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題名:Understanding Liquidity Behavior of the Currency Futures Markets
書刊名:期貨與選擇權學刊
作者:許智翔李修全 引用關係
作者(外文):Hsu, Chih-hsiangLee, Hsiu-chuan
出版日期:2016
卷期:9:2
頁次:頁33-92
主題關鍵詞:外匯期貨流動性流動性共變外溢效果Currency futures liquidityCommonalitySpillovers
原始連結:連回原系統網址new window
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  • 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:0
  • 點閱點閱:36
期刊論文
1.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
2.Karolyi, G. Andrew、Lee, Kuan-Hui、van Dijk, Mathijs A.(2012)。Understanding commonality in liquidity around the world。Journal of Financial Economics,105(1),82-112。  new window
3.Korajczyk, R. A.、Sadka, R.(2008)。Pricing the Commonality across Alternative Measures of Liquidity。Journal of Financial Economics,87(1),45-72。  new window
4.Hameed, Allaudeen、Kang, Wenjin、Viswanathan, S.(2010)。Stock market declines and liquidity。Journal of Finance,65(1),257-293。  new window
5.Chordia, Tarun、Roll, Richard、Subrahmanyam, Avanidhar(2000)。Commonality in Liquidity。Journal of Financial Economics,56(1),3-28。  new window
6.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
7.Naes, R.、Skjeltorp, J. A.、Odegaard, B. A.(2011)。Stock Market Liquidity and the Business Cycle。Journal of Finance,66(1),139-176。  new window
8.Cao, Charles、Petrasek, Lubomir(2014)。Liquidity Risk and Institutional Ownership。Journal of Financial Markets,21,76-97。  new window
9.Bansal, Naresh、Connolly Robert、Stivers Chris(2010)。Regime-Switching in Stock Index and Treasury Futures Returns and Measures of Stock Market Stress。Journal of Futures Markets,30,753-779。  new window
10.Banti, Chiara、Phylaktis, Kate(2015)。FX Market Liquidity, Funding Constraints and Capital Flows。Journal of International Money and Finance,56,114-134。  new window
11.Banti, Chiara、Phylaktis, Kate、Sarno, Lucio(2012)。Global Liquidity Risk in the Foreign Exchange Market。Journal of International Money and Finance,31(2),267-291。  new window
12.Chen, Yong(2011)。Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry。Journal of Financial and Quantitative Analysis,46(4),1073-1106。  new window
13.Chung, Kee H.、Chuwonganant, Chairat(2014)。Uncertainty, Market Structure, and Liquidity。Journal of Financial Economics,113,476-499。  new window
14.Coulton, Jeffrey J.、Dinh, Tami、Jackson, Andrew B.(2015)。The Impact of Sentiment on Price Discovery。Accounting & Finance, Forthcoming,56(3),669–694。  new window
15.Domowitz, Ian、Hansch, Oliver、Wang, Xiaoxin(2005)。Liquidity Commonality and Return Comovement。Journal of Financial Markets,8,351-376。  new window
16.Florackis, Chris、Giorgioni, Gianluigi、Kostakis, Alexandras、Milas, Costas(2014)。On Stock Market Illiquidity and Real-Time GDP Growth。Journal of International Money and Finance,44,210-229。  new window
17.Frino, Alex、Mollica, Vito、Zhou, Zeyang(2014)。Commonality in Liquidity Across International Borders: Evidence from Futures Markets。Journal of Futures Markets,34,807-818。  new window
18.Gefang, Deborah、Koop, Gary、Potter, Simon M.(2011)。Understanding Liquidity and Credit Risks in the Financial Crisis。Journal of Empirical Finance,18(5),903-914。  new window
19.Hasbrouck, Joel、Seppi, Duane J.(2001)。Common Factors in Prices, Order Flows, and Liquidity。Journal of Financial Economics,59(3),383-411。  new window
20.Kamaukh, Nina、Ranaldo, Angelo、Soderlind, Paul(2015)。Understanding FX Liquidity。Review of Financial Studies,28,3073-3108。  new window
21.Koop, Gary M.、Pesaran, M. Hashem、Potter, Simon M.(1996)。Impulse Response Analysis in Non-linear Multivariate Models。Journal of Econometrics,74(1),119-147。  new window
22.Lee, Hsiu-Chuan、Tseng, Yung-Ching、Yang, Chung-Jen(2014)。Commonality in Liquidity, Liquidity Distribution, and Financial Crisis: Evidence from Country ETFs。Pacific-Basin Finance Journal,29,35-58。  new window
23.Mancini, Liriano、Ranaldo, Angelo、Wrampelmeyer, Jan A. N.(2013)。Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums。Journal of Finance,68,1805-1841。  new window
24.Marshall, Ben R.、Nguyen, Nhut H.、Visaltanachoti, Nuttawat(2013)。Liquidity Commonality in Commodities。Journal of Banking and Finance,37,11-20。  new window
25.Novotny, Jan、Petrov, Dmitri、Urga, Giovanni(2015)。Trading Price Jump Clusters in Foreign Exchange Markets。Journal of Financial Markets,24,66-92。  new window
26.Nyborg, Kjell G.、Ostberg, Per(2014)。Money and Liquidity in Financial Markets。Journal of Financial Economics,112,30-52。  new window
27.Pukthuanthong, Kuntara、Roll, Richard(2009)。Global Market Integration: An Alternative Measure and Its Application。Journal of Financial Economics,94,214-232。  new window
28.Roll, Richard、Schwartz, Eduardo、Subrahmanyam, Avanidhar(2014)。Trading Activity in the Equity Market and its Contingent Claims: An Empirical Investigation。Journal of Empirical Finance,28,13-35。  new window
29.Rösch, Christoph G.、Kaserer, Christoph(2013)。Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality。Journal of Banking and Finance,37(7),2284-2302。  new window
30.Rothig, Andreas(2012)。Cross-Speculation in Currency Futures Markets。International Journal of Finance and Economics,17,272-278。  new window
31.Syamala, Sudhakar R.、Reddy, V. Nagi、Goyal, Abhinav(2014)。Commonality in Liquidity: An Empirical Examination of Emerging Order-Driven Equity and Derivatives Market。Journal of International Financial Markets, Institutions and Money,33,317-334。  new window
32.Tomell, Aaron、Yuan, Chunming(2012)。Speculation and Hedging in the Currency Futures Markets: Are they Informative to the Spot Exchange Rates。Journal of Futures Markets,32,122-151。  new window
33.Wang, Changyun、Yu, Min(2004)。Trading Activity and Price Reversals in Futures Markets。Journal of Banking and Finance,28(6),1337-1361。  new window
34.Wang, Jiangxin(2013)。Liquidity Commonality among Asian Equity Markets。Pacific-Basin Finance Journal,21,1209-1231。  new window
35.Stoll, Hans R.(1978)。The Supply of Dealer Services in Securities Markets。Journal of Finance,33(4),1133-1151。  new window
36.Chordia, Tarun、Roll, Richard、Subrahmanyam, Avanidhar(2001)。Market Liquidity and Trading Activity。Journal of Finance,56(2),501-530。  new window
37.Pesaran, Hashem H.、Shin, Yongcheol(1998)。Generalized impulse response analysis in linear multivariate models。Economic Letters,58(1),17-29。  new window
38.Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。The Journal of Finance,61(4),1645-1680。  new window
39.Brunnermeier, Markus K.、Pedersen, Lasse Heje(2009)。Market Liquidity and Funding Liquidity。Review of Financial Studies,22(6),2201-2238。  new window
40.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
41.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
 
 
 
 
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