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題名:The Relative Trading Activity in Options and Stock: Evidences from the Taiwan Stock Exchange
書刊名:期貨與選擇權學刊
作者:謝佩芳張傳章 引用關係賴弘能許為森
作者(外文):Hsieh, Pei-fangChang, Chuang-changLai, Hung-nengHsu, Wei-sen
出版日期:2017
卷期:10:1
頁次:頁1-39
主題關鍵詞:選擇權對標的股票指數交易量比臺股指數預測能力O/SRelative activityTAIEX indexPrediction
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:0
  • 點閱點閱:14
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.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
3.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
4.Richards, A.(2005)。Big fish in small ponds: The trading behavior and price impact of foreign investors in Asian emerging equity markets。Journal of Financial and Quantitative Analysis,40,1-27。  new window
5.Ni, S. X.、Pan, J.、Poteshman, A. M.(2008)。Volatility information trading in the option market。Journal of Finance,63,1059-1091。  new window
6.Chang, C. C.、Hsieh, P. F.、Wang, Y. H.(2010)。Information content of options trading volume for future volatility: evidence from Taiwan options market。Journal of Banking and Finance,34,174-183。  new window
7.Griffin, J. M.、Nardari, F.、Stulz, R. M.(2004)。Are daily cross-border equity flows pushed or pulled?。Review of Economics and Statistics,86,641-657。  new window
8.Cao, M.、Wei, J.(2008)。Commonality in Liquidity: Evidence from the Option Market。Journal of Financial Markets,13,20-48。  new window
9.Ge, Li、Lin, Tse-Chun、Pearson, Neil D.(2016)。Why Does the Option to Stock Volume Ratio Predict Stock Returns?。Journal of Financial Economics,120(3),601-622。  new window
10.Lee, Y. H.、Wang, D. K.(2016)。Information Content of Investor Trading Behavior: Evidence from Taiwan Index Options Market。Pacific-Basin Finance Journal,38,149-160。  new window
11.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
12.Pan, J.、Poteshman, A. M.(2006)。The Information in Option Volume for Future Stock Prices。Review of Financial Studies,19,871-908。  new window
13.Lo, Andrew W.、MacKinlay, A. Craig(1990)。When Are Contrarian Profits Due to Stock Market Overreaction?。The Review of Financial Studies,3(2),175-205。  new window
14.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance,46(2),733-746。  new window
15.Alizadeh, Sassan、Brandt, Michael W.、Diebold, Francis X.(2002)。Range-based Estimation of Stochastic Volatility Models。The Journal of Finance,57(3),1047-1091。  new window
 
 
 
 
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