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題名:Spillovers of Institutional Trading Activity: Evidence from the Spot and Futures Markets
書刊名:期貨與選擇權學刊
作者:李修全 引用關係簡正儀 引用關係廖子翔 引用關係
作者(外文):Lee, Hsiu-chuanChien, Cheng-yiLiao, Tzu-hsiang
出版日期:2014
卷期:7:1
頁次:頁37-72
主題關鍵詞:法人交易外溢現貨市場期貨市場市場狀態Institutional tradingSpilloversSpot marketFutures marketMarket regimes
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:0
  • 點閱點閱:31
期刊論文
1.Chang, C. C.、Hsieh, P. F.、Lai, H. N.(2009)。Do Informed Option Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange。Journal of Banking and Finance,33,757-764。  new window
2.Amihud, Y.、Mendelson, H.(1988)。Liquidity, volatility and exchange automation。Journal of Accounting, Auditing and Finance,3(4),369-395。  new window
3.Bae, K. H.、Yamada, T.、Ito, K.(2006)。How do individual, institutional, and foreign investors win and lose in equity trades? Evidence from Japan。International Review of Finance,6,129-155。  new window
4.Bailey, W.、Mao, C. X.、Sirodom, K.(2012)。Locals, foreigners, and multi-market trading of equities: Intraday evidence from Thailand。Pacific-Basin Finance Journal,20,101-121。  new window
5.Bansal, N.、Connolly, R. A.、Stivers, C.(2010)。Regime-switching in stock index and treasury futures returns and measures of stock marekt stress。Journal of Futures Markets,30,753-779。  new window
6.Bohl, M. T.、Salm, C. A.、Schuppli, M.(2011)。Price discovery and investor structure in stock index futures。Journal of Futures Markets,31(3),282-306。  new window
7.Brennan, M. J.、Chordia, T.、Subrahmanyam, A.、Tong, Q.(2013)。Sell-order liquidity and the cross-section of expected stock returns。Journal of Financial Economics,105,523-541。  new window
8.Chan, K.、Menkveld, A. J.、Yang, Z.(2007)。The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market。Journal of Financial Markets,10,391-415。  new window
9.Chan, K.、Menkveld, A. J.、Yang, Z.(2008)。Information asymmetry and asset prices: Evidence from China Foreign share discount。Journal of Finance,63,159-196。  new window
10.Chang, C. C.、Hsieh, P. F.、Wang, Y. H.(2010)。Information content of options trading volume for future volatility: Evidence from the Taiwan options market。Journal of Banking and Finance,34(1),174-183。  new window
11.Chiang, S.-J.、Tsai, L.-J.、Shu, P.-G.、Chen, S.-L.(2012)。The trading behavior of foreign, domestic institutional, and domestic individual investors: Evidence from the Taiwan stock market。Pacific-Basin Finance Journal,20,745-754。  new window
12.Chiao, C.、Wang, Z. M.、Lai, H. L.(2009)。submission behaviors and opening price behaviors: evidence from an emerging market。Review of Quantitative Finance and Accounting,33,253-278。  new window
13.Chiao, C.、Chen, S. H.、Hu, J. M.(2010)。Informational differences among institutional investors in an increasingly institutionalized market。Japan and World Economy,22,118-129。  new window
14.Corwin, Shane A.、Lipson, Marc L.(2011)。Order characteristics and the sources of commonality in prices and liquidity。Journal of Financial Markets,14(1),47-81。  new window
15.Dasgupta, A.、Prat, A.、Verardo, M.(2011)。The Price Impact of Institutional Herding。Review of Financial Studies,24(3),892-925。  new window
16.Doukas, J. A.、Wang, L.(2013)。Information asymmetry, price discovery, and the Chinese B-share discount puzzle。Pacific-Basin Finance Journal,21,1116-1135。  new window
17.Fung, J. K. W.(2007)。Order imbalance and the pricing of index futures。Journal of Futures Markets,27,697-717。  new window
18.Fung, J. K. W.、Yu, P. L. H.(2007)。Order imbalance and the dynamics of index and futures prices。Journal of Futures Markets,27,1129-1157。  new window
19.Gonzalez, L.、Powell, J. G.、Shi, J.、Wilson, A.(2005)。Two centuries of bull and bear market cycles。International Review of Economics and Finance,14,469-486。  new window
20.Hao, X.、Lee, E.、Piqueira, N.(2013)。Short sales and put options: Where is the bad news first traded?。Journal of Financial Markets,16,308-330。  new window
21.Kalev, P. S.、Nguyen, A. H.、Oh, N. Y.(2008)。Foreign versus local investors: Who knows more? Who make mores?。Journal of Banking and Finance,32,2376-2389。  new window
22.Kang, H. C.、Lee, D. W.、Park, K. S.(2010)。Does the difference in valuation between domestic and foreign investors help explain their distinct holdings of domestic stocks?。Journal of Banking and Finance,34,2886-2896。  new window
23.Ko, K.(2012)。Who wins in the money game? The case of KOSPI 200 futures。Pacific-Basin Finance Journal,20,843-856。  new window
24.Lee, B. S.、Li, W.、Wang, S. S.(2010)。The dynamics of individual and institutional trading on the Shanghai Stock Exchange。Pacific-Basin Finance Journal,18,116-137。  new window
25.Lee, H. C.、Chien, C. Y.、Liao, T. H.(2012)。Commonality in trading activity and futures-cash basis: Evidence from the Taiwan futures and stock markets。Journal of Futures Markets,32,964-994。  new window
26.Lin, M. C.(2011)。Information content for investor groups in TAIEX futures trading。Asia-Pacific Journal of Financial Studies,40,433-466。  new window
