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題名:臺灣期貨市場交易制度之變化對於交易量、買賣價差、與波動度的影響
書刊名:期貨與選擇權學刊
作者:高櫻芬 引用關係宋昌原
作者(外文):Gau, Yin-fengSung, Chang-yuan
出版日期:2013
卷期:6:1
頁次:頁1-22
主題關鍵詞:集合競價連續競價期貨市場交易稅Call auctionContinuous auctionFutures marketTransaction tax
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:47
  • 點閱點閱:632
期刊論文
1.Cheng, Mei-Hsing、Kang, Hsin-Hong(2007)。Price-formation process of an emerging futures market: Call auction versus continuous auction。Emerging Markets Finance and Trade,43,74-97。  new window
2.Chou, R.K.、Wang, G.H.K.(2006)。Transaction tax and market quality of the Taiwan stock index futures。Journal of Futures Markets,26,1195-1216。  new window
3.Edwards, F.R.(1993)。Taxing transactions in futures markets: Objectives and effects。Journal of Financial Services Research,7,75-93。  new window
4.Gerety, M.S.、J.H. Mulherin(1994)。Price formation on stock ex-changes: The evolution of trading within the day。Review of Financial Studies,7,609-629。  new window
5.Hauser, S.、Levy, A.、Yaari, U.(2001)。Trading frequency and the efficiency of price discovery in a non-dealer market。European Journal of Finance,7,187-197。  new window
6.Lo, A. W.、Mamaysky, H.、Wang, J.(2004)。Asset prices and trading volume under fixed transactions costs。Journal of Political Economy,112(5),1054-1090。  new window
7.Ronen, Tavy(1998)。Trading structure and overnight information: A natural experiment from the Tel-Aviv stock exchange。Journal of Banking and Finance,22,489-512。  new window
8.Shastri, K. A.、Shastri, K.、Sirodom, K.(1995)。Trading mechanisms and return volatility: An empirical analysis of the stock exchange of Thailand。Pacific-Basin Finance Journal,3,357-370。  new window
9.Taylor, N.(2004)。Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market。Journal of Futures Markets,24(9),805-834。  new window
10.Webb, R.I、J. Muthuswamy、R. Segara(2007)。Market microstructure effects on volatility at the TAIFEX。Journal of Futures Markets,27,1219-1243。  new window
11.黃玉娟、陳培林、鄭堯任(20070400)。交易機制改變對市場績效之影響:透明度與撮合頻率之探討。證券市場發展,19(1)=73,133-158。new window  延伸查詢new window
12.Lang, L. H. P.、Lee, Y. T.(1999)。Performance of various transaction frequencies under call markets: The case of Taiwan。Pacific-Basin Finance Journal,7(1),23-39。  new window
13.Schnitzlein, Charles R.(1996)。Call and continuous trading mechanisms under asymmetric information: An experimental investigation。Journal of Finance,51(2),613-636。  new window
14.Stoll, Hans R.、Whaley, R. E.(1990)。Stock Market Structure and Volatility。Review of Financial Studies,3(1),37-71。  new window
15.Stiglitz, Joseph E.(1989)。Using tax policy to curb speculative short-term trading。Journal of Financial Services Research,3,101-115。  new window
16.Wang, G. H. K.、Yau, J.(2000)。Trading Volume, Bid-Ask Spread, and Price Volatility in Futures Markets。Journal of Futures Markets,20(10),943-970。  new window
17.Wiggins, J. B.(1992)。Estimating the volatility of S&P 500 futures prices using the extreme-value method。Journal of Futures Markets,12(3),265-273。  new window
18.Amihud, Y.、Mendelson, H.(1990)。Volatility, Efficiency and Trading: Evidence From the Japanese Stock Market。The Journal of Finance,46(5),1765-1789。  new window
19.Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica,41(1),135-155。  new window
20.Huang, Y. S.、Liu, D. Y.、Fu, T. W.(2000)。Stock Price Behavior over Trading and Non-trading Periods: Evidence from the Taiwan Stock Exchange。Journal of Business Finance and Accounting,27(5/6),575-602。  new window
21.謝文良(20021200)。價格發現、資訊傳遞、與市場整合--臺股期貨市場之研究。財務金融學刊,10(3),1-31。new window  延伸查詢new window
22.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
23.Wang, G. H. K.、Yau, J.、Baptiste, T.(1997)。Trading Volume and Transaction Costs in Futures Markets。Journal of Futures Markets,17,757-780。  new window
24.Stoll, Hans R.(1978)。The Supply of Dealer Services in Securities Markets。Journal of Finance,33(4),1133-1151。  new window
25.Garman, Mark B.、Klass, Michael J.(1980)。On the Estimation of Security Price Volatilities from Historical Data。The Journal of Business,53(1),67-78。  new window
26.Martell, T. F.、Wolf, A. S.(1987)。Determinants of trading volume in futures markets。Journal of Futures Markets,7(3),233-244。  new window
27.Amihud, Y.、Mendelson, H.(1987)。Trading Mechanisms and Stock Returns: An Empirical Investigation。The Journal of Finance,42(3),533-553。  new window
28.Garbade, Kenneth D.、Silber, William L.(1979)。Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk。Journal of Finance,34(3),577-593。  new window
29.Copeland, T. E.(1976)。A model of asset trading under the assumption of sequential information arrival。Journal of Finance,31,1149-1168。  new window
30.Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis,22(1),109-126。  new window
31.Copeland, Thomas E.、Galai, Dan(1983)。Information Effects on the Bid-ask Spread。The Journal of Finance,38(5),1457-1469。  new window
32.Demsetz, Harold(1968)。The cost of Transacting。Quarterly Journal of Economics,82(1),33-53。  new window
33.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Ebens, Heiko(2001)。The Distribution of Realised Stock Return Volatility。Journal of Financial Economics,61(1),43-76。  new window
34.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance,46(2),733-746。  new window
35.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
36.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
37.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
38.Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica,53(6),1315-1335。  new window
39.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
圖書
1.Amihud, Y.、H. Mendelson(1993)。Transaction taxes and stock values。Modernizing US securities regulation: Economic and legal perspectives。Homewood, IL:Irwin。  new window
2.Kiefer, D.W.(1990)。The securities transaction tax: An overview of the issues。Washington, DC:Library of Congress, Congressional Research Services。  new window
其他
1.台灣期貨交易所(TAIFEX)市場資訊之其他統計資料:期貨市場概況明細表,http://www.taifex.com.tw。  延伸查詢new window
 
 
 
 
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