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題名:實際波動度在到期日效應之研究--以臺灣股票市場日內資料為例
書刊名:財稅研究
作者:陳佳政黃金生 引用關係
出版日期:2008
卷期:40:3
頁次:頁42-56
主題關鍵詞:波動度到期日效應股票
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:8
  • 點閱點閱:1
期刊論文
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,45(4),730-747。  new window
2.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
3.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2003)。Modeling and forecasting realized volatility。Econometrica,71(2),579-625。  new window
4.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
5.Schlag, Christian(1995)。Expiration Day Effects of Stock Index Derivatives in Germany。European Financial Management,1(1),69-95。  new window
6.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
7.Karolyi, G. A.(1996)。Stock Market Volatility Around Expiration Days in Japan。The Journal of Derivatives,4(2),23-43。  new window
8.Alkebäck, P.、Hagelin, N.(2004)。Expiration Day Effects of Index Futures and Options: Evidence From a Market With a Long Settlement Period。Applied Financial Economics,14(6),385-396。  new window
9.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
10.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
11.Admati, A. R.、Pfleiderer, P.(1988)。The Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1,3-40。  new window
12.Stoll, Hans R.、Whaley, Robert E.(1987)。Program Trading and Expiration-day Effects。Financial Analysts Journal,43(2),16-28。  new window
13.Stoll, Hans R.、Whaley, Robert E.(1991)。Expiration-day Effects: What Has Changed?。Financial Analysts Journal,47(1),58-72。  new window
14.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
15.Tauchen, George E.、Pitts, Mark(1983)。The Price Variability-Volume Relationship on Speculative Markets。Econometrica: Journal of the Econometric Society,51(2),485-505。  new window
16.Corredor, P.、Lechón, P.、Santamaría, R.(2001)。Option-Expiration effects in small markets: The Spanish stock exchange。Journal of Futures Markets,21(10),905-928。  new window
17.Kan, A. C. N.(2001)。Expiration-day effect: Evidence from high-frequency data in the Hong Kong stock market。Applied Financial Economics,11(1),107-118。  new window
18.Illueca, M.、Lafuente, J. A.(2003)。The Effect of Spot and Futures Trading on Stock Index Volatility: A Non-parametric Approach。Journal of Futures Markets,23,841-858。  new window
19.Herbst, A. F.、Maberly, E. D.(1991)。An Alternative Methodology for Measuring Expiration Day Price Effects at Fridayfs Close: The Expected Price Reversal-- A Note。The Journal of Futures Markets,11(6),751-754。  new window
20.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2001)。The Distribution of Realized Exchange Rate Volatility。Journal of the American Statistical Association,96(453),42-55。  new window
21.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
22.Fung, Hung-Gay、Patterson, Gary A.(1999)。The Dynamic Relationship of Volatility, Volume, and Market Depth in Currency Futures Markets。Journal of International Financial Markets, Institutions & Money,9(1),33-59。  new window
23.Illueca, Manuel、LaFuente, Juan A.(2006)。New Evidence on Expiration-day Effects Using Realized Volatility: An Intraday Analysis for the Spanish Stock Exchange。The Journal of Futures Markets,26(9),923-938。  new window
學位論文
1.蔡垂君(2003)。台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
圖書
1.Stoll, Hans R.、Whaley, Robert E.(1986)。Expiration day effects of index options and futures。New York University。  new window
2.鍾惠民、吳壽山、周賓凰、范懷文(2002)。財金計量。臺北:雙葉書廊有限公司。  延伸查詢new window
 
 
 
 
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