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題名:基差變動與臺股日內動態資訊傳遞行為之研究
書刊名:證券市場發展季刊
作者:王凱立郭一棟李昀薇
作者(外文):Wang, Kai-liKuo, I-dounLee, Yun-wei
出版日期:2008
卷期:20:3=79
頁次:頁141-178
主題關鍵詞:期貨選擇權基差隱含波動率波動不對稱門檻轉換相關係數多變量GARCH模型StockFuturesOptionsImplied volatilityBasisThreshold conditional correlationMultivariate GARCH model
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(2) 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:2
  • 共同引用共同引用:7
  • 點閱點閱:25
期刊論文
1.Zhong, Maosen、Darrat, Ali F.、Otero, Rafael(2004)。Price discovery and volatility spillovers in index futures markets: some evidence from Mexico。Journal of Banking & Finance,28(12),3037-3054。  new window
2.Neal, Robert. A.(1996)。Direct tests of index arbitrage models。Journal of Financial & Quantitative Analysis,31(4),541-562。  new window
3.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Return to buying winners and selling losers: Implications for stock market efficiency。The Journal of Finance,48(1),65-91。  new window
4.Tavakkol, A.,(2000)。“Positive Feedback Trading in the Options Market,”。Quarterly Journal of Business and Economics,39,69-80。  new window
5.Simon, D. P.、Wiggins, R. A. III(2001)。S&P futures and contrary sentiment indicators。Journal of Futures Markets,21(5),447-462。  new window
6.Bollen, N.、Whaley, R.(2004)。Does net Buying Pressure Affect the Shape of Implied Volatility Functions?。Journal of Finance,59(2),711-753。  new window
7.Gwilym, O. A.、Bruckle, M.(2001)。The Lead-Lag Relationship Between the FTSE100 Stock Index and its Derivative Contracts。Applied Financial Economics,11,385-393。  new window
8.Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance,52(5),2003-2049。  new window
9.Cheung, Y. W.、Ng, L. K.(1996)。A Causality-in-variance Test and Its Application to Financial Market Prices。Journal of Econometrics,72,33-48。  new window
10.Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1996)。Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets。Journal of Futures Markets,16(4),353-387。  new window
11.Lee, T. H.(1994)。Spread and Volatility in Spot and Forward Exchange Rates。Journal of International Money and Finance,13,375-383。  new window
12.Booth, G. G.、So, R. W.、Tse, Y.(1999)。Price Discovery in the German Equity Index Derivatives Markets。The Journal of Futures Markets,19(6),619-643。  new window
13.Hsieh, W.-L. G.(2004)。Regulatory Changes and Information Competition: The Case of Taiwan Index Futures。Journal of Futures Market,24(4),399-412。  new window
14.Chordia, T.、Swaminathan, B.(2000)。Trading Volume and Cross Autocorrelations in Stock Return。The Journal of Finance,55,913-935。  new window
15.Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1987)。The Temporal Price Relationship between S&P 500 Futures and S&P Index。Journal of Finance,42(5),1309-1329。  new window
16.Chan, Kalok S.(1992)。A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market。Review of Financial Studies,5(1),123-152。  new window
17.Bodart, V.、Reding, P.(1999)。Exchange Rate Regime, Volatility and International Correlations on Bond and Stock Markets。Journal of International Money and Finance,18,133-151。  new window
18.Harvey, C. R.、Whaley, R. E.(1992)。Market Volatility Prediction and the Efficiency of S&P 100 Index Options Market。Journal of Financial Economics,31(1),43-73。  new window
19.Subrahmanyam, A.(1991)。A Theory of Trading in Stock Index Futures。Review of Financial Studies,4(1),17-51。  new window
20.Johnson, Herb、Chung, Y. Peter、Chan, Kalok(1993)。Why option prices lag stock prices: A trading-based explanation。Journal of Finance,48,1957-1967。  new window
