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題名:指數衍生性金融商品對現貨市場的影響--以臺灣股票市場為例
書刊名:臺灣銀行季刊
作者:孫倩玲
出版日期:2009
卷期:60:1
頁次:頁301-316
主題關鍵詞:衍生性金融商品期貨選擇權
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:3
期刊論文
1.Stein, J. C.(1987)。Information externalities and welfare-reducing speculation。Journal of Political Economy,95,1123-1145。  new window
2.Bray, M.(1981)。Futures trading, rational expectations and the efficient market hypothesis。Econometrica,49,575-596。  new window
3.Kyle, A. S.(1985)。Continuous Auction and Insider Trading。Econometrica,53,1315-1335。  new window
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。  new window
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。  new window
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。  new window
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。  new window
8.Cox, C. C.(1976)。Futures trading and market information。Journal of Political Economy,84(6),1215-1237。  new window
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。  new window
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。  new window
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。  new window
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。  new window
13.Bessembinder, Hendrik、Seguin, Paul J.(1992)。Futures-trading Activity and Stock Price Volatility。The Journal of Finance,47(5),2015-2034。  new window
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。  new window
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。  new window
16.Damodaran, A.(1990)。Index Futures and Stock Market Volatility。Review of Futures Markets,9,442-457。  new window
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。  new window
18.Figlewski, S.(1981)。Futures trading and volatility in the GNMA market。The Journal of Finance,36(2),445-456。  new window
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。  new window
20.Pericli, A.、Koutmos, G.(1997)。Index Futures and Options and Stock Market Volatility。Journal of Futures Markets,17(8),957-974。  new window
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。  new window
22.Harris, L.(1989)。S & P 500 cash stock price volatilities。Journal of Finance,44(5),1155-1175。  new window
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。  new window
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。  new window
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。  new window
26.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
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。  new window
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。  new window
29.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
圖書
1.Harvey, A. C.(1993)。Time Series Models。Harvester Wheatsheaf。  new window
 
 
 
 
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