期刊論文1. | 許江河(19990600)。臺股期貨交易與現貨波動之關係研究。樹德科技學報,1(1),51-61。 延伸查詢 |
2. | Chatrath, A.、Kamath, R.、Chakornpiat, R.、Ramchander, S.(1995)。Lead-lag associations between option trading and cash market volatility。Applied Financial Economics,5(6),373-381。 |
3. | Wang, C.(2002)。Information, trading demand, and futures price volatility。The Financial Review,37(2),295-316。 |
4. | Umlauf, Steven R.(1993)。Transaction Taxes and The Behavior of The Swedish Stock Market。Journal of Financial Economics,33(2),227-240。 |
5. | Gwilym, O. A. P.、McMillan, D.、Speight, A.(1999)。The Intraday Relationship between Volume and Volatility in LIFFE Futures Markets。Applied Financial Economics,9,593-604。 |
6. | Kyriacou, K.、Sarno, L.(1999)。The Temporal Relationship between Derivatives Trading and Spot Market Volatility in the UK: Empirical Analysis and Monte Carlo Evidence。The Journal of Futures Markets,19,245-270。 |
7. | Cornell, B.(1981)。The relationship between volume and price variability in futures markets。Journal of Futures Markets,1(3),303-316。 |
8. | Ross, S. A.(1989)。Commentary: Using tax policy to curb speculative short-term trading。Journal of Financial Services Research,3,117-120。 |
9. | Jones, C. M.、Seguin, P. J.(1997)。Transaction cost and price volatility: Evidence from commission deregulation。The American Economic Review,87,728-737。 |
10. | Daigler, Robert T.、Wiley, Marilyn K.(1999)。The impact of trader type on the futures volatility-volume relation。Journal of Finance,54,2297-2316。 |
11. | Shalen, Catherine T.(1993)。Volume, volatility, and the dispersion of beliefs。Review of Financial Studies,6(2),405-434。 |
12. | Hagelin, N.(2000)。Index option market activity and cash market volatility under different market conditions: an empirical study from Sweden。Applied Financial Economics,10(6),597-613。 |
13. | Sims, C. A.(1972)。Money, income, causality。American Economic Review,62,540-552。 |
14. | Wang, C.(2001)。The effect of net positions by type of trader on volatility in foreign currency futures markets。The Journal of Futures Markets,22,427-450。 |
15. | Bessembinder, Hendrik、Seguin, Paul J.(1993)。Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets。Journal of Financial and Quantitative Analysis,28(1),21-39。 |
16. | Ciner, C.(2002)。Information content of volume: An investigation of Tokyo commodity futures markets。Pacific-Basin Finance Journal,10(2),201-215。 |
17. | Fung, H. G.、Patterson, G. A.(1999)。The Dynamic Relationship of Volatility, Volume, and Market Depth in Currency Futures Markets。Journal of International Financial Markets, Institutions and Money,9(1),33-59。 |
18. | Kocagil, A. E.、Shachmurove, Y.(1998)。Return-Volume Dynamics in Futures Markets。Journal of Futures Markets,18(4),399-426。 |
19. | Wiggins, J. B.(1992)。Estimating the volatility of S&P 500 futures prices using the extreme-value method。Journal of Futures Markets,12(3),265-273。 |
20. | Chang, E.、Chou, R.、Nelling, E. F.(2000)。Market volatility and the demand for hedging in stock index market。The Journal of Futures Markets,20,105-125。 |
21. | 詹庭禎(20030200)。期貨避險法制之探討。證券暨期貨管理,21(2),1-15。 延伸查詢 |
22. | Garcia, P.、Leuthold, R. M.、Zapata, H.(1986)。Lead-lag Relationships between Trading Volume and Price Variability: New Evidence。The Journal of Futures Markets,6(1),1-10。 |
23. | Darrat, A. F.、Rahman, S.(1995)。Has futures trading activity caused stock price volatility?。The Journal of Futures Markets,15(5),537-557。 |
24. | Chatrath, A.、Ramchander, S.、Song, F.(1995)。Does options trading lead to greater cash market volatility?。The Journal of Futures Markets,15(7),785-803。 |
25. | Chatrath, A.、Ramchander, S.、Song, F.(1996)。The Role of Futures Trading Activity in Exchange Rate Volatility。Journal of Futures Markets,16(5),561-584。 |
26. | Wang, Jiang(1994)。A model of competitive stock trading volume。Journal of Political Economy,102(1),127-168。 |
27. | Bessembinder, Hendrik、Seguin, Paul J.(1992)。Futures-trading Activity and Stock Price Volatility。The Journal of Finance,47(5),2015-2034。 |
28. | Garman, Mark B.、Klass, Michael J.(1980)。On the Estimation of Security Price Volatilities from Historical Data。The Journal of Business,53(1),67-78。 |
29. | Harris, Lawrence(1986)。Cross-security Tests of the Mixture of Distributions Hypothesis。Journal of Financial and Quantitative Analysis,21(1),39-46。 |
30. | Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis,22(1),109-126。 |
31. | Rogalski, R. J.(1978)。The dependence of prices and volume。Review of Economics and Statistics,60(2),268-274。 |
32. | Granger, C. W. J.(1988)。Some Recent Developments in a Concept of Causality。Journal of Econometrics,39(1/2),199-211。 |
33. | Black, Fisher(1986)。Noise。Journal of Finance,41(3),529-543。 |
34. | Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society,37(3),424-438。 |
35. | Bamber, Linda Smith、Barron, Orie E.、Stober, Thomas L.(1999)。Differential Interpretations and Trading Volume。Journal of Financial and Quantitative Analysis,34(3),369-386。 |
36. | Campbell, John Y.、Grossman, Sanford J.、Wang, Jiang(1993)。Trading volume and serial correlation in stock returns。The Quarterly Journal of Economics,108(4),905-939。 |
37. | Harris, Milton、Raviv, Artur(1993)。Differences of Opinion Make a Horse Race。Review of Financial Studies,6(3),473-506。 |
38. | Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。 |
39. | Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。 |