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題名:指數期貨結算對股市從眾行為之影響
書刊名:期貨與選擇權學刊
作者:闕河士 引用關係方怡 引用關係王怡婷
作者(外文):Chueh, HoraceFang, YiWang, Yi-ting
出版日期:2013
卷期:6:2
頁次:頁1-21
主題關鍵詞:指數期貨結算效應從眾行為Stock index futuresSettlement effectsHerding behavior
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(1) 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:1
  • 共同引用共同引用:14
  • 點閱點閱:98
期刊論文
1.黃玉娟、詹淑慧、陳則學(2012)。新加坡摩根台股期貨到期日效應之因素探討:套利或操縱?。管理與系統,19(4),761-782。new window  延伸查詢new window
2.Bia kowski、J drzej、Jacek Jakubowski(2008)。Stock Index Futures Arbitrage in Emerging Markets: Polish evidence。International Review of Financial Analysis,17(2),363-381。  new window
3.Demirer, Riza、Kutan, Ali M.(2006)。Does herding behavior exist in Chinese stock market。Journal of International Financial Markets, Institutions and Money,16(2),123-142。  new window
4.Feinstein, Steven P.、Goetzmann, William N.(1988)。The effect of the 'triple witching hour' on stock market volatility。Economic Review,73,2-18。  new window
5.Kapusuzoglu, Ayhan(2011)。Herding in the Istanbul Stock Exchange (ISE): A case of behavioral finance。African Journal of Business Management,5(27),11210-11218。  new window
6.Kremer, Stephanie、Nautz, Dieter(2013)。Causes and consequences of short-term institutional herding。Journal of Banking & Finance,37(5),1676-1686。  new window
7.Lee, Bong Soo、Li, Wei、Wang, Steven Shuye(2010)。The dynamics of individual and institutional trading on the Shanghai Stock Exchange。Pacific-Basin Finance Journal,18(1),116-137。  new window
8.Tan, Lin、Chiang, Thomas C.、Mason, Joseph R.、Nelling, Edward(2008)。Herding behavior in Chinese stock markets: An examination of A and B shares。Pacific-Basin Finance Journal,16(1/2),61-77。  new window
9.Wylie, Sam.(2005)。Fund manager herding: A test of the accuracy of empirical results using U.K Data。Journal of Business,78(1),381-403。  new window
10.游智賢(2002)。機構持股、從眾與風險分散。風險管理學報,4(2),1-29。  延伸查詢new window
11.謝文良、曲靜芳(2009)。摩根台指期貨之到期日效應。管理評論,28(1),1-22。new window  延伸查詢new window
12.Neal, Robert. A.(1996)。Direct tests of index arbitrage models。Journal of Financial & Quantitative Analysis,31(4),541-562。  new window
13.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
14.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。  new window
15.Hsieh, W. –L. G.(2009)。Expiration-Day Effects on Individual Stocks and the Overall Market: Evidence from Taiwan。The Journal of Futures Markets,29(10),920-945。  new window
16.Caparrelli, Franco、D'Arcangelis, A. M.、Cassuto, A.(2004)。Herding in the Italian stock market: A case of behavioral finance。Journal of Behavioral Finance,5(4),222-230。  new window
17.Kim, Woochan、Wei, Shang-Jin(2002)。Foreign portfolio investors before and during a crisis。Journal of International Economics,56(1),77-96。  new window
18.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
19.Edwards, Franklin R.(1988)。Does Futures Trading Increase Stock Market Volatility?。Financial Analysts Journal,44,63-69。  new window
20.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。  new window
21.Bikhchandani, Sushil、Sharma, Sunil(2001)。Herd behavior in financial markets: A review。IMF Staff Papers,47(3),279-310。  new window
22.Stoll, Hans R.、Whaley, Robert E.(1987)。Program Trading and Expiration-day Effects。Financial Analysts Journal,43(2),16-28。  new window
23.Edwards, Franklin R.(1988)。Futures trading and cash market volatility: Stock index and interest rate futures。Journal of Futures Markets,8(4),421-439。  new window
24.Lee, Yi-Tsung、Lin, Ji-Chai、Liu, Yu-Jane(1999)。Trading patterns of big versus small players in an emerging market: An empirical analysis。Journal of Banking & Finance,23(5),701-725。  new window
25.Nofsinger, John R.、Sias, Richard W.(1999)。Herding and Feedback Trading by Institutional and Individual Investors。The Journal of Finance,54(6),2263-2295。  new window
26.Scharfstein, David S.、Stein, Jeremy C.(1990)。Herd Behavior and Investment。The American Economic Review,80(3),465-479。  new window
27.Grinblatt, Mark S.、Keloharju, Matti(2001)。What makes investors trade?。Journal of Finance,56(2),589-616。  new window
28.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1992)。The Impact of Institutional Trading on Stock Prices。Journal of Financial Economics,32(1),23-43。  new window
29.Christie, William G.、Huang, Roger D.(1995)。Following the pied piper: Do individual returns herd around the market?。Financial Analysts Journal,51(4),31-37。  new window
30.Chang, Eric C.、Cheng, Joseph W.、Khorana, Ajay(2000)。An examination of herd behavior in equity markets: An international perspective。Journal of Banking and Finance,24(10),1651-1679。  new window
學位論文
1.王奕翔(2006)。台股指數期貨與選擇權到期效應形成原因(碩士論文)。國立高雄第一科技大學。  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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