期刊論文1. | Stein, J. C.(1987)。Information externalities and welfare-reducing speculation。Journal of Political Economy,95,1123-1145。 |
2. | Bray, M.(1981)。Futures trading, rational expectations and the efficient market hypothesis。Econometrica,49,575-596。 |
3. | Kyle, A. S.(1985)。Continuous Auction and Insider Trading。Econometrica,53,1315-1335。 |
4. | Maberly, E. D.(1987)。An Analysis of Trading and Nontrading Period Returns for the Value Line Composite Index; Spot Versus Futures。Journal of Futures Markets,7,497-500。 |
5. | Lee, S. B.、Ohk, K. Y.(1992)。Stock and Index Futures Listing and Structure Change in Time-Varying Volatility。Journal of Futures Markets,12(5),493-509。 |
6. | 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。 |
7. | Schwarz, T. V.、Laatsch, F.(1991)。Price discovery and risk transfer in stock index cash and futures markets。Journal of Futures Markets,11,669-683。 |
8. | Cox, C. C.(1976)。Futures trading and market information。Journal of Political Economy,84(6),1215-1237。 |
9. | Mazouz, K.(2004)。The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach。Journal of Empirical Finance,11,695-708。 |
10. | 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。 |
11. | Antoniou, A.、Holmes, P.(1995)。Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH。Journal of Banking & Finance,19,117-129。 |
12. | Bologna, P.、Cavallo, L.(2002)。Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'Futures Effect' immediate? Evidence from the Italian stock exchange using GARCH。Applied Financial Economics,12(3),183-192。 |
13. | Bessembinder, Hendrik、Seguin, Paul J.(1992)。Futures-trading Activity and Stock Price Volatility。The Journal of Finance,47(5),2015-2034。 |
14. | Brown-Hruska, S.、Kuserk, G.(1995)。Volatility, Volume and the Notion of Balance in the S&P 500 Cash and Futures Markets。The Journal of Futures Markets,15(6),677-689。 |
15. | Antoniou, A.、Holmes, P.、Priestley, R.(1998)。The Effects of Stock Index Futures Trading on Stock Index Volatility: An Analysis of the Asymmetric Response of Volatility to News。Journal of Futures Markets,18,151-166。 |
16. | Damodaran, A.(1990)。Index Futures and Stock Market Volatility。Review of Futures Markets,9,442-457。 |
17. | 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。 |
18. | Figlewski, S.(1981)。Futures trading and volatility in the GNMA market。The Journal of Finance,36(2),445-456。 |
19. | Chen, C.、Williams, J.(1994)。Triple-witching hour, the change in expiration timing, and stock market reaction。Journal of Futures Markets,14,275-292。 |
20. | Pericli, A.、Koutmos, G.(1997)。Index Futures and Options and Stock Market Volatility。Journal of Futures Markets,17(8),957-974。 |
21. | Chen, Y. J.、Duan, J. C.、Hung, M. W.(1999)。Volatility and maturity effect in the Nikkei index futures。The Journal of Futures Markets,19,895-909。 |
22. | Harris, L.(1989)。S & P 500 cash stock price volatilities。Journal of Finance,44(5),1155-1175。 |
23. | Aragó, V.、Fernández, A.(2002)。Expiration and maturity effect: empirical evidence from the Spanish spot and futures stock index。Applied Economics,34(13),1617-1626。 |
24. | Sherrick, B. J.、Irwin, S. H.、Forster, D. C.(1992)。Option-based evidence of the nonstationarity of expected S & P 500 futures price distributions。Journal of Futures Markets,12,275-290。 |
25. | Lemmon, Michael L.、Lins, Karl V.(2003)。Ownership structure, corporate governance, and firm value: Evidence from the East Asian financial crisis。The Journal of Finance,58(4),1445-1468。 |
26. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。 |
27. | Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。 |
28. | Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。 |
29. | Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。 |