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題名:臺灣地區期貨交易開放對漲跌停板股票價格波動之影響
書刊名:僑光學報
作者:楊踐為 引用關係劉淑琴
作者(外文):Yang, Jack J. W.Liu, Shu-chin
出版日期:2006
卷期:27
頁次:頁67-81
主題關鍵詞:價格限制波動外溢期貨Price limitsVolatility spilloverFutures
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(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:26
  • 點閱點閱:22
期刊論文
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2.Kim, K. A.、Rhee, S. G.(1997)。Price Limit Performance: Evidence from the Tokyo Stock Exchange。Journal of Finance,52(2),885-901。  new window
3.Anshuman, V. R.、Subrahmanyam, A.(1999)。Price limits, information acquisition, and bid-ask spreads: Theory and Evidence。Economic Notes by Banca Monte dei Paschi di Siena SpA,28,91-118。  new window
4.Antoniou, A.、Holmes, P.(1995)。Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH。Journal of Banking & Finance,19,117-129。  new window
5.Berkman, H.、Lee, J. B. T.(2002)。The effectiveness of price limits in an emerging market: Evidence from the Korea Stock Exchange。Pacific-Basin Finance Journal,10,517-530。  new window
6.Board, J.、Sandmann, G.、Sutcliffe, C.。The effect of futures market volume on spot market volatility。Journal of Business Finance & Accounting,28,799-819。  new window
7.Bologna, P.、Cavallo, L.(2002)。Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'Futures Effect' immediate? Evidence from the Italian stock exchange using GARCH。Applied Financial Economics,12(3),183-192。  new window
8.Brown-Hruska, S.、Kuserk, G.(1995)。Volatility, volume and the notion of balance in the S&P500 cash and futures markets。Journal of Futures Markets,15,677-689。  new window
9.Chang, E.-C.、Cheng, J. W.、Pinegar, J. M.(1999)。Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets。Journal of Banking & Finance,23,727-753。  new window
10.Cho, D. D.、Russell, J.、Tiao, G. C.、Tsay, R.(2003)。The magnet effect of price limits: Evidence from high-frequency data on Taiwan Stock Exchange。Journal of Empirical Finance,10,133-168。  new window
11.Choi, W. S.、Lee, S. B.(2000)。Price limits and limit order flow: evidence from the Korea stock exchange。Review of Pacific Basin Financial Markets and Policies,3,451-474。  new window
12.Dennis, S. A.、Sim, A. B.(1999)。Share price volatility with the introduction of individual share futures on the Sydney futures exchange。International Review of Financial Analysis,8,153-163。  new window
13.Huang, Y. S.、Fu, T. W.、Ke, M. C.(2001)。Daily price limits and stock price behavior: evidence from the Taiwan stock exchange。International Review of Economics and Finance,10,263-288。  new window
14.Kan, A. C. N.(1997)。The effect of index futures trading on volatility of HIS constituent stocks: a note。Pacific-Basin Finance Journal,5,105-114。  new window
15.Kim, Kenneth A.(2001)。Price limits and stock market volatility。Economics Letters,71,131-136。  new window
16.Kuserk, G. J.、Locke, P. R.(1996)。Market marking with price limits。The Journal of Futures Markets,16,677-696。  new window
17.Kyriacou, K.、Samo, L.(1999)。The temporal relationship between derivatives trading and spot market volatility in the UK: Empirical analysis and mote carlo evidence。Journal of Futures Markets,19,245-270。  new window
18.Lauterbach, B.、Ben-Zion, U.(1993)。Stock market crashes and the performance of circuit breakers: Empirical evidience。The Journal of Finance,48,1909-1925。  new window
19.Lee, J. H.、Chou, R. K.(2004)。The intraday stock return characteristics surrounding price limit hits。Journal of Multinational financial Management,14,485-501。  new window
20.Lee, S. B.、Kim, K. J.(1995)。The effect of price limits on stock price volatility: an empirical evidence in Korea。Journal of Business Accounting,22,257-267。  new window
21.Lee, C. I.、Tong, H. C.(1998)。Stock futures: the effects of their trading on the underlying stocks in Australia。Journal of Multinational Financial Management,8,285-301。  new window
22.Ma, C. K.、Rao, R. P.、Sears, R. S.(1989)。Limit moves and price resolution: the case of the treasury bond futures market。Journal of Futures Markets,9,321-335。  new window
23.Miller, M. H.(1989)。Commentary: Volatility, price resolution and the effectiveness of price limits by C.K. Ma, R.P. Rao and R.S. Sears。Journal of Financial Services,3,103-105。  new window
24.Schwarz, T. V.、Laatsch, F. E.(1991)。Dynamic Efficiency and Price Leadership in stock index cash and futures markets。Journal of Futures Markets,11(6),669-683。  new window
25.Shen, C. H.、Wand, L. R.(1998)。Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market。Pacific-Basin Finance Journal,6,251-273。  new window
26.Stroll, H. R.、Whaley, R. E.(1988)。Volatility and futures: message versus messenger。Journal of Portfolio Management,14,20-22。  new window
27.Subrahmanyam, A.(1994)。Circuit breakers and market volatility: a theoretical perspective。Journal of Finance,49,527-543。  new window
28.Sunil, P.(2004)。Market capitalization, cross-correlations, the lead/lag structure and microstructure effects in the Indian stock market。Journal of International Financial Markets, Institutions & Money,14,385-400。  new window
29.Tseng, K. C.(2004)。Panorama of NASDAQ stock bubbles and aftermath。American Business Review,22,61-71。  new window
30.Veld-Merkoulova, Y. V.(2003)。Price limits in futures markets: effects on the pirce discovery process and volatility。International Review of financial Analysis,12,311-328。  new window
31.Yoshio, L.、Kato, H. K.(2004)。The winner-loser effect in Japanese stock returns。Japan & the World Economy,16,471-485。  new window
32.周雨田、李志宏、巫春洲(20020800)。臺灣期貨對現貨市場的資訊傳遞效果分析。財務金融學刊,10(2),1-22。new window  延伸查詢new window
33.黃彥聖、姜清海、柯美珠(19991200)。漲跌幅限制下均衡價格的估計與過度反應假說之檢定。中國財務學刊,7(3),27-59。new window  延伸查詢new window
34.Wang, C.、Yu, M.(2004)。Trading activity and price reversals in futures markets。Journal of Banking & Finance,28(6),1337-1361。  new window
35.Phylaktis, Kate、Kavussanos, Manolis、Manalis, Gikas(1999)。Price limits and stock market volatility in the Athens Stock Exchange。European Financial Management,5(1),69-84。  new window
36.周賓凰、吳壽山(19981000)。漲跌幅限制之再探討。中國財務學刊,6(2),19-48。new window  延伸查詢new window
37.Stein, Jeremy C.(1987)。Informational externalities and welfare-reducing speculation。Journal of Political Economy,95,1123-1145。  new window
38.Figlewski, S.(1981)。Futures trading and volatility in the GNMA market。The Journal of Finance,36(2),445-456。  new window
39.White, Halbert L. Jr.(1980)。A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity。Econometrica: Journal of the Econometric Society,48(4),817-838。  new window
 
 
 
 
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