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題名:Trading Patterns in the TAIEX Futures Markets: Information- or Behavioral-based Trades?
書刊名:Asia Pacific Management Review
作者:Lin, Mei-chenChiang, Ming-ti
出版日期:2015
卷期:20:3
頁次:頁165-176
主題關鍵詞:Individual investorsInstitutional investorsOverconfidenceDisposition effect
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(2) 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:2
  • 共同引用共同引用:2
  • 點閱點閱:6
期刊論文
1.Chan, K.、Chung, Y. P.、Fong, W. M.(2002)。The information role of stock and option volume。Review of Financial Studies,15,1049-1075。  new window
2.Chou, Robin K.、Wang, Yun-Yi(2011)。A test of the different implications of the overconfidence and disposition hypotheses。Journal of Banking and Finance,35(8),2037-2046。  new window
3.Lin, M. C.(2011)。Information content for investor groups in TAIEX futures trading。Asia-Pacific Journal of Financial Studies,40,433-466。  new window
4.Barber, B.、Odean, T.、Zhu, N.(2009)。Systematic noise。Journal of Financial Markets,12(4),547-569。  new window
5.Kyle, A. S.、Ou-Yang, H.、Xiong, W.(2006)。Prospect theory and liquidation decisions。Journal of Economic Theory,129,273-288。  new window
6.Barberis, Nicholas、Xiong, Wei(2009)。What drives the disposition effect? An analysis of a long-standing preference-based explanation。Journal of Finance,64,751-784。  new window
7.Hens, T.、Vlcek, M.(2011)。Does prospect theory explain the disposition effect?。Journal of Behavioral Finance,12(3),141-157。  new window
8.Campbell, J. Y.、Kyle, A. S.(1993)。Smart money, noise trading and stock price behavior。Review of Economic Studies,6,1-34。  new window
9.Chakravarty, S.(2001)。Stealth-trading: which trader's trades move stock prices?。Journal of Financial Economics,61(2),289-307。  new window
10.Chang, C. C.、Hsieh, P. F.、Lai, H. N.(2009)。Do informed option investors predict stock return? Evidence from the Taiwan stock exchange。Journal of Banking and Finance,33,757-764。  new window
11.Chang, C. C.、Hsieh, P. F.、Wang, Y. H.(2010)。Information content of options trading volume for future volatility: evidence from Taiwan options market。Journal of Banking and Finance,34,174-183。  new window
12.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
13.Chen, S. Y.、Lin, C. C.、Chou, P. H.、Hwang, D. Y.(2002)。Price discovery between TAIFEX TAIEX index futures and SGX MSCI Taiwan index futures。Journal of Futures Markets,22(3),219-240。  new window
14.Chou, P. H.、Lin, M. C.、Yu, M. T.(2006)。Margins and price limits in Taiwan's stock index futures market。Emerging Markets Finance and Trade,42(1),62-88。  new window
15.Chueh, H.、Yang, D. Y.(2005)。Expiration-day effects of index futures: some empirical evidence from Taiwan stock market。Journal of Financial Studies,13(2),71-95。  new window
16.Kuo, Wei-Yu、Lin, Tse-Chun(2013)。Overconfident individual day traders: evidence from Taiwan futures market。Journal of Banking and Finance,37(9),3548-3561。  new window
17.Lin, Ching-chung、Hsu, Hsinan、Chiang, Chwan-yi(20040800)。The Information Transmission between Two Substitutes of Index Futures: The Case of TAIEX and Mini-TAIEX Stock Index Futures。Asia Pacific Management Review,9(4),689-707。new window  new window
18.O'Curry Fogel, S.、Berry, T.(2006)。The disposition effect and individual investor decisions: the roles of regret and counterfactual alternatives。Journal of Behavioral Finance,7(2),107-116。  new window
19.Wang, Z.(1998)。Efficiency loss and constraints on portfolio holdings。Journal of Financial Economics,48,359-375。  new window
20.Chan, Kalok、Fong, Wai-Ming(2000)。Trade Size, Order Imbalance, and the Volatility-volume Relation。Journal of Financial Economics,57(2),247-273。  new window
21.Chou, H. C.、Chen, W. N.、Chen, D. H.(2006)。The expiration effects of stock-index derivatives: empirical evidence from the Taiwan futures exchange。Emerging Markets Finance and Trade,42(5),81-102。  new window
22.Chordia, T.、Roll, R.、Subrahmanyam, A.(2002)。Order imbalance, liquidity and market returns。Journal of Financial Economics,65(1),111-130。  new window
23.Einhorn, H. J.(1980)。Overconfidence in judgment。New Directions for Methodology of Social and Behavioral Science,4,1-16。  new window
24.Frazzini, Andrea、Lamont, Owen A.(2008)。Dumb Money: Mutual Fund Flows and the Cross-section of Stock Returns。Journal of Financial Economics,88(2),299-322。  new window
25.Hirshleifer, D.(2001)。Investor psychology and asset pricing。Journal of Finance,56(4),1533-1597。  new window
