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題名:臺灣50 ETF對指數成分股流動性的影響
書刊名:經濟與管理論叢
作者:林靖中 引用關係江明憲 引用關係詹司如林昭賢 引用關係
作者(外文):Lin, Ching-chungChiang, Min-hsienChan, Shih-juLin, Chao-hsien
出版日期:2006
卷期:2:2
頁次:頁187-205
主題關鍵詞:指數股票型基金流動性臺灣50指數ETFLiquidityTaiwan 50 index
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(3) 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:3
  • 共同引用共同引用:0
  • 點閱點閱:34
期刊論文
1.Ackerl, L. F.、Tian, Y. S.(2000)。Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts。Financial Management,29,71-88。  new window
2.Ackert, L. F.、Tian, Y. S.(2001)。Efficiency in Index Options Markets and Trading in Stock Baskets。Journal of Banking and Finance,25,1607-1637。  new window
3.Aitken, M.、Comerton, C.(2003)。How Should Liquidity Be Measured?。Pacific-Basin Finance Journal,11,45-59。  new window
4.Chu, Q. C.、Hsieh, W. G.(2002)。Pricing Efficiency of the S&P 500 Index Market: Evidcncc from the Standard & Poor Depositary Receipts。Journal of Futures Markets,22,877-900。  new window
5.Elton, E. J.、Lai, K.、Comer, G.、Gruber, M. J.(2002)。Spiders: Where Are the Bugs?。Journal of Business,75,453-472。  new window
6.Gannnill, J. F.、Perold, A. F.(1989)。The Changing Character of Stock Market Liquidity。Journal of Portfolio Management,15,13-18。  new window
7.Gorton, G. B.、Pennacchi, G. G.(1993)。Security Baskets and Index-Linked Securities。Journal of Business,66,1-27。  new window
8.Hasbrouck, J.(2003)。Intraday Pricc Formation in U.S. Equity Index Markets。Journal of Finance,58,2375-2399。  new window
9.Hegde, S. P.、McDermott, J. B.(2004)。The Market Liquidity of Diamonds, Q S, and Their Underlying Stocks。Journal of Banking and Finance,28,1043-1067。  new window
10.Holden, C. W.(1995)。Index Arbitrage as Cross-Sectional Market Making。Journal of Futures Market,15(4),423-455。  new window
11.Jegadeesh, N.、Subrahinamyam, A.(1993)。Liquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stocks。Journal of Business,66,171-187。  new window
12.Kumar, R.、Shastrl, K.、Sarin, A.(1998)。The Impact of Options Trading on the Market Quality of the Underlying Security: Au Empirical Analysis。Journal of Finance,53,717-732。  new window
13.Kumar, P.、Seppi, D. J.(1994)。Information and Index Arbitrage。Journal of Business,67,481-509。  new window
14.Lin, C. C.、Hsu, H.、Chan, S. J.(2006)。Pricing Efficiency of ETF in Taiwan。Journal of Asset Management,7,60-68。  new window
15.Switzer, L. N.、Varson, P. L.、Zghidi, S.(2000)。Standard and Poor's Depository Receipts and the Performance of the S&P 500 Index Futures Market。Journal of Futures Markets,20(8),705-716。  new window
16.Chang, R. P.、Hsu, S. T.、Huang, N. K.、Rhee, S. G.(1999)。The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange。Journal of Business Finance and Accounting,26(1/2),137-170。  new window
17.Subrahmanyam, A.(1991)。A Theory of Trading in Stock Index Futures。Review of Financial Studies,4(1),17-51。  new window
18.Amihud, Yakov(2002)。Illiquidity and Stock Returns: Cross- section and Time-series Effects。Journal of Financial Markets,5(1),31-56。  new window
研究報告
1.Martin, P.(1975)。Analysis of the Impact of Competitive Rates on the Liquidity of NYSE Stock。Securities and Exchange Commission。  new window
 
 
 
 
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