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題名:市場狀態和臺灣選擇權交易活動與股價關係之探討
書刊名:應用經濟論叢
作者:郭玟秀 引用關係
作者(外文):Kuo, Wen-hsiu
出版日期:2014
卷期:95
頁次:頁101-145
主題關鍵詞:市場狀態股價指數選擇權交易不平衡交易人類別價格效果Market stateStock index optionTrading imbalanceTrader typesPrice impact
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(2) 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:2
  • 共同引用共同引用:40
  • 點閱點閱:88
期刊論文
1.Evans, Martin D. D.、Lyons, Richard K.(2002)。Order Flow and Exchange Rate Dynamics。Journal of Political Economy,110(1),170-180。  new window
2.張巧宜、張傳盛(20111100)。多空期間投資人情緒與臺股期貨報酬關係。期貨與選擇權學刊,4(2),113-138。new window  延伸查詢new window
3.Brennan, M. J.、Cao, H. H.(1996)。Information, Trade, and Derivative Securities。Review of Financial Studies,9(1),163-208。  new window
4.Cao, M.、Wei, J.(2010)。Option Market Liquidity: Commonality and Other Characteristics。Journal of Financial Markets,13,20-48。  new window
5.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
6.Cherian, J. A.、Weng, W. Y.(1999)。An Empirical Analysis of Directional and Volatility Trading in Options Market。The Journal of Derivative,7,53-65。  new window
7.Chou, Robin K.、Wang, George H. K.、Wang, Yun-Yi、Bjursell, Johan(2011)。The Impacts of Large Trades by Trader Types on Intraday Futures Prices: Evidence from the Taiwan Futures Exchange。Pacific-Basin Finance Journal,19(1),41-70。  new window
8.Frino, A.、Bjursell, J.、Wang, G. H.、Lepone, A.(2008)。Large Trades and Intraday Futures Price Behavior。Journal of Futures Markets,28(12),1147-1181。  new window
9.Johnson, Travis L.、So, Eric C.(2012)。The Option to Stock Volume Ratio and Future Returns。Journal of Financial Economics,106(2),262-286。  new window
10.Roll, R.、Schwartz, E.、Subrahmanyam, A.(2010)。O/S: The Relative Trading Activity in Options and Stock。Journal of Financial Economics,96(1),1-17。  new window
11.Wang, C.(2001)。Investors Sentiment and Return Predictability in Agricultural Futures Market。Journal of Futures Markets,21,929-952。  new window
12.Wermers, R.(1999)。Mutual Fund Trading and the Impact on Stock Prices。The Journal of Finance,54,581-622。  new window
13.Xing, Yuhang、Zhang, Xiaoyan、Zhao, Rui(2010)。What Does the Individual Option Volatility Smirk Tell Us about Future Equity Returns?。Journal of Financial and Quantitative Analysis,45(3),641-662。  new window
14.Chan, K.、Chung, Y. P.、Fong, W.(2002)。The informational role of stock and option volume。Review of Financial Studies,15(4),1049-1075。  new window
15.Poteshman, Allen M.(2006)。Unusual Option Market Activity and the Terrorist Attacks of September 11, 2001。Journal of Business,79,1703-1726。  new window
16.Sias, R. W.、Starks, L. T.、Tinic, S. M.(2001)。Is Noise Trader Risk Priced?。Journal of Financial Research,24(3),311-329。  new window
17.Dennis, P.、Mayhew, S.(2002)。Risk-neutral Skewness: Evidence from Stock Options。Journal of Financial and Quantitative Analysis,37,471-493。  new window
18.Cremers, Martijn、Weinbaum, David(2010)。Deviations from Put-call Parity and Stock Return Predictability。Journal of Financial and Quantitative Analysis,45(2),335-367。  new window
19.Stoll, Hans R.(2000)。Presidential Address: Friction。The Journal of Finance,55(4),1479-1514。  new window
20.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
21.林美珍、馬麗菁(20021000)。投資機構交易資訊與市場報酬之互動關係。證券市場發展,14(3)=55,113-143。new window  延伸查詢new window
22.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
23.Kamesaka, A.、Nofsinger, J. R.、Kawakita, H.(2003)。Investment Patterns and Performance of Investors Groups in Japan。Pacific-Basin Finance Journal,11,1-22。  new window
24.Chakravarty, Sugato、Gulen, Huseyin、Mayhew, Stewart(2004)。Informed trading in stock and option markets。Journal of Finance,59,1235-1258。  new window
