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題名:The Impact of Speculative Trading Activity on Return and Volatility in Taiwan Futures Market
書刊名:期貨與選擇權學刊
作者:洪瑞成 引用關係王偉權 引用關係
作者(外文):Hung, Jui-chengWang, Wei-chuan
出版日期:2016
卷期:9:1
頁次:頁103-134
主題關鍵詞:交易人種類反向交易者動能交易者避險者投機者Trader typeContrarianMomentumHedgersSpeculators
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:3
  • 點閱點閱:49
期刊論文
1.Röthig, A.、Chiarella, C.(2007)。Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models。Journal of Futures Markets,27,719-737。  new window
2.Llorente, G.、Michaely, R.、Saar, G.、Wang, J.(2002)。Dynamic Volume-Return Relation of Individual Stocks。Review of Financial Studies,15(4),1005-1047。  new window
3.Kyriacou, K.、Sarno, L.(1999)。The Temporal Relationship between Derivatives Trading and Spot Market Volatility in the UK: Empirical Analysis and Monte Carlo Evidence。The Journal of Futures Markets,19,245-270。  new window
4.Garcia, Philip、Leuthold, Raymond M.、Zapata, Hector(1986)。Lead-Lag Relationships Between Trading Volume and Price Variability: New Evidence。Journal of Futures Markets,6(1),1-10。  new window
5.Fleming, J.、Kirby, C.、Ostdiek, B.(2003)。The Economic Value of Volatility Timing Using "Realized" Volatility。Journal of Financial Economics,67(3),473-509。  new window
6.Wang, C.(2003)。The behavior and performance of major types of futures traders。Journal of Futures Markets,23(1),1-31。  new window
7.Wang, C.(2004)。Futures Trading Activity and Predictable Foreign Exchange Market Movements。Journal of Banking and Finance,28(5),1023-1041。  new window
8.Hagelin, N.(2000)。Index option market activity and cash market volatility under different market conditions: an empirical study from Sweden。Applied Financial Economics,10(6),597-613。  new window
9.Bessembinder, Hendrik、Seguin, Paul J.(1993)。Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets。Journal of Financial and Quantitative Analysis,28(1),21-39。  new window
10.Chatrath, A.、Ramchander, S.、Song, F.(1995)。Does options trading lead to greater cash market volatility?。The Journal of Futures Markets,15(7),785-803。  new window
11.Chatrath, A.、Ramchander, S.、Song, F.(1996)。The Role of Futures Trading Activity in Exchange Rate Volatility。Journal of Futures Markets,16(5),561-584。  new window
12.Bessembinder, Hendrik、Seguin, Paul J.(1992)。Futures-trading Activity and Stock Price Volatility。The Journal of Finance,47(5),2015-2034。  new window
13.Luu, James C.、Martens, Martin(2003)。Testing the Mixture-of-Distributions Hypothesis Using "Realized" Volatility。Journal of Futures Markets,23(7),661-679。  new window
14.Wang, C.、Yu, M.(2004)。Trading activity and price reversals in futures markets。Journal of Banking & Finance,28(6),1337-1361。  new window
15.Gallant, A. Ronald、Rossi, Peter E.、Tauchen, George(1992)。Stock Prices and Volume。Review of Financial Studies,5,199-242。  new window
16.Hansen, B. E.、Seo, B.(2002)。Testing for two-regime threshold cointegration in vector error correction models。Journal of Econometrics,110,293-318。  new window
17.Koopman, S. J.、Jungbacker, B.、Hol, E.(2005)。Forecasting Daily Variability of the S&P 100 Stock Index Using Historical, Realized and Implied Volatility Measurements。Journal of Empirical Finance,12(3),445-475。  new window
18.Chatrath, A.、Christie-David, R. A.、Lugli, V.、Santoso, C.(2010)。Futures Trading and Oil Price Movements。Review of Futures Markets,18,347-362。  new window
19.Chang, Y. K.、Chen, Y. L.、Chou, R. K.、Gau, Y. F.(2013)。The Effectiveness of Position Limits: Evidence from the Foreign Exchange Futures Markets。Journal of Banking and Finance,37(11),4501-4509。  new window
20.Cheng, Teng-yuan、Lin, Chao-hsien、Juang, Shaung-shii(20070200)。Who is the Winner? Trading Behavior and Performance for Major Types of Traders--Evidence from Taiwan's Futures Market。Asia Pacific Management Review,12(1),13-21。new window  new window
21.Chiang, S. J.、Tsai, L. J.、Shu, P. G.、Chen, S. L.(2012)。The Trading Behavior of Foreign, Domestic Institutional, and Domestic Individual Investors: Evidence from Taiwan Stock Market。Pacific Basin Finance Journal,20(5),745-754。  new window
22.Huang, Y. C.(2002)。Trading Activity in Stock Index Futures Markets: The Evidence of Emerging Markets。Journal of Futures Markets,22(10),983-1003。  new window
23.Kuo, Wen-hsiu、Hsu, Hsinan、Chiang, Chwan-yi(20050400)。Price Volatility, Trading Activity and Market Depth: Evidence from Taiwan and Singapore Taiwan Stock Index Futures Markets。Asia Pacific Management Review,10(2),131-143。new window  new window
24.Kurov, A.(2008)。Investor Sentiment, Trading Behavior and Information Efficiency in Index Futures Markets。Financial Review,43,107-127。  new window
25.Sanders, D. R.、Boris, K.、Manfredo, M.(2004)。Hedgers, Funds, and Small Speculators in the Energy Futures Markets: An Analysis of the CFTC's Commitments of Traders Reports。Energy Economics,26,425-445。  new window
26.Lee, Yi-Tsung、Lin, Ji-Chai、Liu, Yu-Jane(1999)。Trading patterns of big versus small players in an emerging market: An empirical analysis。Journal of Banking & Finance,23(5),701-725。  new window
27.Merton, Robert C.(1973)。An Intertemporal Capital Asset Pricing Model。Econometrica,41(5),867-887。  new window
28.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
29.Merton, Robert C.(1987)。A simple model of capital market equilibrium with incomplete information。The Journal of Finance,42(3),483-510。  new window
30.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1992)。The Impact of Institutional Trading on Stock Prices。Journal of Financial Economics,32(1),23-43。  new window
31.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
 
 
 
 
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