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題名：當沖相關制度之比較與我國應採行之作法
書刊名：證券市場發展季刊
作者：李進生 引用關係／李志宏 引用關係／周賓凰 引用關係
作者(外文)：Lee, Chin-shen／Lee, Jie-haun／Chou, Pin-huang
出版日期：1999
卷期：11:3=43
頁次：頁21-60
主題關鍵詞：當沖交易；違約機率；價格發現；Day trade；Default risk；Price discovery
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:9
  • 點閱點閱:25
期刊論文
1.Chen, Y. M.(1993)。Price Limits and the Stock Market: Volatility in Taiwan。Pacific-Basin Finance Journal，1，139-153。  new window
2.Ma, Christopher K.、Rao, Ramesh P.、Sears, R. Stephen(1989)。Volatility, price resolution, and the effectiveness of price limits。Journal of Financial Services Research，3(2/3)，165-199。  new window
3.Figlewski, S.(1984)。Margins and Market Integrity: Margin Setting for Stock Index Futures and Options。Journal of Futures Markets，4(3)，385-416。  new window
4.Choe, H.、Ahn, H. J.、Cao, C. Q.(1996)。Tick Size, Spread and Volume。Journal of Financial Intermediation，5(1)，2-22。  new window
5.Telser, L. G.(1981)。Margins and Futures Contracts。The Journal of Futures Markets，1(2)，127-152。  new window
6.Brennan, Michael J.(1986)。A Theory of Price Limits in Futures Markets。Journal of Financial Economics，16(2)，213-233。  new window
7.Kalavathi, L.、Shanker, L.(1991)。Margin requirements and the demand for futures contracts。Journal of Futures Markets，11(2)，213-237。  new window
8.Harris, L.(1994)。Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes。Review of Financial Studies，7(1)，149-178。  new window
9.Kodres, Laura E.(1993)。Tests of Unbiasedness in the Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heteroscedasticity。The Journal of Business，66(3)，463-490。  new window
10.李志宏、李進生、盧陽正(20000400)。新加坡摩根臺指期貨與本國臺指期貨合約稅制、保證金、漲跌設計及替代性之評估。證券市場發展季刊，12(1)=45，147-168。new window  延伸查詢new window
11.Hartzmark, M. L.(1986)。The effects of changing margin levels on futures market activity, the composition of traders in the market and price performance。The Journal of Business，59(2) Part 2，147-180。  new window
12.Khoury, S. J.、Jones, G. L.(1984)。Daily price limits on futures contracts: nature, impact and justification。Review of Research in Futures Markets，3(1)，22-39。  new window
13.Kuhn, B. A.、Kuserk, G. J.、Locke, P.(1991)。Do circuit breakers moderate volatility? Evidence from October 1989。Review of Futures Markets，10(1)，136-175。  new window
14.Kyle, A. S.(1988)。Trading Halts and Price Limits, (with comments and discussion)。The Review of Futures Markets，7(3)，426-434。  new window
15.Ma, C. K.、Rao, R. P.、Sears, R. S.(1989)。Limit moves and price resolution: the case of the Treasury bond futures markets。The Journal of Futures Markets，9(4)，321-335。  new window
16.Ma, T.(1993)。Price limits, margin requirements, and stock market volatility: An empirical analysis of the Taiwan stock market。Research in International Business and Finance，10，229-251。  new window
17.Chiang, R.、Wei, K. C. J.、Wu, S.(1990)。Price Limits in Taiwan and Risk-return Estimation。Pacific-Basin Capital Market Research，1，173-180。  new window
18.Hunter, W. C.、Gay, G. D.、Kolb, R. W.(1985)。Liquidity requirements for financial futures investments。Financial Analysts Journal，41(3)，60-68。  new window
19.Gay, G. D.、Kolb, R. W.、Hunter, W. C.(1985)。Liquidity and capital requirements for futures market hedges。Review of Research in Futures Markets，4(1)，1-25。  new window
20.李志宏(1999)。The effects of price limits on overreaction and information asymmetry: Evidence from the Taiwan stock market。Advances in Pacific Basin Financial Markets，6，57-69。  new window
21.Telser, Lester G.(1993)。A review of the case for position limits on agricultural futures。The Journal of Financial Engineering，2(1)，33-37。  new window
22.Semkow, B. W.(1989)。Emergence of derivative financial products markets in Japan。Cornell International Law Review，22(1)，39-58。  new window
23.Shalen, C. T.、Pliska, Stanley R.(1991)。The Effects of regulations on trading activity and return volatility in futures markets。The Journal of Futures Markets，11(2)，135-151。  new window
24.Lee, D. H.、Ohk, K. Y.(1994)。Futures margin changes and their impact on Japanese stock index futures markets。Review of Futures Markets，13(4)，1173-1208。  new window
25.Kupiec, P. H.(1993)。Futures margins and stock price volatility: is there any link?。The Journal of Futures Markets，13(6)，677-691。  new window
26.Grossman, S. J.(1993)。The case for eliminating position limits on financial futures。The Journal of Financial Engineering，2(1)，39-42。  new window
27.Stein, J.、Greenwald, B.(1988)。The Task Force Report: the reasoning behind the recommendations。The Journal of Economic Perspectives，2(3)，3-23。  new window
28.Poulsen, A.、Furbush, D.(1989)。Harmonizing margins: the regulation of margin levels in stock index futures markets。Cornell Law Review，74(5)，873-901。  new window
29.Figlewski, S.(1985)。Liquidity and capital requirements for futures market hedges: comment。Review of Research in Futures Markets，4(1)，26-28。  new window
30.Chung, J. R.(1991)。Price limit system and volatility of Korean stock market。Pacific-Basin Capital Markets Research，2，283-294。  new window
31.Blank, S. C.(1990)。Determining futures 'hedging reserve' capital requirements。The Journal of Futures Markets，10(2)，169-177。  new window
研究報告
1.Harris, L. E.,(1997)。“Decimalization: A Review of the Arguments and Evidence,”。  new window
2.Rhee, S. Ghon、Kim, Kenneth A.(1995)。Price limit performance: Evidence from the Tokyo stock exchange。0。  new window
3.Hwang, C. Y.、Chan, K. C.(1998)。The impact of tick size reduction on market quality: Evidence from Hong Kong。0。  new window
4.Chen, Y. C.(1996)。Price limits and liquidity: A five-minute data analysis。0。  new window
圖書
1.Moser, J. T.(1993)。Changes in futures margin specifications and the performance of futures and cash markets。Research in Financial Services: Private and Public Policy, Vol. 5。Greenwich, CT。  new window
其他
1.Harris, Lawrence(1997)。Testimony on H. R. 1053: The Common Cents Stock Pricing Act of 1997，0。  new window
圖書論文
1.Tomek, W. G.(1985)。Margins on futures contracts: their economic roles and regulation。Futures Markets: Regulatory Issues。Washington, DC：American Enterprise Institute for Public Policy Research。  new window
 
 
 
 
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