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題名:臺股指數現貨與選擇權市場日內報酬動態關聯性之研究
書刊名:財金論文叢刊
作者:陳仁龍郭玟秀 引用關係林琮傑
作者(外文):Chen, Jen-lungKuo, Wen-hsiuLin, Chong-jie
出版日期:2007
卷期:7
頁次:頁18-34
主題關鍵詞:股價指數選擇權價格發現資訊傳遞VAR模型衝擊反應函數Stock index optionPrice discoveryInformation transmissionVAR modelImpulse response function
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:46
  • 點閱點閱:24
期刊論文
1.Chakravarty, S.、Gulen, H.、Mayhew, S.(2004)。Informed trading in stock and option market。Journal of Finance,59(3),1235-1257。  new window
2.Cao, C.、Chen, Z.、Griffin, J.(2005)。Informational content of option volume prior to takeovers。Journal of Business,78,1073-1109。  new window
3.Chan, K.、Chung, Y. P.、Johnson, H.(1993)。Why option prices lag stock prices:a trading based explanation。Journal of Finance,48(5),1957-1967。  new window
4.Cherian, J. A.、Weng, W. Y.(1999)。Ad empirical analysis of directional and volatility trading in options market。Journal of Derivative,7,53-65。  new window
5.Claessen, H.、Mittnik, S.(2002)。Forecasting stock market volatility and the informational efficiency of the DAX-Index Options Market。European Journal of Finance,8,302-321。  new window
6.Gwilym, O. A.、Buckle, M.(1999)。Volatility forecasting in the framework of the option expiiy circle。European Journal of Finance,5,73-94。  new window
7.Li, K.(2002)。Long-memory versus option-implied volatility predictions。Journal of Derivatives,9,9-25。  new window
8.Mayhew, S.、Sarin, A.、Shastri, K.(1995)。The allocation of informed trading across related markets: An analysis of the impact of changes in equity-option margin requirements。Journal of Finance,50,1635-1654。  new window
9.Nofsinger, J. R.、Prucyk, B.(2003)。Option volume and volatility response to scheduled economic news releases。Journal of Futures Markets,23,315-345。  new window
10.Poteshman, A. M.(2004)。Unusual option market activity and the terrorist attacks of September 11,2001。Journal of Business,79,1703-1726。  new window
11.Schlag, C.、Stoll, H.(2005)。Price impacts of options volume。Journal of Financial Markets,8,69-87。  new window
12.Black, F.(1975)。Facts and fantasy in the use of options。Financial Analysts Journal,31,36-41。  new window
13.Stephan, J. A.、Whaley, R. E.(1990)。Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets。Journal of Finance,45(1),191-220。  new window
14.Draper, P.、Fung, J. K. W.(2002)。A Study of Arbitrage Efficiency between the FTSE-100 Index Futures and Options Contracts。The Journal of Futures Markets,22(1),31-58。  new window
15.Tse. Y. K.(1999)。Price Discovery and Volatility Spillovers in the DJIA Index and Futures Markets Returns。Journal of Futures Markets,19,911-930。  new window
16.Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica,41(1),135-155。  new window
17.Fleming, J.、Ostdiek, B.、Whaley, R. E.(1996)。Trading costs and the relative rates of price discovery in stock, futures, and options markets。Journal of Futures Markets,16(4),353-387。  new window
18.Anthony, J. H.(1988)。The Interrelation of Stock and Option Market Trading-Volume Data。Journal of Finance,43,949-964。  new window
19.Beckers, S.(1981)。Standard Deviations Implied in Option Prices as Predictors of Future Stock Price Variability。Journal of Banking and Finance,5(3),363-382。  new window
20.Harris, L.(1987)。Transaction data tests of the mixture of distributions hypothesis。Journal of Financial and Quantitative Analysis,22,127-141。  new window
21.謝文良(20021200)。價格發現、資訊傳遞、與市場整合--臺股期貨市場之研究。財務金融學刊,10(3),1-31。new window  延伸查詢new window
22.Jorion, P.(1995)。Predicting Volatility in the Foreign Exchange Market。Journal of Finance,50(2),507-528。  new window
23.Diltz, J. D.、Kim, Suhkyong(1996)。The Relationship between Stock and Option Price Changes。The Financial Review,31(3),499-519。  new window
24.Manaster, S.、Rendleman, R. J. Jr.(1982)。Option Prices as Predictors of Equilibrium Stock Prices。Journal of Finance,37(4),1043-1057。  new window
25.莊益源、張鐘霖、王祝三(20030600)。波動率模型預測能力的比較--以臺指選擇權為例。臺灣金融財務季刊,4(2),41-63。new window  延伸查詢new window
26.Bhattacharya, M.(1987)。Price Changes of Related Securities: The Case of Call Options and Stocks。Journal of Financial and Quantitative Analysis,22(1),1-15。  new window
27.Easley, David、O'Hara, Maureen、Srinivas, P. S.(1998)。Option volume and stock prices: Evidence on where informed traders trade。Journal of Finance,53(2),431-465。  new window
28.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
29.Chiang, Raymond、Fong, Wai-Ming(2001)。Relative informational efficiency of cash, futures, and options markets: the case of an emerging market。Journal of Banking and Finance,25(2),355-375。  new window
研究報告
1.Pan, J.、Poteshman, A. M.(2003)。The information in option volume for stock prices。MIT。  new window
2.Varson, P.(1989)。Option prices as predictors of stock prices: intraday adjustment to information releases。  new window
3.Boyle, P.、Byoun, S.、Park, H. Y.(1999)。Temporal price relation between stockand option markets and a bias of implied volatility in option prices。  new window
 
 
 
 
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