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題名:偏態係數與樂透效應對臺指期流動性之影響
書刊名:期貨與選擇權學刊
作者:林建志 引用關係
作者(外文):Lin, Chien-chih
出版日期:2020
卷期:13:2
頁次:頁87-117
主題關鍵詞:流動性偏態係數峰態係數期貨LiquiditySkewnessKurtosisFutures
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:5
期刊論文
1.Heflin, Frank、Shaw, Kenneth W.(2000)。Blockholder Ownership and Market Liquidity。Journal of Financial and Quantitative Analysis,35(4),621-633。  new window
2.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
3.Huberman, G.、Halka, D.(2001)。Systematic Liquidity。The Journal of Financial Research,24(2),161-178。  new window
4.Lee, Kuan-Hui(2011)。The World Price of Liquidity Risk。Journal of Financial Economics,99(1),136-161。  new window
5.Hameed, Allaudeen、Kang, Wenjin、Viswanathan, S.(2010)。Stock market declines and liquidity。The Journal of Finance,65(1),257-293。  new window
6.Hasbrouck, Joel、Seppi, Duane J.(2001)。Common factors in prices, order flows, and liquidity。Journal of Financial Economics,59(3),383-411。  new window
7.Korajczyk, Robert A.、Sadka, Ronnie(2008)。Pricing the commonality across alternative measures of liquidity。Journal of Financial Economics,87(1),45-72。  new window
8.Dick-Nielsen, J.、Feldhütter, P.、Lando, D.(2012)。Corporate bond liquidity before and after the onset of the subprime crisis。Journal of Financial Economics,103(3),471-492。  new window
9.Choi, J. Y.、Salandro, D.、Shastri, K.(1988)。On the estimation of bid-ask spreads: theory and evidence。Journal of Financial and Quantitative Analysis,23,219-230。  new window
10.Garbade, K.、Lieber, Z.(1977)。On the Independence of Transactions on the New York Stock Exchange。Journal of Banking and Finance,1,151-172。  new window
11.Roll, Richard(1984)。A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market。Journal of Finance,39(4),1127-1139。  new window
12.Acharya, V. V.、Pedersen, L. H.(2005)。Asset pricing with liquidity risk。Journal of Financial Economics,77(2),375-410。  new window
13.Chordia, Tarun、Sarkar, Asani、Subrahmanyam, Avanidhar(2005)。An Empirical Analysis of Stock and Bond Market Liquidity。Review of Financial Studies,18(1),85-129。  new window
14.Coughenour, J. F.、Saad, M. M.(2004)。Common Market Makers and Commonality in Liquidity。Journal of Financial Economics,73(1),37-69。  new window
15.Fleming, M. J.、Remolona, E. M.(1999)。Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information。Journal of Finance,54(5),1901-1915。  new window
16.Kamara, Avraham、Lou, Xiaoxia、Sadka, Ronnie(2008)。The divergence of liquidity commonality in the cross-section of stocks。Journal of Financial Economics,89(3),444-466。  new window
17.Chung, Kee H.、Chuwonganant, Chairat(2014)。Uncertainty, Market Structure, and Liquidity。Journal of Financial Economics,113,476-499。  new window
18.Glosten, L. R.(1987)。Components of the bid-ask spread and the statistical properties of transaction prices。Journal of Finance,42,1293-1307。  new window
19.Doran, James S.、Jiang, Danling、Peterson, David R.(2012)。Gambling Preference and the New Year Effect of Assets with Lottery Features。Review of Finance,16(3),685-731。  new window
20.Bao, J.、Pan, J.、Wang, J.(2011)。The Illiquidity of Corporate Bonds。Journal of Finance,66(3),911-946。  new window
21.Boyer, Brian H.、Vorkink, Keith(2014)。Stock options as lotteries。The Journal of Finance,69(4),1485-1527。  new window
22.Kumar, Alok(2009)。Who gambles in the stock market?。The Journal of Finance,64(4),1889-1933。  new window
23.Dennis, P.、Strickland, D.(2003)。The effect of stock splits on liquidity and excess returns: Evidence from shareholder ownership composition。Journal of Financial Research,26,355-370。  new window
24.Pham, P. K.、Kalev, P. S.、Steen, A. B.(2003)。Underpricing, stock allocation, ownership structure and post-listing liquidity of newly listed firms。Journal of Banking and Finance,27,919-947。  new window
25.Corwin, Shane A.、Schultz, Paul H.(2012)。A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices。Journal of Finance,67(2),719-760。  new window
26.Byun, S.-J.、Kim, D.-H.(2016)。Gambling Preference and Individual Equity Option Returns。Journal of Financial Economics,122(1),155-174。  new window
27.Gao, X.、Lin, T.-C.(2015)。Do Individual Investors Treat Trading as a Fun and Exciting Gambling Activity? Evidence from Repeated Natural Experiments。The Review of Financial Studies,28(7),2128-2166。  new window
28.Zaremba, A.、Nowak, A.(2015)。Skewness Preference across Countries。Business and Economic Horizons,11,115-130。  new window
29.Akimov, A.、Hutson, E.、Stevenson, S.(2016)。The Interaction of Volatility, Volume and Skewness: Empirical Evidence from REITs。Journal of Real Estate Portfolio Management,22,1-17。  new window
30.Cao, C.、Field, L.、Hanka, G.(2004)。Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations。Journal of Financial and Quantitative Analysis,39,25-46。  new window
31.Chen, L.、Li, S.、Wang, J.(2011)。Liquidity, Skewness and Stock Returns: Evidence from Chinese Stock Market。Asia-Pacific Financial Markets,18,405-427。  new window
32.Floros, C.、Salvador, E.(2016)。Volatility, Trading Volume and Open Interest in Futures Markets。International Journal of Managerial Finance,12,629-653。  new window
33.Gold, N.、Wang, Q.、Cao, M.、Huang, H.(2017)。Liquidity and Volatility Commonality in the Canadian Stock Market。Mathematics-in-Industry Case Studies,8,1-20。  new window
34.Green, Richard C.、Li, Dan、Schürhoff, Norman(2010)。Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster than They Fall?。The Journal of Finance,65,1669-1702。  new window
35.Jiang, X.、Han, L.、Yin, L.(2019)。Can Skewness Predict Currency Excess Returns?。The North American Journal of Economics and Finance,48,628-641。  new window
36.Kim, K.(2017)。Effect of Liquidity on the Implied Volatility Surface in Interest Rate Options Markets。Global Business & Finance Review,22,45-60。  new window
37.Kim, T. S.、Park, H.(2018)。Is Stock Return Predictability of Option-Implied Skewness Affected by the Market State?。Journal of Futures Markets,38,1024-1042。  new window
38.Lerner, J.、Schoar, A.(2004)。The Illiquidity Puzzle: Theory and Evidence from Private Equity。Journal of Financial Economics,72,3-40。  new window
39.Li, J.(2016)。When Noise Trading Fades, Volatility Rises。Review of Quantitative Finance and Accounting,47,475-512。  new window
40.Sadka, R.(2010)。Liquidity risk and the cross-section of hedge-fund returns。Journal of Financial Economics,98,54-71。  new window
41.Amihud, Yakov(2002)。Illiquidity and Stock Returns: Cross- section and Time-series Effects。Journal of Financial Markets,5(1),31-56。  new window
 
 
 
 
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