期刊論文1. | Johnson, Travis L.、So, Eric C.(2012)。The Option to Stock Volume Ratio and Future Returns。Journal of Financial Economics,106(2),262-286。 |
2. | Roll, R.、Schwartz, E.、Subrahmanyam, A.(2010)。O/S: The Relative Trading Activity in Options and Stock。Journal of Financial Economics,96(1),1-17。 |
3. | Chakravarty, S.、Gulen, H.、Mayhew, S.(2004)。Informed Trading in Stock and Option Markets。Journal of Finance,59(3),1235-1257。 |
4. | Chang, C. C.、Hsieh, P. F.、Lai, H. N.(2009)。Do Informed Option Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange。Journal of Banking and Finance,33(4),757-764。 |
5. | Shiu, Y. M.、Pan, G. G.、Lin, S. H.、Wu, T. C.(2010)。Impact of Net Buying Pressure on Changes in Implied Volatility: Before and After the Onset of the Subprime Crisis。Journal of Derivatives,17(4),54-66。 |
6. | Black, F.(1975)。The Fact and Fantasy in the Use of Options。Financial Analysts Journal,31(4),36-41+61-72。 |
7. | Cao, Charles、Chen, Zhiwu、Griffin, John M.(2005)。Informational content of option volume prior to takeovers。Journal of Business,78(3),1073-1109。 |
8. | Stephan, J. A.、Whaley, R. E.(1990)。Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets。Journal of Finance,45(1),191-220。 |
9. | Easley, David、O'Hara, Maureen、Srinivas, P. S.(1998)。Option volume and stock prices: Evidence on where informed traders trade。The Journal of Finance,53(2),431-465。 |
10. | Pan, Jun、Poteshman, Allen M.(2006)。The information in option volume for future stock prices。The Review of Financial Studies,19(3),871-908。 |
11. | Chuang, Chia-Chang、Kuan, Chung-Ming、Lin, Hsin-Yi(2009)。Causality in quantiles and dynamic stock return-volume relations。Journal of Banking & Finance,33(7),1351-1360。 |
12. | Chan, Kalok、Chung, Y. Peter、Fong, Wai-Ming(2002)。The Informational Role of Stock and Option Volume。Review of Financial Studies,15(4),1049-1075。 |
13. | Chan, K. C.、Chang, Y.、Lung, P. P.(2009)。Informed trading under different market conditions and moneyness: Evidence from TXO options。Pacific-Basin Finance Journal,17(2),189-208。 |
14. | Vijh, Anand M.(1990)。Liquidity of the CBOE Equity Options。Journal of Finance,45(4),1157-1179。 |
15. | Wang, Jiang(1994)。A model of competitive stock trading volume。Journal of Political Economy,102(1),127-168。 |
16. | Chow, G. C.(1960)。Tests of equality between sets of coefficients in two linear regressions。Econometrica,28(3),591-605。 |
17. | Anthony, Joseph H.(1988)。The Interrelation of Stock and Options Market Trading-volume Data。The Journal of Finance,43(4),949-964。 |
18. | 莊家彰、管中閔(20051200)。臺灣與美國股市價量關係的分量迴歸分析。經濟論文,33(4),379-404。 延伸查詢 |
19. | Gebka, B.、Wohar, M. E.(2013)。Causality between trading volume and returns: Evidence from quantile regressions。International Review of Economics and Finance,27(C),144-159。 |
20. | Yu, Hsin-Yi、Hsieh, Shu-Fan(2010)。The Effect of Attention on Buying Behavior During a Financial Crisis: Evidence from the Taiwan Stock Exchange。International Review of Financial Analysis,19(4),270-280。 |
21. | Hsieh, Wen-liang G.、He, Huei-Ru(2014)。Informed Trading, Trading Strategies and the Information Content of Trading Volume: Evidence from the Taiwan index options market。Journal of International Financial Markets, Institutions and Money,31(1),187-215。 |
22. | Back, K.(1993)。Asymmetric Information and Options。Review of Financial Studies,6(3),435-472。 |
23. | Lee, Y. H.、Wang, D. K.(2016)。Information Content of Investor Trading Behavior: Evidence from Taiwan Index Options Market。Pacific-Basin Finance Journal,38,149-160。 |
24. | Newey, W. K.、Powell, J. L.(1987)。Asymmetric least squares estimation and testing。Econometrica,55(4),819-847。 |
25. | 張傳章、謝佩芳(20160300)。臺灣選擇權市場交易活動之實證研究:文獻回顧與展望。經濟論文叢刊,44(1),57-75。 延伸查詢 |
26. | Ryu, D.、Yang, H.(2019)。Who has volatility information in the index options market?。Finance Research Letters,30(C),266-270。 |
27. | Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。 |
28. | Chen, C. C.、Wang, S. H.(2017)。Net Buying Pressure and Option Informed Trading。Journal of Futures Markets,37(3),238-259。 |
29. | Koenker, Roger W.、Bassett, Gilbert W. Jr.(1978)。Regression Quantiles。Econometrica: Journal of the Econometric Society,46(1),33-50。 |
30. | 封福育(2008)。我國滬深股市價量關係實證分析--基於分位數迴歸估計。商業經濟與管理,2008(6),75-79。 延伸查詢 |
31. | Badshah, I. U.(2013)。Quantile Regression Analysis of the Asymmetric Return-Volatility Relation。Journal of Futures Markets,33(3),235-265。 |
32. | Fousekis, P.、Tzaferi, D.(2019)。Price Returns and Trading Volume Changes in Agricultural Futures Markets: An Empirical Analysis with Quantile Regressions。Journal of Economic Asymmetries,19(C),1。 |
33. | 謝佩芳、張傳章、賴弘能、許為森(20170400)。The Relative Trading Activity in Options and Stock: Evidences from the Taiwan Stock Exchange。期貨與選擇權學刊,10(1),1-39。 延伸查詢 |
34. | Huang, H. G.、Tsai, W. C.、Weng, P. S.、Wu, M. H.(2021)。Volatility of Order Imbalance of Institutional Traders and Expected Asset Returns: Evidence from Taiwan。Journal of Financial Markets,52。 |
35. | Kocagil, A.、Shachmurove, Y.(1998)。Return-volume Dynamic in Futures Markets。Journal of Futures Markets,18(4),399-426。 |
36. | Lee, J.、Lee, G.、Ryu, D.(2019)。The Difference in the Intraday Return-volume Relationships of Spot and Futures: A Quantile Regression Approach。Economics,13,1-37。 |
37. | Suominen, M.(2001)。Trading Volume and Information Revelation in Stock Market。Journal of Financial and Quantitative Analysis,36(4),545-565。 |
38. | 林姿瑩、謝佩芳(20200600)。Impact of Net Buying Pressure on the Trading Demand of Different Types of Trader。證券市場發展季刊,32(2)=126,119-146。 |