25.Black, F.(1975)。Facts and fantasy in the use of options。Financial Analysts Journal,31,36-41。  new window
26.Cao, C. Q.、Chen, Z.、Griffin, J.(2005)。Informational Content of Option Volume Prior to Takeovers。Journal of Business,78(3),1073-1109。  new window
27.Schlag, Christian、Stoll, Hans(2005)。Price Impacts of Options Volume。Journal of Financial Markets,8(1),69-87。  new window
28.Stephan, J. A.、Whaley, R. E.(1990)。Intraday Price Change and Tading Volume Relations in the Stock and Stock Option Markets。The Journal of Finance,45,191-220。  new window
29.Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1996)。Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets。Journal of Futures Markets,16(4),353-387。  new window
30.Bessembinder, Hendrik、Seguin, Paul J.(1993)。Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets。Journal of Financial and Quantitative Analysis,28(1),21-39。  new window
31.Chen, Gongmeng、Firth, M.、Rui, O. M.(2001)。The dynamic relation between stock returns, trading volume, and volatility。The Financial Review,36(3),153-174。  new window
32.Anthony, J. H.(1988)。The Interrelation of Stock and Option Market Trading-Volume Data。Journal of Finance,43,949-964。  new window
33.Admati, A. R.、Pfleiderer, P.(1988)。A Theory of Intraday Patterns: Volume and Price Variability。Review of Financial Studies,1(1),3-40。  new window
34.Chordia, T.、Roll, R.、Subrahmanyam, A.(2002)。Order imbalance, liquidity and market returns。Journal of Financial Economics,65(1),111-130。  new window
35.游智賢、賴育志(19991200)。外資資訊領先地位之探討。中國財務學刊,7(3),1-26。new window  延伸查詢new window
36.劉祥熹、李崇主(20001000)。臺灣地區外資、匯率與股價關聯性之研究--VAR與VECM之應用。證券市場發展,12(3)=47,1-41。new window  延伸查詢new window
37.Manaster, S.、Rendleman, R. J. Jr.(1982)。Option Prices as Predictors of Equilibrium Stock Prices。Journal of Finance,37(4),1043-1057。  new window
38.Johnson, Herb、Chung, Y. Peter、Chan, Kalok(1993)。Why option prices lag stock prices: A trading-based explanation。Journal of Finance,48,1957-1967。  new window
39.Copeland, T. E.(1976)。A model of asset trading under the assumption of sequential information arrival。Journal of Finance,31,1149-1168。  new window
40.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
41.Pan, J.、Poteshman, A. M.(2006)。The Information in Option Volume for Future Stock Prices。Review of Financial Studies,19,871-908。  new window
42.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
43.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
44.de Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Noise trader risk in financial markets。Journal of Political Economy,98(4),703-738。  new window
45.Blume, Lawrence、Easley, David、O'Hara, Maureen(1994)。Market Statistics and Technical Analysis: The Role of Volume。The Journal of Finance,49(1),153-181。  new window
46.Chiang, Raymond、Fong, Wai-Ming(2001)。Relative informational efficiency of cash, futures, and options markets: the case of an emerging market。Journal of Banking and Finance,25(2),355-375。  new window
47.Fabozzi, Frank J.、Francis, Jack C.(1977)。Stability tests for alphas and betas over bull and bear market conditions。Journal of Finance,32(4),1093-1099。  new window
48.Griffin, John M.、Harris, Jeffrey H.、Topaloglu, Selim(2003)。The dynamics of institutional and individual trading。The Journal of Finance,58(6),2285-2320。  new window
49.Kaniel, Ron、Saar, Gideon、Titman, Sheridan(2008)。Individual investor trading and stock returns。Journal of Finance,63(1),273-310。  new window
50.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
 
 
 
 
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