期刊論文1. | Stoll, Hans R.、Whaley, Robert E.(1990)。Program Trading and Individual Stock Returns: Ingredients of the Triple-witching Brew。Journal of Business,63(1),165-192。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
2. | Chamberlain, Trevor W.、Cheung, S. C.、Kwan, C. C. Y.(1989)。Expiration-day effects of index futures and options: Some Canadian evidence。Financial Analysts Journal,45(5),67-71。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
3. | Corredor, P.、Lechon, P.、Santamaría, R.(2001)。Optionexpiration Effect in Small Markets: the Spanish Stock Exchange。Journal of Futures Markets,21(10),905-928。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
4. | 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) |
5. | Amihud, Y.、Mendelson, H.(1991)。Volatility, Efficiency, and Trading Evidence from the Japanese Stock Market。Journal of Finance,46(5),1765-1789。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Feinstein, S. R.、Goetmann, W. N.(1988)。The Effect of the ‘Triple Witching Hour’ on Stoci Market Volatility。Economic Review,73(5),2-18。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | Foster, R.、Viswanathan, S.(1990)。Theory of Interday Variations in Volumes, Variances, and Trading Costs in Securities Markets。Review of Financial Studies,3,593-624。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Schlag, Christian(1995)。Expiration Day Effects of Stock Index Derivatives in Germany。European Financial Management,1(1),69-95。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Pope, P. F.、Yadav, P. K.(1992)。The impact of option expiration on underlying stocks: The UK evidence。Journal of Business Finance and Accounting,19(3),329-344。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Karolyi, G. A.(1996)。Stock Market Volatility Around Expiration Days in Japan。The Journal of Derivatives,4(2),23-43。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Chow, Ying-Foon、Yung, Haynes H. M.、Zhang, Hua(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) |
12. | 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) |
13. | Herbst, Anthony F.、Maberly, Edwin D.(1990)。Stock Index Futures, Expiration Day Volatility, and the "Special" Friday Opening: A Note。Journal of Futures Markets,10(3),323-325。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | Stoll, Hans R.、Whaley, Robert E.(1987)。Program Trading and Expiration-day Effects。Financial Analysts Journal,43(2),16-28。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | 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) |
16. | 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) |
17. | Chou, H. C.、Chen, W. N.、Chen, D. H.(2006)。The expiration effects of stock-index derivatives: empirical evidence from the Taiwan futures exchange。Emerging Markets Finance and Trade,42(5),81-102。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
18. | Bollen, Nicolas P. B.、Whaley, Robert E.(1999)。Do Expirations of Hang Seng Index Derivatives Affect Stock Market Volatility?。Pacific-Basin Finance Journal,7,453-470。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |