期刊論文1. | Illueca, M.、Lafuente, J. A.(2006)。New Evidence on Expiration-Day Effects Using Realized Volatility: An Intraday Analysis for The Spanish Stock Exchange。The Journal of Futures Markets,26(9),923-938。 |
2. | Vipul(2005)。Futures and Options Expiration-day Effects: The Indian Evidence。The Journal of Futures Markets,25(11),1045-1065。 |
3. | 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。 延伸查詢 |
4. | Hancock, Gerald D.(1993)。Whatever Happened to the Triple Witching Hour?。Financial Analysts Journal,49,66-72。 |
5. | 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。 |
6. | Stoll, H. R.(1988)。Index Futures, Program Trading, and Stock Market Procedures。The Journal of Futures Markets,8(4),391-412。 |
7. | 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。 |
8. | Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2003)。Modeling and forecasting realized volatility。Econometrica,71(2),579-625。 |
9. | Chamberlain, Trevor W.、Cheung, S. C.、Kwan, C. C. Y.(1989)。Expiration-day effects of index futures and options: Some Canadian evidence。Financial Analysts Journal,45(5),67-71。 |
10. | 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。 |
11. | 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。 |
12. | Karolyi, G. A.(1996)。Stock Market Volatility Around Expiration Days in Japan。The Journal of Derivatives,4(2),23-43。 |
13. | 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。 |
14. | 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。 |
15. | Herbst, Anthony F.、Maberly, Edwin D.(1990)。Stock Index Futures, Expiration Day Volatility, and the "Special" Friday Opening: A Note。Journal of Futures Markets,10(3),323-325。 |
16. | Maberly, Edwin D.、Herbst, Anthony F.(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(6),751-754。 |
17. | 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。 |
18. | Stoll, Hans R.、Whaley, Robert E.(1987)。Program Trading and Expiration-day Effects。Financial Analysts Journal,43(2),16-28。 |
19. | Stoll, Hans R.、Whaley, Robert E.(1991)。Expiration-day Effects: What Has Changed?。Financial Analysts Journal,47(1),58-72。 |
20. | Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica,41(1),135-155。 |
21. | Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1(1),3-40。 |
22. | Tauchen, G. E.、Pitts, M.(1983)。The price variability-volume relationship on speculative markets。Econometrica,51(2),485-506。 |
23. | Shleifer, Andrei(1986)。Do Demand Curves for Stocks Slope Down?。Journal of Finance,41(3),579-590。 |
24. | Andersen, Torben G.、Bollerslev, Tim(1997)。Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns。The Journal of Finance,52(3),975-1005。 |
25. | Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2001)。The Distribution of Realized Exchange Rate Volatility。Journal of the American Statistical Association,96(453),42-55。 |
26. | Corredor, P., P. Lechon, and R. Santamaria(2001)。“Option Expiration Effects in Small Markets: The Spanish Stock Exchange”。Journal of Futures Markets,21,905-928。 |
27. | Harris, L. and E. Gurel(1986)。“Price and Volume Effects Associated with Changes in the S&P 500: New Evidence for the Existence of Price Pressures”。Journal of Finance,41,815-829。 |
28. | Klemkosky, R. C.(1978)。The Impact of Option Expirations on Stock Prices。Journal of Financial and Quantitative Analysis,13,507-518。 |
29. | Kling, A.(1987)。“How the Stock Market Can Learn to Live with Index Futures and Options”。Financial Analysts Journal,43,33-39。 |
30. | Martens, M., Y.C. Chang, and S. J. Taylor(2002)。“A Comparison of Seasonal Adjustment Methods When forecasting Intraday Volatility”。Journal of Forecasting Research,25,283-299。 |
31. | Masulis, R.W.(1980)。“Stock Repurchase by Tender Offer: An Analysis of the Causes of Common Stock Price Changes”。Journal of Finance,35,305-321。 |
32. | Pope, P. F. and P. K. Yadav(1992)。“The Impact of Option Expiration on Underlying Stocks: The UK Evidence”。Journal of Business Finance & Accounting,19,no.3,329-344。 |
33. | Schlag, C.(1996)。Expiration Day Effects of Stock Index Derivatives in Germany。European Financial Management,1,69-95。 |
34. | Swidler, S., L. Schwartz, and R. Kristiansen(1994)。“Option Expiration Day Effects in Small Mark: Evidence From the Oslo Stock Exchange”。Jounal of Fiancial Engineering,3,177-195。 |