期刊論文1. | Stoll, Hans R.、Whaley, R. E.(1990)。Stock Market Structure and Volatility。Review of Financial Studies,3(1),37-71。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | Stoll, Hans R.、Whaley, Robert E.(1997)。Expiration-day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures。Australian Journal of Management,22(2),139-174。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
3. | Stoll, H. R.、Whaley, R. E.(1986)。Program Trading and Expiration Day Effects。Financial Analysts Journal,43(2),16-28。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
4. | Edwards, Franklin R.(1988)。Does Futures Trading Increase Stock Market Volatility?。Financial Analysts Journal,44,63-69。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
5. | Maberly, Edwin D.、Herbst, Anthony F.(1991)。An Alternative Methodology for Measuring Expiration Day Price Effects at Friday's Close: The Expected Price Reversal--A Note。The Journal of Futures Markets,11(6),751-754。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | 吳承康(20000700)。臺灣股價指數期貨基差與價格預測實證研究。臺灣期貨市場,2(4),35-51。 延伸查詢![new window](/gs32/images/newin.png) |
7. | 莊忠柱(20001000)。股價指數期貨與現貨的波動性外溢:臺灣的實證。證券市場發展,12(3),111-139。 延伸查詢![new window](/gs32/images/newin.png) |
8. | Alkeback P.、Hagelin N.(2004)。EXP.iration day effects of index futures and options: evidence from a market with a long settlement period。Applied Financial Economics,14,385-396。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Board, J. L. G.、Sutcliffe, C, M. S(1990)。Information,Volatility, Volume and Maturity: an Investigation of Stock Index Futures。Review of Futures Markets,9(3),533-549。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Bollen, N, R,、Whaley,H, R(1999)。Do expiration of Hang Seng Index Derivatives Affect Stock Market Volatility?。Pacific-Basin Finance Journal,7,453470。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Brennan, M. J.、Schwartz, E. S.(1990)。Arbitrage in Stock Index Futures。Journal of Business,63(1),S7-S31。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
12. | Chamberlain, T. W.、Cheung,S. C.、Kwan, C. C. Y.(1989)。Expiration Day Effects of Index Futures and Options: Some Canadian Evidence。Financial Analysts Journal,45,6771。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | Chen C.、Williams J.(1994)。Triple-witching hour, the change in expiration timing, and stock market reaction。The journal of Futures Markets,14(3),275-291。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | Chow, Y. F.、Yung, H. H. M.、Zhang, H.(2003)。Expiration Day Effects: The Case of Hong Kong。Journal of Futures Markets,23(1),67-86。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Galloway, T. M.、Kolb, R. W.(1996)。Futures prices and the maturity effects。The Journal of Futures Markets,16,809-828。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | Hancock, G. D.(1993)。Whatever Happened to the Triple Witching Hour?。Financial Analysts Journal,49,66-72。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | Herbst, A. F.、Maberly, E. D(1990)。Stock index Futures, expiration Day Volatility, and the special Friday Opening: A Note。Journal of Futures Markets,10,323-325。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
18. | Kan, A. C. N.(2001)。Expiration-day effect: evidence from high-frequency data in the Hong Kong stock market。Applied Financial Economics,107-118。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
19. | Karolyi, A.(1996)。Stock market volatility around expiration days in Japan。Journal of Derivatives,4,23-43。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
20. | Laatsch, F. E.(1991)。A Note on the Effects of the Initiation of Major Market Index Futures on the Daily Returns of the Component Stocks。Journal of Futures Markets,11(3),313-317。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
21. | Stoll, H. R.、Whaley, R. E.(1990)。Program trading and individual stock returns: Ingredients of the triplewitching brew。Journal of Business,63,165-192。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
22. | Stoll, Hans R.、Whaley, Robert E.(1991)。Expiration-day Effects: What Has Changed?。Financial Analysts Journal,47(1),58-72。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
23. | 黃玉娟、徐守德(19970000)。臺股指數現貨與期貨市場價格動態關聯性之研究。證券市場發展,9(3)=35,1-28。 延伸查詢![new window](/gs32/images/newin.png) |
24. | Edwards, Franklin R.(1988)。Futures trading and cash market volatility: Stock index and interest rate futures。Journal of Futures Markets,8(4),421-439。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
25. | 李存修、陳俊霖、朱世逸(19980000)。股價指數期貨上市對股市成交量之影響--香港之經驗與實證。證券市場發展,10(1)=37,1-25。 延伸查詢![new window](/gs32/images/newin.png) |
26. | 余尚武、吳嘉欽(1999)。股價指數期貨對股票市場波動性的影響。企業管理學報。 延伸查詢![new window](/gs32/images/newin.png) |