Model of Asset Prices。Econometrica,53(2),363-384。  new window
13.Antoniou, A.、Holmes, P.、Priestley, R.(1998)。The Effects of Stock Index Futures Trading on Stock Index Volatility: An Analysis of the Asymmetric Response of Volatility to News。Journal of Futures Markets,18,151-166。  new window
14.Damodaran, A.(1990)。Index Futures and Stock Market Volatility。Review of Futures Markets,9,442-457。  new window
15.Danthine, J. P.(1978)。Information, futures prices, and stabilizing speculation。Journal of Economics Theory,17(1),79-98。  new window
16.Lee, Sang Bin、Ohk, Ki Yool(1992)。Stock Index Futures Listing and Structural Change in Time-Varying Volatility。Journal of Futures Markets,12(5),493-509。  new window
17.Figlewski, S.(1981)。Futures Trading and Volatility in the GNMA Market。Journal of Finance,36,445-456。  new window
18.Litzenberger, Robert H.、Breeden, Douglas T.(1978)。Prices of State-Contingent Claims Implicit in Option Prices。Journal of Business,51(4),621-651。  new window
19.Mok, Henry M. K.(1993)。Causality of interest rate, exchange rate and stock prices at stock market open and close in Hong Kong。Asia Pacific Journal of Management,10(2),123-143。  new window
20.Merton, R. C.(1980)。On Estimating the Expected Return on the Market。Journal of Financial Economics,8,323-361。  new window
21.Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis,22(1),109-126。  new window
22.王甡(19950100)。報酬衝擊對條件波動所造成之不對稱效果--臺灣股票市場之實證分析。證券市場發展,7(1)=25,125-161。new window  延伸查詢new window
23.Braun, P. A.、Nelson, D. B.、Sunier, A. M.(1995)。Good News, Bad News, Volatility, and Betas。Journal of Finance,50(5),1575-1603。  new window
24.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance,44(5),1115-1153。  new window
25.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
26.王毓敏、林苑宜(19990600)。臺灣地區股票、外匯與貨幣市場間的關係--動態過程檢定。交大管理學報,19(1),153-172。new window  延伸查詢new window
27.Lucas, Robert E. Jr.(1978)。Asset Prices in an Exchange Economy。Econometrica,46(6),1429-1445。  new window
28.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。  new window
29.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
30.Harvey, C. R.(1989)。Time-varying conditional covariance in tests of asset pricing models。Journal of Financial Economics,24,289-317。  new window
其他
1.韓繡如(1995)。股價指數期貨上市對股市的影響。  延伸查詢new window
2.Aggarwal, R.(1988)。Stock index futures and cash market volatility。  new window
3.Arditti, F. and John, K.(1980)。Spanning the state space with options。  new window
4.Backus, D. K. and Gregory, A. W.(1993)。Theoretical relations between risk and premiums and conditional variances。  new window
5.Board, I. L, G. and Sutcliffe,C. M. S.(1990)。Information, volatility, volume and maturity: an investigation of stock index futures。  new window
6.Breen, W., Glosten, L. R. and Jagannathan, R.(1989)。Economic significance of predictable variations in stock index returns。  new window
7.Gulen, H. and Mayhew, S.(2000)。Stock index futures trading and volatility in international equity markets。  new window
8.Hakansson, N.(1978)。Welfare aspects of options and supershares。  new window
9.Harris, L.(1989)。SandP 500 cash stock price volatilities。  new window
10.Hart, O. D. and Kreps, D. M.(1986)。Price destabilizing speculation。  new window
11.Nelson, D.(1991)。Conditional heteroske-dasticity in asset returns: a new approach。  new window
12.Ross, S.(1977)。Options and efficiency。  new window
13.Salant, S. W.(1984)。Profitable speculation, price stability and welfare,Mimeographed, Ann Arbor:Univ. Michigan。  new window
14.Stein, J. C.(1987)。Informational externalities and welfare-reducing speculation。  new window
15.Stein, J.(1989)。Overreactions in options markets。  new window
16.Wei, K. C. J., Liu, Y. J., Yang, C. C. and Chaung, G. S.(1995)。Volatility and price change spillover effects across the developed and emerging markets。  new window
 
 
 
 
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