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題名:臺指選擇權日內交易時距資訊內涵
書刊名:全球商管研究
作者:吳佩珊呂曉蕙陳盈君
作者(外文):Wu, Pei-shanLu, Hsiao-huiChen, Ying-jun
出版日期:2011
卷期:6:1
頁次:頁39-59
主題關鍵詞:機構投資人散戶交易時距臺指選擇權ACD模型Institutional investorsIndividual investorsTrading durationTXO optionsACD 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(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:7
  • 點閱點閱:120
期刊論文
1.Diamond, Douglas W.、Verrecchia, Robert E.(1987)。Constraints on short-selling and asset price adjustment to private information。Journal of Financial Economics,18(2),277-311。  new window
2.Engle, R. F.、Russell, J. R.(1998)。Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data。Transaction Data,Econometrica,66(5),1127-1162。  new window
3.Easley, David、O'Hara, Maureen(1992)。Time and the Process of Security Price Adjustment。The Journal of Finance,47(2),577-605。  new window
4.Abraham, Abraham、Ikenberry, David L.(1994)。The Individual Investor and the Weekend Effect。Journal of Financial and Quantitative Analysis,29(2),263-277。  new window
5.Nofsinger, John R.(2001)。The Impact of Public Information on Investors。Journal of Banking and Finance,25(7),1339-1366。  new window
6.Rubin, Izhak(1972)。Regular point processes and their detection。IEEE Transactions on Information Theory,18,547-557.。  new window
7.Ma, Tai、Lin, Yaling、Chen, Hsiu-Kuei(2008)。Are Investors More Aggressive in Transparent Markets?。Asia-Pacific Journal of Financial Studies,37(2),343-380。  new window
8.Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis,22(1),109-126。  new window
9.Easley, David、O'Hara, Maureen、Srinivas, P. S.(1998)。Option volume and stock prices: Evidence on where informed traders trade。Journal of Finance,53(2),431-465。  new window
10.Pan, J.、Poteshman, A. M.(2006)。The Information in Option Volume for Future Stock Prices。Review of Financial Studies,19,871-908。  new window
11.Barber, Brad M.、Odean, Terrance(2000)。Trading is hazardous to your wealth: The common stock investment performance of individual investors。The Journal of Finance,55(2),773-806。  new window
12.Chakravarty, Sugato(2001)。Stealth-trading: Which traders' trades move stock prices?。Journal of Financial Economics,61(2),289-307。  new window
13.Grossman, Sanford J.、Stiglitz, Joseph E.(1980)。On the Impossibility of Informationally Efficient Markets。The American Economic Review,70(3),393-408。  new window
14.李顯儀、吳幸姬、王元章(20060200)。機構投資人的買賣行為與公共訊息認知差異之研究。臺灣管理學刊,6(1),105-127。new window  延伸查詢new window
15.Gervais, Simon、Odean, Terrance(2001)。Learning to be Overconfident。Review of Financial Studies,14(1),1-27。  new window
16.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
17.Daniel, Kent D.、Hirshleifer, David A.、Subrahmanyam, Avanidhar(1998)。Investor Psychology and Security Market under- and Overreactions。The Journal of Finance,53(6),1839-1885。  new window
18.Dufour, A.、Engle, R. F.(2000)。Time and the Price Impact of a Trade。The Journal of Finance,55,2467-2498。  new window
19.Engle, R. F.、Russell, J. R.(1997)。Forecasting the Fequency of Changes in Quoted Foreign Exchange Prices with the Autoregressive Conditional Duration Model。Journal of Empirical Finacne,4,187-212。  new window
20.Eom, K. S.、Hahn, S. B.(2005)。Traders' Strategic Behavior in an index option Market。The Journal of Futures Markets,25(2),105-133。  new window
21.George, T. J.、Longstaff, F. A.(1993)。Bid-Ask spreads and trading activity in the S&P100 index options market。Journal of Financial and Quantitative Analysis,28(3),381-397。  new window
22.Hawkes, A. G.(1972)。Spectra of Some Mutually Exciting Point Processes With Associated Variable。Stochastic Point Processes,261-271。  new window
23.Hawkers, A. G.(1971)。Spectra of Some Self-exciting and Mutually Exciting Point Processer。Biometrika,58,83-90。  new window
24.Zhang, M. Y.、Russell, J. R.、Tsay, R. T.(1999)。A Nonlinear Autoregressive Conditioal Duration Model with Applications to Financial Transaction Data。Journal of Econometrics,104-141。  new window
25.Engle, R. F.(2000)。The Econometries of Ultra-high-frequency data。Econometrica,68,1-22。  new window
研究報告
1.Cho, Young-Hye、Robert, F. Engle.(1999)。Modeling the Impacts of Market Activity on Bid-ask Spreads in the Option Market。  new window
2.Hamelink, f.(1998)。On the specification of duration between price changes and the predictability of frequency returns: an application to the Frence CAC40。  new window
學位論文
1.謝佩吟(2006)。探討極端金融波動發生時距之研究--以ACD模式為研究方法。國立交通大學。  延伸查詢new window
2.卓效德(2004)。投資人交易行為對台灣期貨市場之價格波動性與報酬率之影。中原大學。  延伸查詢new window
3.施秀美(2003)。機構投資人與散戶於股市巨幅震盪時之交易行為分析--以台灣股票市場為例。國立中正大學。  延伸查詢new window
4.洪福彬(2008)。台灣股票市場從眾行為之研究。大葉大學。new window  延伸查詢new window
圖書
1.Keynes, John M.(1936)。The General Theory of Employment, Interest, and Money。London, UK:A Harbinger Book:Palgrave Macmillan。  new window
 
 
 
 
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