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題名:摩臺期到期效應之研究
書刊名:臺灣期貨與衍生性商品學刊
作者:葉兆輝
出版日期:2006
卷期:4
頁次:頁72-94
主題關鍵詞:到期效應指數套利異常成交量價格反轉摩根士丹利資本國際公司臺灣股價指數期貨
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:53
  • 點閱點閱:22
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。  new window
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。  new window
3.Stoll, H. R.、Whaley, R. E.(1986)。Program Trading and Expiration Day Effects。Financial Analysts Journal,43(2),16-28。  new window
4.Edwards, Franklin R.(1988)。Does Futures Trading Increase Stock Market Volatility?。Financial Analysts Journal,44,63-69。  new window
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。  new window
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
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。new window  延伸查詢new window
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。  new window
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。  new window
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。  new window
11.Brennan, M. J.、Schwartz, E. S.(1990)。Arbitrage in Stock Index Futures。Journal of Business,63(1),S7-S31。  new window
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。  new window
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。  new window
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。  new window
15.Galloway, T. M.、Kolb, R. W.(1996)。Futures prices and the maturity effects。The Journal of Futures Markets,16,809-828。  new window
16.Hancock, G. D.(1993)。Whatever Happened to the Triple Witching Hour?。Financial Analysts Journal,49,66-72。  new window
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。  new window
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。  new window
19.Karolyi, A.(1996)。Stock market volatility around expiration days in Japan。Journal of Derivatives,4,23-43。  new window
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。  new window
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。  new window
22.Stoll, Hans R.、Whaley, Robert E.(1991)。Expiration-day Effects: What Has Changed?。Financial Analysts Journal,47(1),58-72。  new window
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。new window  延伸查詢new window
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。  new window
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。new window  延伸查詢new window
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
會議論文
1.Park, C. G.、Lim, K. M.(2004)。Expiration Day Effect in Korean Stock Market: Wag the Dog?。Econometric Society 2004 For Eastern Meetings from Econometric Society,758。  new window
圖書論文
1.Lien, D.、Yang, L.(2005)。Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data。The Quarterly Review of Economics and Finance。  new window
 
 
 
 
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