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題名:Do Intraday Large Price Changes Matter for Trading Index Futures? Evidence from China Futures Markets
書刊名:財務金融學刊
作者:戴敏育黃寶玉 引用關係倪衍森 引用關係陳育欣
作者(外文):Day, Min-yuhHuang, PaoyuNi, YensenChen, Yuhsin
出版日期:2018
卷期:26:2
頁次:頁139-174
主題關鍵詞:指數期貨日內交易投資策略大幅價格變動Index futuresDay tradingInvestment strategyLarge price changes
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:7
期刊論文
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36.Tai, Meng-Yi、Chao, Chi-Chur、Hu, Shih-Wen、Lai, Ching-Chong、Wang, Vey(2014)。Monetary Policy and Price Dynamics in a Commodity Futures Market。International Review of Economics and Finance,29,372-379。  new window
37.Chou, Robin K.、Wang, George H.、Wang, Yun-Yi(2015)。The impacts of individual day trading strategies on market liquidity and volatility: Evidence from the Taiwan Index Futures Market。Journal of Futures Markets,35(5),399-425。  new window
38.Teixeira, Lamartine Almeida、De Oliveira, Adriano Lorena Inacio(2010)。A Method for Automatic Stock Trading Combining Technical Analysis and Nearest Neighbor Classification。Expert Systems with Applications,37(10),6885-6890。  new window
39.Bhojraj, Sanjeev、Swaminathan, Bhaskaran(2006)。Macro Momentum: Returns Predictability in International Equity Indices。Journal of Business,79,429-451。  new window
40.Lento, Camillo、Gradojevic, Nikola、Wright, Ci S.(2007)。Investment Information Content in Bollinger Bands?。Applied Financial Economics Letters,3(4),263-267。  new window
41.Ni, Yensen、Liao, Yi-Ching、Huang, Paoyu(2015)。MA Trading Rules, Herding Behaviors, and Stock Market Overreaction。International Review of Economics and Finance,39,253-265。  new window
42.Shen, Qian、Szakmary, Andrew C.、Sharma, Subhash C.(2007)。An Examination of Momentum Strategies in Commodity Futures Markets。Journal of Futures Markets,27(3),227-256。  new window
43.Amini, Shima、Gebka, Bartosz、Hudson, Robert、Keasey, Kevin(2013)。A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral, and risk related explanations。International Review of Economics and Finance,26,1-17。  new window
44.Ammann, Manuel、Kessler, Stephan M.(2009)。Intraday characteristics of stock price crashes。Applied Financial Economics,19,1239-1255。  new window
45.Antoniou, Antonios、Koutmos, Gregory、Pescetto, Gioia(2011)。Positive feedback trading: Evidence from futures markets。Global Business and Economics Review,13,13-25。  new window
46.Atanasova, Christina V.、Hudson, Robert S.(2010)。Technical trading rules and calendar anomalies-Are they the same phenomena。Economics Letters,106,128-130。  new window
47.Bali, Turan G.、Demirtas, Ozgur、Levy, Haim(2008)。Nonlinear mean reversion in stock prices。Journal of Banking and Finance,32,767-782。  new window
48.Bansal, Ravi、Shaliastovich, Ivan(2011)。Learning and asset-price jumps。Review of Financial Studies,24,2738-2780。  new window
49.Benou, Georgina(2003)。Market underreaction to large stock price declines: The case of ADRs。Journal of Behavioral Finance,4,21-32。  new window
50.Bollerslev, Tim、Todorov, Viktor、Li, Sophia(2013)。Jump tails, extreme dependencies, and the distribution of stock returns。Journal of Econometrics,172,307-324。  new window
51.Boudt, Kris、Petitjean, Mikael(2014)。Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks。Journal of Financial Markets,17,121-149。  new window
52.Cervelló-Royo, Roberto、Guijarro, Francisco、Michniuk, Karolina(2015)。Stock market trading rule based on pattern recognition and technical analysis: Forecasting the DJIA index with intraday data。Expert Systems with Applications,42(14),5963-5975。  new window
53.Farmer, Doyne J.、Gillemot, László、Lillo, Fabrizio、Mike, Szabolcs、Sen, Anindya(2004)。What really causes large price changes?。Quantitative Finance,4,383-397。  new window
54.Frino, Alex、Mollica, Vito、Romano, Maria G.、Zhou, Zeyang(2017)。Asymmetry in the permanent price impact of block purchases and sales: Theory and empirical evidence。Journal of Futures Markets,37,359-373。  new window
55.Hirschey, Mark、Richardson, Vernon J.(2003)。Investor underreaction to goodwill write-offs。Financial Analysts Journal,59,75-84。  new window
56.Jiang, George J.、Yao, Tong(2013)。Stock price jumps and cross-sectional return predictability。Journal of Financial and Quantitative Analysis,48,1519-1544。  new window
57.Klößner, Stefan、Becker, Martin、Friedmann, Ralph(2012)。Modeling and measuring intraday overreaction of stock prices。Journal of Banking and Finance,36,1152-1163。  new window
58.Li, Chuanfeng(2011)。Futures and spot arbitrage model and positive analysis for CSI300 index futures。Journal of Guangdong University of Finance,1,55-64。  new window
59.Miao, Hong、Ramchander, Sanjay、Zumwalt, Kenton J.(2014)。S&P 500 index futures price jumps and macroeconomic news。Journal of Futures Markets,34,980-1001。  new window
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64.Chuang, Wen-I、Lee, Bong-Soo(2006)。An Empirical Evaluation of the Overconfidence Hypothesis。Journal of Banking and Finance,30(9),2489-2515。  new window
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66.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
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研究報告
1.Zhang, Xiaoyan、Chen, Fan(2011)。Empirical analysis on CSI 300 index futures hedging。  new window
圖書
1.Kaufman, Perry J.(2003)。A Short Course in Technical Trading。Hoboken, NJ:John Wiley and Sons, Inc。  new window
2.Kirkpatrick, Charles D., II、Dahlquist, Julie R.(2010)。Technical Analysis: The Complete Resource for Financial Market Technicians。Upper Saddle River, NJ:FT Press。  new window
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單篇論文
1.Joulin, Armand,Lefevre, Augustin,Grunberg, Daniel,Bouchaud, Jean-Philippe(2008)。Stock price jumps: News and volume play a minor role(0803.1769)。  new window
 
 
 
 
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