21.Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis,25(4),441-468。  new window
22.Chen, N. F.、Cuny, C. J.、Haugen, R. A.(1995)。Stock volatility and the levels of the basis and open interest in futures contracts。The Journal of Finance,50(1),281-300。  new window
23.De Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Positive Feedback Investment Strategies and Destabilizing Rational Speculation。Journal of Finance,45(2),379-395。  new window
24.Chou, R. Y.(1988)。Volatility Persistence and Stock Valuation: Some Empirical Evidence Using GARCH。Journal of Applied Econometrics,3,279-294。  new window
25.Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。  new window
26.Hentschel, L.(2003)。Errors in Implied Volatility Estimation。Journal of Financial and Quantitative Analysis,38(4),779-810。  new window
27.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
28.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
29.Longin, Francois、Solnik, Bruno(1995)。Is the correlation in international equity returns constant: 1960-1990?。Journal of International Money and Finance,14(1),3-26。  new window
30.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics,72(3),498-505。  new window
31.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
32.謝文良、李進生、袁淑芳、林惠雪(20070500)。臺灣股價指數現貨、期貨與選擇權市場之價格發現研究--Put-Call-Parity之應用。中華管理評論,10(2),(3)1-(3)24。  延伸查詢new window
33.Ross, Stephen A.(1989)。Information and Volatility: The No-arbitrage Martingale Approach to Timing and Resolution Irrelevancy。The Journal of Finance,44(1),1-17。  new window
34.Wiggins, James B.、Wiggins, J.(1987)。Option Values Under Stochastic Volatility: Theory and Empirical Estimates。Journal of Financial Economics,19(2),351-372。  new window
35.王凱立、Fawson, C.、Barrett, C. B.、McDonald, J. B.、Wang, K. L.、McDonald, J.(2001)。A Flexible Parametric GARCH Model with an Application to Exchange Rates。Journal of Applied Econometrics,16(4),521-536。  new window
36.陳美玲、王凱立(2002)。美國和臺灣股票期現貨市場之動態關聯:一般化多變量GARCH模型的應用。經濟論文,30(4),363-407。new window  延伸查詢new window
37.Hegde, S. P.、McDermott, J. B.(2003)。The Liquidity Effects of Revisions to the S&P 500 Index: An Empirical Analysis。Journal of Financial Markets,6,413-459。  new window
38.Ng, V.、Pirrong, S.(1994)。Fundamentals and Volatility: Storage, Spreads, and the Dynamics of Metal Prices。Journal of Business,67,203-230。  new window
39.Hsieh, W. L. G.、Lee, C. S.、Yuan, S. F.(2008)。Price Discovery in the Option Markets: An Application of Put-call Parity。The Journal of Futures Markets,28(4),354-375。  new window
40.Wang, K. L.、Chen, M. L.(2007)。The Dynamics in the Spot, Futures, and Call Options with Basis Asymmetries: A Generalized Multivariate GARCH-M MSKST Approach。Review of Quantitative Finance and Accounting Journal,29(2),371-394。  new window
41.Lien, D.、Yang, L.(2008)。Asymmetric Effect of Basis on Dynamic Futures Hedging: Empirical Evidence from Commodity Markets。Journal of Banking & Finance,32(3),187-198。  new window
42.Garbade, K. D.、Silber, W. L.(1979)。Dominant and Satellite Markets: A Study of Dually-traded Securities。The Review of Economics and Statistics,61(2),455-460。  new window
圖書
1.Gouriêroux, C.(1997)。ARCH Models and Financial Applications。New York, NY:Springer Verlag。  new window
2.Box, G. E. P.、Jenkins, G. M.、Reinsel, G. C.(1976)。Time Series Analysis: Forecasting and Control。San Francisco:Holden-Day。  new window
3.Hull, J. C.(2006)。Fundamentals of Futures and Options Markets。Fundamentals of Futures and Options Markets。0。  new window
 
 
 
 
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