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題名:Information Content of Investors' Demand for Volatility
書刊名:期貨與選擇權學刊
作者:馮紹權蔡蒔銓
作者(外文):Fung, ScottTsai, Shih-chuan
出版日期:2017
卷期:10:3
頁次:頁1-44
主題關鍵詞:選擇權交易波動度異質投資人Options tradingVolatilityHeterogeneous investors
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:8
期刊論文
1.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
2.Foucault, T.、Kadan, O.、Kandel, E.(2005)。Limit Order Book as A Market for Liquidity。Review of Financial Studies,18(4),1171-1217。  new window
3.Ni, S. X.、Pan, J.、Poteshman, A. M.(2008)。Volatility information trading in the option market。Journal of Finance,63,1059-1091。  new window
4.Pan, J.、Poteshman, A. M.(2006)。The information in option volume for future stock Price。Review of Financial Studies,19,871-908。  new window
5.Tsai, S. C.(2014)。Individuals' Trading Prior to Earnings Announcements in the Taiwan Stock Market。Journal of Business Finance and Accounting,41(9),1124-1156。  new window
6.Tsai, S. C.(2013)。Investors' Information Advantage and Order Choices in an Order-driven Market。Pacific-Basin Finance Journal,21(1),932-951。  new window
7.Ahn, Hee-Joon、Bae, Kee-Hong、Chan, Kalok(2001)。Limit Orders, Depth and Volatility: Evidence from the Stock Exchange of Hong Kong。Journal of Finance,56(2),767-788。  new window
8.Ranaldo, Angelo(2004)。Order Aggressiveness in Limit Order Book Markets。Journal of Financial Markets,7(1),53-74。  new window
9.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
10.Barber, Brad M.、Lee, Yi-Tsung、Liu, Yu-Jane、Odean, Terrance(2009)。Just How Much Do Individual Investors Lose by Trading?。The Review of Financial Studies,22(2),609-632。  new window
11.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
12.Odean, Terrance(1999)。Do Investors Trade too Much?。American Economic Review,89(5),1279-1298。  new window
 
 
 
 
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