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題名:以波動值檢視臺灣市場指數商品之價格發現能力
書刊名:管理科學研究
作者:袁淑芳陳姿穎
作者(外文):Yuan, Shu-fangChen, Zih-ying
出版日期:2018
卷期:12:1
頁次:頁39-52
主題關鍵詞:現貨期貨選擇權價格發現隱含波動度StockFutureOptionPrice volatilityImplied volatility
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:44
  • 點閱點閱:13
期刊論文
1.詹司如、許溪南、林靖中、陳建義(20070600)。現貨交易活動對期貨領先地位之影響。交大管理學報,27(1),169-194。new window  延伸查詢new window
2.Diamond, Douglas W.、Verrecchia, Robert E.(1987)。Constraints on short-selling and asset price adjustment to private information。Journal of Financial Economics,18(2),277-311。  new window
3.許江河(19990600)。臺股期貨交易與現貨波動之關係研究。樹德科技學報,1(1),51-61。  延伸查詢new window
4.Desai, Hemang、Ramesh, K.、Thiagarajan, S. Ramu、Balachandran, Bala V.(2002)。An Investigation of the Informational Role of Short Interest in the NASDAQ Market。Journal of Finance,57(5),2263-2287。  new window
5.Poon, S. H.、Granger, W. J. C.(2003)。Forecasting Volatility in Financial Market: A Review。Journal of Economic Literature,41(2),478-539。  new window
6.詹錦宏、施介人(20050300)。臺股指數現貨、期貨與選擇權價格發現之研究。臺灣金融財務季刊,6(1),31-51。new window  延伸查詢new window
7.Antoniou, Antonios、Holmes, Phil(1995)。Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH。Journal of Banking & Finance,19(1),117-129。  new window
8.Chu, Q. C.、Hsieh, Wen-liang G.、Tse, Y.(1999)。Price discovery on the S & P 500 index markets: An analysis of spot index, index futures, and SPDRs。International Review of Financial Analysis,8,21-34。  new window
9.Gemmill, G.(1986)。The Forecasting Performance of Stock Options On the London Traded Options Market。Journal of Business Finance and Accounting,13(4),535-546。  new window
10.Miller, Edward M.(1977)。Risk, Uncertainty, and Divergence of Opinion。The Journal of Finance,32(4),1151-1168。  new window
11.Iihara, Yoshio、Kato, Kiyoshi、Tokunaga, Toshifumi(1996)。Intraday Return Dynamics between the Cash and the Futures Markets in Japan。Journal of Futures Markets,16(2),147-162。  new window
12.Edwards, Franklin R.(1988)。Futures trading and cash market volatility: Stock index and interest rate futures。Journal of Futures Markets,8(4),421-439。  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.Lamoureux, C. Q.、Lastrapes, W. D.(1993)。Forecasting Stock Return Variance: Toward an Understanding of Stochastic Implied Volatility。Review of Financial Studies,6(2),293-326。  new window
15.Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1995)。Predicting Stock Market Volatility: A New Measure。Journal of Futures Markets,15(3),265-302。  new window
16.Whaley, R. E.(1993)。Derivatives on Market Volatility: Hedging Tools Long Overdue。The Journal of Derivatives,1(1),71-84。  new window
17.Harvey, C. R.、Whaley, R. E.(1992)。Market Volatility Prediction and the Efficiency of the S&P 100 Index Option Market。Journal of Financial Economics,31(1),43-73。  new window
18.Harris, L.(1989)。S&P 500 cash stock price volatilities。The Journal of Finance,44(5),1155-1175。  new window
19.Danthine, J. P.(1978)。Information, futures prices, and stabilizing speculation。Journal of Economics Theory,17(1),79-98。  new window
20.Britten-Jones, M.、Neuberger, A.(2000)。Option Prices, Implied Price Processes, and Stochastic Volatility。Journal of Finance,55(2),839-866。  new window
21.李存修、盧佳鈺、江木偉(20060100)。臺指選擇權隱含波動率指標之資訊內涵。證券市場發展季刊,17(4)=68,1-42。new window  延伸查詢new window
22.Abhyankar, A. H.(1995)。Return and Volatility Dynamics in the FTSE 100 Stock Index and Stock Index Futures Markets。Journal of Futures Markets,15(4),457-488。  new window
23.郭玟秀、陳仁龍、邱永金(20100500)。臺指選擇權隱含波動率指標對真實波動率與指數報酬的資訊內涵之研究。創新與管理,7(2),127-146。new window  延伸查詢new window
24.陳威光、郭維裕、黃暐能、王朝生(20130600)。波動度選擇權的隱含波動度。風險管理學報,15(1),57-80。new window  延伸查詢new window
25.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
26.謝文良、李進生、袁淑芳、林惠雪(20070500)。臺灣股價指數現貨、期貨與選擇權市場之價格發現研究--Put-Call-Parity之應用。中華管理評論,10(2),(3)1-(3)24。  延伸查詢new window
研究報告
1.Reed, A.(2003)。Costly Short-selling and Stock Price Adjustment to Earnings Announcements。University of North Carolina。  new window
學位論文
1.施雅菁(2002)。小型台指期貨價格發現之研究(碩士論文)。淡江大學。  延伸查詢new window
2.王正裕(2001)。台股指數期貨交易對現貨市場波動性之影響--不對稱效果之研究(碩士論文)。國立成功大學。  延伸查詢new window
3.林佩蓉(2000)。Black-Scholes模型在不同波動性衡量下之表現--股價指數選擇權(碩士論文)。國立東華大學。  延伸查詢new window
4.劉思辰(2002)。期貨交易對現貨股價指數波動之關聯性研究(碩士論文)。國立臺北大學。  延伸查詢new window
圖書
1.Tucker, A. L.(1991)。Financial Futures, Options, and Swaps。St. Paul, MN:West Publishing Company。  new window
 
 
 
 
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