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題名:有限套利、流動性與價格發現--以臺灣與香港跨境掛牌指數股票型基金為例
書刊名:期貨與選擇權學刊
作者:賴藝文 引用關係賴弘能 引用關係
作者(外文):Laih, Yih-wennLai, Hung Neng
出版日期:2014
卷期:7:2
頁次:頁1-33
主題關鍵詞:有限套利流動性價格發現Limit arbitrageLiquidityPrice 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:1
  • 點閱點閱:77
期刊論文
1.Chan, K.、Menkveld, A. J.、Yang, Z.(2007)。The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market。Journal of Financial Markets,10,391-415。  new window
2.Agarwa, S.、Liu C.、G. Rhee(2007)。Where does price discovery occur for stocks traded in multiple markets? evidence from Hong Kong and London。Journal of International Money and Finance,26,46-63。  new window
3.Bhano, K.、L. Guo(2012)。Types of liquidity and limits to arbitrage: the case of credit defaults swap。The Journal of Futures Markets,32,301-329。  new window
4.Chelley-Steeley P.、K. Park(2011)。Intraday patterns in London listed exchange traded funds。International Review of Financial Analysis,20,244-251。  new window
5.Gagno, L.、G. A. Karolyi(2010)。Multi-market trading and arbitrage。Journal of Financial Economics,97,53-80。  new window
6.Hegde, S. P.、McDermott, J. B.(2004)。Firm characteristics as cross-sectional determinants of adverse selection。Journal of Business Finance and Accounting,31(7/8),1097-1124。  new window
7.Hughe, J. C.、P. G. Mathew(2009)。The efficiency of international information flow: evidence from the ETF and CEF prices。International Review of Financial Analysis,18,40-49。  new window
8.Kairy, J. P. J.、Kruza R.、R. Kumpins(2000)。Winners and losers from the introduction of continuous variable price trading: evidence from the Riga stock exchange。Journal of Banking and Finance,24,603-624。  new window
9.Lien, Donald、Shrestha, Keshab(2009)。A new information share measure。Journal of Futures Markets,29(4),377-395。  new window
10.Lie, D.、K. Shrestha(2014)。Price discovery in interrelated markets。Journal of Futures Markets,34,203-219。  new window
11.Masuli, R. W.、Shivakumar, L.(2002)。Does market structure affect the immediacy of stock price responses to news?。Journal of Financial and Quantitative Analysis,37,617-648。  new window
12.Miffre, J.(2007)。Country-specific ETFs: An efficient approach to global asset allocation。Journal of Asset Management,8(2),112-122。  new window
13.Moulto, P. C.、L. Wei(2009)。A tale of two time zones: the impact of substitutes on cross-listed stock liquidity。Journal of Financial Markets,12,570- 591。  new window
14.Nguyen, V.、C. Phengpis(2009)。An analysis of the opening mechanisms of exchange traded fund markets。The Quarterly Review of Economics and Finance,49,562-577。  new window
15.Parhizgar, A. M.、D. Nguyen(2008)。ADRs under momentum and contrarian strategies。Global Finance Journal,19,102-122。  new window
16.Subrahmanya, A.(2009)。The implications of liquidity and order flows for neoclassical finance。Pacific-Basin Finance Journal,17,527-532。  new window
17.Eu, C. S.、Sabherwal, S.(2003)。Cross-border listings and price discovery: evidence from U.S.-listed Canadian stocks。Journal of Finance,58,549-576。  new window
18.Gastinea, G.(2001)。Exchange traded funds: An introduction。Journal of Portfolio Management,27,88-96。  new window
19.Grammi, J.、Melvin, M.、Schlag, C.(2005)。Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects。Journal of Empirical Finance,12,139-164。  new window
20.Pascual, Roberto、Pascual-Fuster, Bartolomé、Ciment, Francisco(2006)。Cross-listing, price discovery and the informativeness of the trading process。Journal of Financial Market,9,144-161。  new window
21.O'Hara, M.(2003)。Presidential Address: Liquidity and Price Discovery。Journal of Finance,58(4),1335-1354。  new window
22.Gonzalo, Jesus、Granger, Clive W. J.(1995)。Estimation of Common Long-Memory Components in Cointegrated Systems。Journal of Business and Economic Statistics,13(1),27-35。  new window
23.Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。The Journal of Finance,50(4),1175-1199。  new window
24.Hasbrouck, J.(2003)。Intraday price formation in US equity index markets。Journal of Finance,58(6),2375-2400。  new window
25.Baillie, R. T.、Booth, G. G.、Tse, Y.、Zabotina, T.(2002)。Price Discovery and Common Factor Models。Journal of Financial Markets,5(3),309-321。  new window
26.Harris, F. H.、McInish, deB, T. H.、Shoesmith, G. L.、Wood, R. A.(2002)。Security price adjustment across exchange: An investigation of common factor components Dow Stocks。Journal of Financial Markets,5,277-308。  new window
27.Stock, J. H.、Watson, M.(1988)。Variable trends in economic time series。Journal of Economic Perspectives,2,147-174。  new window
28.Pagano, Marco、Röell, Ailsa A.、Zechner, Josef(2002)。The geography of equity listing: Why do companies list abroad?。The Journal of Finance,57(6),2651-2694。  new window
29.林允永、謝文良(20090600)。臺灣50指數股票型基金之追蹤誤差與定價效率。財務金融學刊,17(2),1-34。new window  延伸查詢new window
30.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
31.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
32.Bekaer, G.、Harvey, C. R.、Lundblad, C.(2007)。Liquidity and expected returns: lessons from emerging markets。Review of Financial Studies,20(6),1783-1831。  new window
會議論文
1.賴藝文、賴弘能(2012)。跨境掛牌指數股票型基金之價格發現--以寶來標誌滬深300 為例。2012 南台灣財金學術聯盟年會暨海峽兩岸學術論文研討會。高雄。  延伸查詢new window
2.Bacidor, J.、M. L. Lipson(2001)。The effects of opening and closing procedures on the NYSE and Nasdaq。AFA 2001 New Orleans Meetings。  new window
 
 
 
 
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