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題名:臺股指數衍生性商品到期日價格反轉因素及其可預測性之研究
書刊名:臺灣期貨與衍生性商品學刊
作者:陳佳政陳政位黃金生 引用關係
出版日期:2009
卷期:8
頁次:頁1-27
主題關鍵詞:到期日效應價格反轉市場結構日內資料
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:20
  • 點閱點閱:75
期刊論文
1.李桐豪、杜昭儀(20071200)。由到期日效應探討臺灣股價指數期貨結算價格機制。臺灣期貨與衍生性商品學刊,5,1-11。new window  延伸查詢new window
2.Herbst, A. F.、Maberly, C. D.(1991)。An Alternative Methodology for Measuring Expiration Day Price Effects at Friday’s Close: The Expected Price Reversal-A Note。The Journal of Futures Markets,11,751-754。  new window
3.Merrick, J. J.(1989)。Early Unwindings and Rollovers of Stock Index Futures Arbitrage Programs: Analysis and Implication for Predicting Expiration Day Effects。The Journal of Futures Markets,9,101-111。  new window
4.Pope, P. F.、Yadav, P. K.(1992)。The Impact of Option Expiration oil Underlying Stocks: The UK Evidence。Journal of Business Finance & Accounting,19,329-344。  new window
5.Vipul(2005)。Futures and Options Expiration-day Effects: The Indian Evidence。The Journal of Futures Markets,25(11),1045-1065。  new window
6.闕河士、楊德源(20050800)。股價指數期貨到期日效應之實證:以臺灣股票市場為例。財務金融學刊,13(2),71-95。new window  延伸查詢new window
7.李見發、林榮裕、陳秀綾(20051000)。臺灣股價指數期貨及摩根臺指期貨到期效應之因素研究。財金論文叢刊,3,51-76。new window  延伸查詢new window
8.Hancock, Gerald D.(1993)。Whatever Happened to the Triple Witching Hour?。Financial Analysts Journal,49,66-72。  new window
9.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
10.Stoll, H. R.(1988)。Index Futures, Program Trading, and Stock Market Procedures。The Journal of Futures Markets,8(4),391-412。  new window
11.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
12.Chou, H. C.、Chen, W. N.、Chen, D. H.(2006)。The Expiration Effects of Stock-index Derivatives。Emerging Markets Finance and Trade,42(5),81-102。  new window
13.Khwaja, Asim Ijaz、Mian, Atif(2005)。Unchecked Intermediaries: Price Manipulation in An Emerging Stock Market。Journal of Financial Economics,78(1),203-241。  new window
14.Karolyi, G. A.(1996)。Stock Market Volatility Around Expiration Days in Japan。The Journal of Derivatives,4(2),23-43。  new window
15.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
16.Kan, A. C. N.(2001)。Expiration-Day Effect: Evidence From High-Frequency Data in The I long Kong Stock Market。Applied Financial Economics,11,107-118。  new window
17.Board, J. L. G.、Sutcliffe, C. M. S.(1990)。Information, volatility, volume and maturity: an investigation of stock index futures。Review of Futures Markets,19(3),533-549。  new window
18.Stoll, Hans R.、Whaley, Robert E.(1987)。Program Trading and Expiration-day Effects。Financial Analysts Journal,43(2),16-28。  new window
19.Stoll, Hans R.、Whaley, Robert E.(1991)。Expiration-day Effects: What Has Changed?。Financial Analysts Journal,47(1),58-72。  new window
20.Klemkosky, R. C.(1978)。The Impact of Option Expirations on Stock Prices。Journal of Financial and Quantitative Analysis,13,507-518。  new window
學位論文
1.蔡垂君(2003)。臺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
 
 
 
 
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