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題名:期貨交易與波動間之動態關係:避險與投機目的
書刊名:財金論文叢刊
作者:李瑞琳 引用關係杜沛穠
出版日期:2008
卷期:8
頁次:頁122-141
主題關鍵詞:期貨交易現貨波動因果關係政策放寬
原始連結:連回原系統網址new window
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  • 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:0
  • 點閱點閱:31
期刊論文
1.Wang, C.(2001)。Investors Sentiment and Return Predictability in Agricultural Futures Market。Journal of Futures Markets,21,929-952。  new window
2.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new window
3.Admatl, A.、Pfleiderer, P.(1988)。A theory of intraday trading patterns: Volume and price variability。The Review of Financial Studies,1(1),3-40。  new window
4.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。  new window
5.Gallant, A. R.、Rossi, P. E.、Tauchen, G.(1992)。Stock prices and volumes。Review of Financial Studies,5(2),199-242。  new window
6.Hong, H.(2000)。A model of returns and trading in future markets。The Journal of Finance,55(2),959-988。  new window
7.Kocagil, A. E.、Shachmurove, Y.(1998)。Retum-volume dynamics in futures markets。The Journal of Futures Markets,18(4),399-426。  new window
8.Luu, C. James、Martens, Martin(2003)。Testing the mixture-of-distributions hypothesis using realized volatility。The Journal of Futures Markets,23(7),661-679。  new window
9.Sillber, W. L.(1984)。Market maker behavior in an auction market: An analysis of scalpers in futures markets。The Journal of Futures,39(4),937-953。  new window
10.Singh, Y. P.、Bhatia, Shalini(2006)。Does futures trading impact spot market volatility。Decision,33(2),41-62。  new window
11.Wang, C.(2002)。Information, trading demand, and futures price volatility。The Financial Review,37(2),295-316。  new window
12.Wiley, Marilyn K.(1998)。Volume relationships among types of traders in the financial futures markets。The Journal of Futures Markets,,18(1),91-113。  new window
13.Yang, Jian、Balyeat, R. Leatham、David, J.(2005)。Futures trading activity and commodity cash price volatility。Journal of Business Finance,31(2),297-323。  new window
14.Harris, L.(1989)。S&P-500 cash stock price volatility。The Journal of Finance,44(5),1155-1176。  new window
15.Grammatikos, T.、Saunders, A.(1986)。Futures Price Variability: A Test of Maturity and Volume Effects。The Journal of Business,59(2),319-330。  new window
16.Pericli, A.、Koutmos, G.(1997)。Index futures and options and stock market volatility。The Journal of Futures Markets,17(8),957-974。  new window
17.Grossman, Sanford J.、Miller, Merton H.(1988)。Liquidity and market structure。Journal of Finance,43(3),617-633。  new window
18.Lee, B. S.、Rui, O. M.(2002)。The Dynamic Relationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence。Journal of Banking and Finance,26(1),51-78。  new window
19.Ciner, C.(2002)。Information content of volume: An investigation of Tokyo commodity futures markets。Pacific-Basin Finance Journal,10(2),201-215。  new window
20.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。  new window
21.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。  new window
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。  new window
23.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。  new window
24.Chen, Gongmeng、Firth, M.、Rui, O. M.(2001)。The dynamic relation between stock returns, trading volume, and volatility。The Financial Review,36(3),153-174。  new window
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。  new window
26.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。  new window
27.Watanabe, T.(2001)。Price volatility, trading volume, and market depth: Evidence from the Japanese stock index futures market。Applied Financial Economics,11(6),651-658。  new window
28.Granger, C. W. J.(1988)。Some Recent Development in a Concept of Causality。Journal of Econometrics,39,199-211。  new window
29.Copeland, T. E.(1976)。A model of asset trading under the assumption of sequential information arrival。Journal of Finance,31,1149-1168。  new window
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。  new window
31.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。  new window
會議論文
1.Rutledge, D. J. S.(1979)。Trading volume and price variability: New evidence on the price effects of speculation。International futures trading seminar。Chicago:Chicago Board of Trade。160-174。  new window
研究報告
1.Hsueh, Paul L.、Liu, Y. Angela、Lee, Nicholas R.(2007)。Volatility, futures trading, market conditions, and changing sentiments。  new window
 
 
 
 
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