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題名:臺指選擇權相對於股指交易量比率與現貨報酬率間的分量迴歸分析
書刊名:管理與系統
作者:楊雅薇林姿瑩 引用關係吳國堯
作者(外文):Yang, Ya-weiLin, Zih-yingWu, Guo-yao
出版日期:2021
卷期:28:1
頁次:頁33-59
主題關鍵詞:臺指選擇權相對於股指交易量比率分量迴歸資訊內涵外資法人臺指選擇權市場O/S ratioQuantile regressionInformation contentForeign institutional investorsTaiwan index options market
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(1) 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:1
  • 共同引用共同引用:38
  • 點閱點閱:10
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。  new window
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。  new window
3.Chakravarty, S.、Gulen, H.、Mayhew, S.(2004)。Informed Trading in Stock and Option Markets。Journal of Finance,59(3),1235-1257。  new window
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。  new window
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。  new window
6.Black, F.(1975)。The Fact and Fantasy in the Use of Options。Financial Analysts Journal,31(4),36-41+61-72。  new window
7.Cao, Charles、Chen, Zhiwu、Griffin, John M.(2005)。Informational content of option volume prior to takeovers。Journal of Business,78(3),1073-1109。  new window
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。  new window
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。  new window
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。  new window
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。  new window
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。  new window
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。  new window
14.Vijh, Anand M.(1990)。Liquidity of the CBOE Equity Options。Journal of Finance,45(4),1157-1179。  new window
15.Wang, Jiang(1994)。A model of competitive stock trading volume。Journal of Political Economy,102(1),127-168。  new window
16.Chow, G. C.(1960)。Tests of equality between sets of coefficients in two linear regressions。Econometrica,28(3),591-605。  new window
17.Anthony, Joseph H.(1988)。The Interrelation of Stock and Options Market Trading-volume Data。The Journal of Finance,43(4),949-964。  new window
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。new window  延伸查詢new window
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。  new window
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。  new window
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。  new window
22.Back, K.(1993)。Asymmetric Information and Options。Review of Financial Studies,6(3),435-472。  new window
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。  new window
24.Newey, W. K.、Powell, J. L.(1987)。Asymmetric least squares estimation and testing。Econometrica,55(4),819-847。  new window
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。new window  延伸查詢new window
26.Ryu, D.、Yang, H.(2019)。Who has volatility information in the index options market?。Finance Research Letters,30(C),266-270。  new window
27.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
28.Chen, C. C.、Wang, S. H.(2017)。Net Buying Pressure and Option Informed Trading。Journal of Futures Markets,37(3),238-259。  new window
29.Koenker, Roger W.、Bassett, Gilbert W. Jr.(1978)。Regression Quantiles。Econometrica: Journal of the Econometric Society,46(1),33-50。  new window
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new window
31.Badshah, I. U.(2013)。Quantile Regression Analysis of the Asymmetric Return-Volatility Relation。Journal of Futures Markets,33(3),235-265。  new window
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。  new window
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。new window  延伸查詢new window
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。  new window
35.Kocagil, A.、Shachmurove, Y.(1998)。Return-volume Dynamic in Futures Markets。Journal of Futures Markets,18(4),399-426。  new window
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。  new window
37.Suominen, M.(2001)。Trading Volume and Information Revelation in Stock Market。Journal of Financial and Quantitative Analysis,36(4),545-565。  new window
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。new window  new window
研究報告
1.Han, Bing、Lee, Yi-Tsung、Liu, Yu-Jane(2010)。Investor Trading Behavior and Performance: Evidence from Taiwan Stock Index Options。University of Texas at Austin。  new window
2.Srinivas, P. S.(1993)。Trade Size and the Information Content of Option Trades。Cornell University。  new window
 
 
 
 
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