27.Mendelson, H.(1985)。Random competitive exchange: Price distributions and gains from trade。Journal of Economic Theory,37,254-280。  new window
28.Oh, N. Y.、Parwada, J. T.、Walter, T. S.(2008)。Investors' trading behavior and performance: Online versus non-online trading in Korea。Pacific-Basin Finance Journal,16,26-43。  new window
29.Phansatan, S.、Powell, J. G.、Tanthanongsakkun, S.、Treepongkaruna, S.(2012)。Investor type trading behavior and trade performance: Evidence from the Thai stock market。Pacific-Basin Finance Journal,20,1-23。  new window
30.Saar, G.(2001)。Price impact asymmetry of block trades: An institutional trading explanation。Review of Financial Studies,14(4),1153-1181。  new window
31.Zhang, M. Y.、Russell, J. R.、Tsay, R. S.(2008)。Determinants of bid and ask quotes and implications for the cost of trading。Journal of Empirical Finance,15,656-678。  new window
32.Watanabe, A.、Watanabe M.(2008)。Time-varying liquidity risk and the cross section of stock returns。Review of Financial Studies,21,2449-2486。  new window
33.Hasbrouck, J.、Seppi, D. J.(2001)。Common Factors in Prices, Order Flows, and Liquidity。Journal of Financial Economics,59(3),383-411。  new window
34.Goyenko R. Y.、Ukhov, A. D.(2009)。Stock and Bond Market Liquidity: A Long-Run Empirical Analysis。Journal of Financial Quantitative Analysis,44(1),189-212。  new window
35.Choe, H.、Kho, B. C.、Stulz, R. M.(2005)。Do domestic investors have an edge? The trading experience of foreign investors in Korea。Review of Financial Studies,18,795-830。  new window
36.Dvořák, T.(2005)。Do domestic investors have an information advantage? Evidence from Indonesia。The Journal of Finance,60(2),817-839。  new window
37.Maheu, John M.、McCurdy, Tomas H.(2000)。Identifying bull and bear markets in stock returns。Journal of Business and Economic Statistics,18(1),100-112。  new window
38.Chou, Robin K.、Wang, Yun-Yi(2009)。Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange。The Journal of Futures Markets,29(12),1102-1129。  new window
39.Chiyachantana, C. N.、Jain, P. K.、Jiang, C.、Wood, R. A.(2004)。International Evidence on Institutional Trading Behavior and Price Impact。The Journal of Finance,59(2),869-898。  new window
40.Froot, K. A.、O'Connell, P. G.、Seasholes, M. S.(2000)。The Portfolio Flows of International Investors。Journal of Financial Economics,59(2),151-193。  new window
41.Chen, S. S.(2011)。Lack of consumer confidence and stock returns。Journal of Empirical Finance,18(2),225-236。  new window
42.Koop, Gary、Pesaran, M. H.、Potter, Simon M.(1996)。Impulse Response Analysis in Nonlinear Multivariate Models。Journal of Econometrics,74(1),119-147。  new window
43.Perez-Quiros, G.、Timmermann, A.(2000)。Firm size and cyclical variations in stock returns。Journal of Finance,55(3),1229-1262。  new window
44.Brennan, Michael J.、Cao, H. Henry(1997)。International Portfolio Investment Flows。Journal of Finance,52(5),1851-1880。  new window
45.Pesaran, M. H.、Shin, Y.(1998)。Generalised Impulse Response Analysis in Linear Multivariate Models。Economics Letters,58(1),17-29。  new window
46.Kumar, Alok、Lee, Charles M. C.(2006)。Retail Investor Sentiment and Return Comovements。Journal of Finance,61(5),2451-2486。  new window
47.Anthony, Joseph H.(1988)。The Interrelation of Stock and Options Market Trading-Volume Data。Journal of Finance,43(4),949-964。  new window
48.Amihud, Yakov、Mendelson, Haim、Lauterbach, Beni(1997)。Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange。Journal of Financial Economics,45(3),365-390。  new window
49.Chan, Kalok S.(1992)。A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market。Review of Financial Studies,5(1),123-152。  new window
50.Chordia, Tarun、Sarkar, Asani、Subrahmanyam, Avanidhar(2005)。An Empirical Analysis of Stock and Bond Market Liquidity。Review of Financial Studies,18(1),85-129。  new window
51.Kamara, Avraham、Lou, Xiaoxia、Sadka, Ronnie(2008)。The divergence of liquidity commonality in the cross-section of stocks。Journal of Financial Economics,89(3),444-466。  new window
52.Subrahmanyam, A.(1991)。A Theory of Trading in Stock Index Futures。Review of Financial Studies,4(1),17-51。  new window
53.Gallant, A. R.、Rossi, P. E.、Tauchen, G.(1992)。Stock Prices and Volume。The Review of Financial Studies,5(2),199-242。  new window
54.Grinblatt, Mark、Keloharju, Matti(2000)。The Investment Behavior and Performance of Various Investor Types: A Study of Finland's Unique Data Set。Journal of Financial Economics,55(1),43-67。  new window
55.Diebold, Francis X.、Yilmaz, Kamil(2009)。Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets。Economic Journal,119(534),158-171。  new window
56.Diebold, Francis X.、Yilmaz, Kamil(2012)。Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers。International Journal of Forecasting,28(1),57-66。  new window
57.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
研究報告
1.Roll, R.、Schwartz, E.、Subrahmanyam, A.(2012)。Trading activity in the equity market and its contingent claims: An empirical investigation。  new window
 
 
 
 
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