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題名:VIX期貨與VIX交易所交易商品價格發現的實證研究
書刊名:期貨與選擇權學刊
作者:洪瑞成 引用關係邱建良 引用關係葉宗翰
作者(外文):Hung, Jui-chengChiu, Chien-liangYeh, Tsung-han
出版日期:2018
卷期:11:1
頁次:頁39-73
主題關鍵詞:VIX期貨價格發現修正後資訊比例模型VIX ETPsVECMVIX futuresPrice discoveryModified information share
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(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:33
  • 點閱點閱:36
期刊論文
1.Chen, Y. L.、Gau, Y. F.(2010)。News announcements and price discovery in foreign exchange spot and futures markets。Journal of Banking and Finance,34,1628-1636。  new window
2.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2003)。Modeling and forecasting realized volatility。Econometrica,71(2),579-625。  new window
3.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
4.Lien, Donald、Shrestha, Keshab(2009)。A new information share measure。Journal of Futures Markets,29(4),377-395。  new window
5.Gonzalo, Jesus、Granger, Clive W. J.(1995)。Estimation of Common Long-Memory Components in Cointegrated Systems。Journal of Business and Economic Statistics,13(1),27-35。  new window
6.Fernandes, M.、Medeiros, M. C.、Scharth, M.(2014)。Modeling and predicting the CBOE market volatility index。Journal of Banking and Finance,40,1-10。  new window
7.Ivanov, S. I.(2013)。The influence of ETFs on the Price Discovery of Gold, Silver and Oil。Journal of Economics and Finance,37(3),453-462。  new window
8.Shu, J.、Zhang, J. E.(2012)。Causality in The VIX Futures Market。Journal of Futures Markets,32(1),24-46。  new window
9.Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。The Journal of Finance,50(4),1175-1199。  new window
10.Baillie, R. T.、Booth, G. G.、Tse, Y.、Zabotina, T.(2002)。Price Discovery and Common Factor Models。Journal of Financial Markets,5(3),309-321。  new window
11.Yang, Jian、Yang, Zihui、Zhou, Yinggang(2012)。Intraday Price Discovery and Volatility Transmission in Stock Index and Stock Index Futures Markets: Evidence from China。Journal of Futures Markets,32(2),99-121。  new window
12.Shyy, Gang、Vijayraghavan, Vasumathi、Scott-Quinn, Brian(1996)。A Further Investigation of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market with the Use of Bid/ Ask Quotes: the Case of France。Journal of Futures Markets,16(4),405-420。  new window
13.謝文良(20021200)。價格發現、資訊傳遞、與市場整合--臺股期貨市場之研究。財務金融學刊,10(3),1-31。new window  延伸查詢new window
14.Engle, R. F.、Granger, C. W. J.(1987)。Co-integration Error Correction: Representation, Estimation, and Testing。Econometrica,55,251-276。  new window
15.Hou, Y.、Li, S.(2013)。Price discovery in Chinese stock index futures market: New evidence based on intraday data。Asia-Pacific Financial Market,20(1),49-70。  new window
16.Brooks, C.、Rew, A. G.、Ritson, S.(2001)。A trading strategy based on the lead-lag relationship between the spot index and futures contract for the FTSE 100。International Journal of Forecasting,17(1),31-44。  new window
17.Adämmer, P.、Bohl, M. T.、Gross, C.(2016)。Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?。Journal of Futures Markets,36(9),851-869。  new window
18.Bollen, N. P.、O'Neill, M. J.、Whaley , R. E.(2017)。Tail Wags Dog: Intraday Price Discovery in VIX Markets。Journal of Futures Markets,37(5),431-451。  new window
19.Bordonado, C.、Molnár, P.、Samdal, S. R.(2017)。VIX Exchange Traded Products: Price Discovery, Hedging, and Trading Strategy。Journal of Futures Markets,37(2),164-183。  new window
20.Chan, K.(1992)。A Further Ananlysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market。Review of Financial Studies,5,123-152。  new window
21.Chen, W. P.、Chung, H.、Lien, D.(2016)。Price Discovery in the S&P 500 Index Derivatives Markets。International Review of Economics & Finance,45,438-452。  new window
22.Chen, Y. L.、Gau, Y. F.(2009)。Tick Sizes and Relative Rates of Price Discovery in Stock, Futures, and Options Markets: Evidence from the Taiwan Stock Exchange。Journal of Futures Markets,29(1),74-93。  new window
23.Chu, Q. C.、Hsieh, W. L. G.、Tse, Y.(1999)。Price Discovery on the S&P 500 Index Markets: Analysis of Spot Index, Index Futures, and SPDRs。International Review of Financial Analysis,8(1),21-34。  new window
24.Deng, G.、McCann, C. J.、Wang, O.(2012)。Are VIX Futures ETPs Effective Hedges?。The Journal of Index Investing,3(3),35-48。  new window
25.Frijns, B.、Tourani‐Rad, A.、Webb, R. I.(2016)。On the Intraday Relation between the VIX and its Futures。Journal of Futures Markets,36(9),870-886。  new window
26.Park, C. Y.、Mercado, R.、Choi, J.、Lim, H.(2017)。Price Discovery and Foreign Participation in Korea's Government Bond Futures and Cash Markets。Journal of Futures Markets,37(1),23-51。  new window
27.Park, Y. H.(2015)。Volatility-of-Volatility and Tail Risk Hedging Returns。Journal of Financial Markets,26,38-63。  new window
28.Parkinson, M.(1980)。The Extreme Value Method for Estimating the Variance of the Rtae of Return。Journal of Business,53(1),61-65。  new window
29.Wang, Y. Y.、Chang, C.、Lee, W. C.(2013)。Price Discovery between Regular and Mini Index Futures in Taiwan Futures Exchange。International Review of Economics and Finance,27,224-237。  new window
30.Demsetz, Harold(1968)。The cost of Transacting。Quarterly Journal of Economics,82(1),33-53。  new window
31.Barndorff-Nielsen, Ole E.、Shephard, Neil(2002)。Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models。Journal of the Royal Statistical Society. Series B,64(2),253-280。  new window
32.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Ebens, Heiko(2001)。The Distribution of Realised Stock Return Volatility。Journal of Financial Economics,61(1),43-76。  new window
33.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
34.Amihud, Yakov(2002)。Illiquidity and Stock Returns: Cross- section and Time-series Effects。Journal of Financial Markets,5(1),31-56。  new window
研究報告
1.Fernandez-Perez, A.、Frijns, B.、Gafiatullina, I.、Tourani-Rad, A.(2016)。Time Varying Price Discovery in VIX Exchange Traded Notes: A Tale of Retail vs. Institutional Trades。  new window
其他
1.Rosenberg, J. V.,Traub, L. G.(2008)。Price Discovery in the Foreign Currency Futures and Spot Market。  new window
 
 
 
 
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