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題名:由到期日效應探討臺灣股價指數期貨結算價格機制
書刊名:臺灣期貨與衍生性商品學刊
作者:李桐豪 引用關係杜昭儀
出版日期:2007
卷期:5
頁次:頁1-11
主題關鍵詞:到期日效應最後結算方式股價指數期貨價格反轉
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(1) 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:1
  • 共同引用共同引用:8
  • 點閱點閱:27
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。  new window
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。  new window
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。  new window
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。  new window
5.Amihud, Y.、Mendelson, H.(1991)。Volatility, Efficiency, and Trading Evidence from the Japanese Stock Market。Journal of Finance,46(5),1765-1789。  new window
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。  new window
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。  new window
8.Schlag, Christian(1995)。Expiration Day Effects of Stock Index Derivatives in Germany。European Financial Management,1(1),69-95。  new window
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。  new window
10.Karolyi, G. A.(1996)。Stock Market Volatility Around Expiration Days in Japan。The Journal of Derivatives,4(2),23-43。  new window
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。  new window
12.Edwards, Franklin R.(1988)。Does Futures Trading Increase Stock Market Volatility?。Financial Analysts Journal,44,63-69。  new window
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。  new window
14.Stoll, Hans R.、Whaley, Robert E.(1987)。Program Trading and Expiration-day Effects。Financial Analysts Journal,43(2),16-28。  new window
15.Stoll, Hans R.、Whaley, Robert E.(1991)。Expiration-day Effects: What Has Changed?。Financial Analysts Journal,47(1),58-72。  new window
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。  new window
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。  new window
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。  new window
研究報告
1.林蒼祥(2002)。期交所股價指數期貨契約最後結算價決定方式之研究。  延伸查詢new window
學位論文
1.吳明修(1999)。摩根台股指數期貨到期日效應對股票市場之影響(碩士論文)。高雄第一科技大學。  延伸查詢new window
2.陳國民(2004)。指數期貨到期日之報酬反轉及波動效果日內效應之研究(碩士論文)。淡江大學。  延伸查詢new window
3.許義忠(2005-00-00)。結算制度與到期日效應(碩士論文)。國立中央大學。  延伸查詢new window
4.蔡垂君(2003)。臺灣股價指數期貨與現貨之實證研究(博士論文)。國立臺北大學。new window  延伸查詢new window
5.林世釗(2003)。臺灣股價指數現貨、期貨及摩根臺灣股價指數期貨到期效應之研究(碩士論文)。國立臺北大學。  延伸查詢new window
 
 
 
 
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