26.Kyle, A. S.、Wang, F. A.(1997)。Speculation duopoly with agreement to disagree: can overconfidence survive the market test?。Journal of Finance,52,2073-2090。  new window
27.Locke, P. R.、Mann, S. C.(2005)。Professional Trader Discipline and Trade Disposition。Journal of Financial Economics,76(2),401-444。  new window
28.Wang, Changyun(2001)。Investor Sentiment And Return Predictability In Agricultural Futures Markets。Journal of Futures Markets,21(10),929-952。  new window
29.Chou, R. K.、Wang, G. H. K.(2006)。Transaction tax and market quality of the Taiwan stock index futures。The Journal of Futures Markets,26(12),1195-1216。  new window
30.Bange, Mary M.(2000)。Do the portfolios of small investors reflect positive feedback trading?。Journal of Financial and Quantitative Analysis,35(2),239-255。  new window
31.Kamesaka, Akiko、Nofsinger, John R.、Kawakita, Hidetaka(2003)。Investment Patterns and Performance of investor Groups in Japan。Pacific-Basin Finance Journal,11(1),1-22。  new window
32.Shapira, Z.、Venezia, I.(2001)。Patterns of Behavior of Professionally Managed and Independent Investors。Journal of Banking and Finance,25(8),1573-1587。  new window
33.Hirshleifer, David、Subrahmanyam, Avanidhar、Titman, Sheridan(1994)。Security Analysis and Trading Patterns When Some Investors Receive Information Before Others。Journal of Finance,49(5),1665-1698。  new window
34.Nofsinger, John R.、Sias, Richard W.(1999)。Herding and Feedback Trading by Institutional and Individual Investors。The Journal of Finance,54(6),2263-2295。  new window
35.Odean, Terrance(1998)。Are Investors Reluctant to Realize Their Losses?。The Journal of Finance,53(5),1775-1798。  new window
36.Shefrin, Hersh、Statman, Meir(1985)。The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence。The Journal of Finance,40(3),777-790。  new window
37.Barber, Brad M.、Lee, Yi-Tsung、Liu, Yu-Jane、Odean, Terrance(2009)。Just How Much Do Individual Investors Lose by Trading?。The Review of Financial Studies,22(2),609-632。  new window
38.Odean, Terrance(1998)。Volume, Volatility, Price, and Profit When All Traders Are Above Average。Journal of Finance,53(6),1887-1934。  new window
39.de Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Noise trader risk in financial markets。Journal of Political Economy,98(4),703-738。  new window
40.Benos, A. V.(1998)。Aggressiveness and Survival of Overconfident Traders。Journal of Financial Markets,1(3/4),353-383。  new window
41.Koenker, Roger W.、Bassett, Gilbert W. Jr.(1978)。Regression Quantiles。Econometrica: Journal of the Econometric Society,46(1),33-50。  new window
42.Barber, Brad M.、Odean, Terrance(2001)。Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment。The Quarterly Journal of Economics,116(1),261-292。  new window
43.Gervais, Simon、Odean, Terrance(2001)。Learning to be Overconfident。Review of Financial Studies,14(1),1-27。  new window
44.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance,46(2),733-746。  new window
45.Kahneman, Daniel、Tversky, Amos(1979)。Prospect Theory: An Analysis of Decision under Risk。Econometrica: Journal of the Econometric Society,47(2),263-292。  new window
46.Odean, Terrance(1999)。Do Investors Trade too Much?。American Economic Review,89(5),1279-1298。  new window
47.Daniel, Kent D.、Hirshleifer, David A.、Subrahmanyam, Avanidhar(1998)。Investor Psychology and Security Market under- and Overreactions。The Journal of Finance,53(6),1839-1885。  new window
會議論文
1.Barber, B. M.、Lee, Y. T.、Liu, Y. J.、Odean, T.(2005)。Who Loses from Trade? Evidence from Taiwan。EFA 2005 Moscow Meetings。Moscow。  new window
研究報告
1.Jones, Charles M.、Lipson, Marc(2004)。Are retail orders different?。New York:Columbia University。  new window
2.Kaniel, R.、Saar, G.、Titman, S.(2005)。Individual investor sentiment and stock returns。Durham:Duke University。  new window
3.Wermers, R.(2003)。Is money really smart? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence。Maryland:University of Maryland。  new window
4.Campbell, J. Y.、Ramadorai, T.、Vuolteenaho, T.(2005)。Caught on tape: Institutional order flow and stock returns。Cambridge, MA:National Bureau of Economic Research。  new window
圖書論文
1.De Bondt, W.、Thaler, R. H.(1995)。Financial decision-making in markets and firms: a behavioral perspectives。Finance handbook in operation research and management science。Amsterdam:North Holland。  new window
 
 
 
 
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