:::

詳目顯示

回上一頁
題名:臺灣衍生性金融商品市場實證與運用研究文獻回顧與展望
書刊名:臺大管理論叢
作者:林丙輝 引用關係張森林葉仕國 引用關係
作者(外文):Lin, Bing-hueiChung, San-linYeh, Shih-kuo
出版日期:2017
卷期:27:2
頁次:頁211-257
主題關鍵詞:衍生性金融商品實證研究實質選擇權市場微結構DerivativesEmpirical researchReal optionMarket microstructure
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(4) 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:4
  • 共同引用共同引用:162
  • 點閱點閱:158
本文針對國內衍生性金融商品的市場實證與運用研究文獻進行回顧與展望,回顧的文獻範圍是西元2000年以後發表在TSSCI的學術期刊,總計整理了140篇以上相關的研究。在實證研究部分,本文針對衍生性金融商品的期貨市場、選擇權市場以及市場交易機制的相關各項議題進行文獻的回顧與整理。內容涵蓋了期貨與現貨關係、隱含波動率、市場微結構、價格的資訊內涵等較為大眾關切的研究領域。接著整理衍生性金融商品的概念或定價模型運用在其它領域的相關研究,範圍包括了將選擇權的模型應用在風險管理的研究、探討員工認股選擇權的設計與定價、實質選擇權的應用研究及市場業務經營等課題,最後本文提出未來後續研究的展望與結論。
This paper reviews the empirical studies and applications of derivatives in Taiwan. We focus on articles published in TSSCI journals after the year 2000 and more than 140 papers are collected to conduct the survey. Initially, we review and summarize the empirical studies of derivatives markets in Taiwan regarding futures market, options market and market mechanism. These relevant topics include the relationship between futures market and cash market, microstructure issues of derivatives markets and the information content of derivatives prices, which are supposed to be intensively concerned by the general public. We then review the literature of applying the concept or the pricing model of derivatives to other areas such as risk management, employee stock option, real option, business operation and so on. We finally provide potential promising research issues, possible directions for future research and conclude the paper in the last section.
期刊論文
1.黃玉娟、陳嘉琳(20040100)。買賣價差之分解-TAIFEX與SGX-DT之比較。管理評論,23(1),49-72。new window  延伸查詢new window
2.詹司如、許溪南、林靖中、陳建義(20070600)。現貨交易活動對期貨領先地位之影響。交大管理學報,27(1),169-194。new window  延伸查詢new window
3.張森林、石百達、李存修、施宗佐(20091100)。臺股指數期貨保證金估計模型及結構比之研究。期貨與選擇權學刊,2(2),109-138。new window  延伸查詢new window
4.劉德明、戴良安(20071200)。股票衍生性商品組合保證金系統之建構與比較。中山管理評論,15(4),817-853。new window  延伸查詢new window
5.Grinblatt, Mark(2001)。An analytic solution for interest rate swap spreads。International Review of Finance,2(3),113-149。  new window
6.張瓊嬌、古永嘉(20030100)。臺灣股價指數期貨與現貨市場資訊傳遞及價格波動性之研究--雙元 EGARCH-X 模式與介入模式之應用。管理評論,22(1),53-74。new window  延伸查詢new window
7.張美玲、陳麗雪、王國樑(20101100)。臺灣專營期貨商市場結構、效率與獲利率之探討。期貨與選擇權學刊,3(2),71-92。new window  延伸查詢new window
8.張巧宜、張傳盛(20111100)。多空期間投資人情緒與臺股期貨報酬關係。期貨與選擇權學刊,4(2),113-138。new window  延伸查詢new window
9.李珣琮、施勵行(20120600)。再生能源發展政策之效益評估--結合實質選擇權法與成本效率曲線。應用經濟論叢,91,155-196。new window  延伸查詢new window
10.周恆志(20090600)。障礙選擇權違約風險模型之績效與應用。管理學報,26(3),275-289。new window  延伸查詢new window
11.巫亮全、翁崇雄、許耀文(20061000)。ERP Investment Evaluation Based on Options Theory。資訊管理學報,13(專刊),1-16。new window  延伸查詢new window
12.王健聰、闕河士(20061200)。股價波動性、融券賣空限制與定價績效--SGX-DT摩根臺股與TAIFEX臺股指數期貨之實證。交大管理學報,26(2),91-122。new window  延伸查詢new window
13.陳煒朋、吳壽山、洪慧妤(20100500)。選擇權價格效率性、放空限制與雜訊交易者風險。期貨與選擇權學刊,3(1),1-31。new window  延伸查詢new window
14.Mayers, David(1998)。Why Firms Issue Convertible Bonds: The Matching of Financial and Real Investment Options。Journal of Financial Economics,47(1),83-102。  new window
15.連春紅、廖四郎、李政峰(20050100)。估計與比較連續時間利率模型--臺灣商業本票之實證分析。管理評論,24(1),29-53。new window  延伸查詢new window
16.張靜玫(20041200)。實質選擇權與賽局理論在產品開發競爭策略之應用。科技管理學刊,9(4),129-147。new window  延伸查詢new window
17.許溪南、林昭賢、陳浚泓(20051200)。B-S模式與隨機波動性定價模式之比較:臺指選擇權之實證。中山管理評論,13(4),837-871。new window  延伸查詢new window
18.賴藝文、李春安(20060600)。臺灣股票市場導入指數股票型基金後價格發現之研究。交大管理學報,26(1),119-141。new window  延伸查詢new window
19.戴良安、劉德明(20080700)。期貨與選擇權保證金系統之比較研究--回顧與實證。管理與系統,15(3),497-522。new window  延伸查詢new window
20.鄭宗松、溫福星、張景峰、陳富德(20130600)。臺商赴大陸投資實質選擇權之實證研究--以階層線性模式分析。管理學報,30(3),241-261。new window  延伸查詢new window
21.Duan, J. C.、Yeh, C. Y.(2010)。Jump and Volatility Risk Premiums Implied by VIX。Journal of Economic Dynamics and Control,34(11),2232-2244。  new window
22.Shu, J.、Zhang, J. E.(2012)。Causality in The VIX Futures Market。Journal of Futures Markets,32(1),24-46。  new window
23.Chiyachantana, C. N.、Jain, P. K.、Jiang, C.、Wood, R. A.(2004)。International Evidence on Institutional Trading Behavior and Price Impact。The Journal of Finance,59(2),869-898。  new window
24.許美滿、鍾惠民(20090500)。Forecasting Performance of Model-free Implied Volatility for the Taiwan Option Market。期貨與選擇權學刊,2(1),33-68。new window  延伸查詢new window
25.Coval, J. D.、Shumway, T.(2001)。Expected Option Returns。Journal of Finance,56(3),983-1009。  new window
26.Schwartz, E. S.、Moon, M.(2001)。Rational pricing of internet companies revisited。The Financial Review,36(4),7-26。  new window
27.許溪南、詹世煌、謝宗祐(20001200)。選擇權隱含波動性與標的資產歷史波動性及選擇權參數之關聯性。亞太管理評論,5(4),385-401。new window  延伸查詢new window
28.詹家昌、陳光華、許永明(20041000)。投資風險、離職金設計與公司治理結構。管理評論,23(4),113-136。new window  延伸查詢new window
29.林家帆、陳威光、郭維裕(20020700)。高科技產業股票之評價--實質選擇權評價法。管理評論,21(3),97-113。new window  延伸查詢new window
30.Hayes, R. H.、Garvin, D. A.(1982)。Managing as if Tomorrow Mattered。Harvard Business Review,60(3),71-79。  new window
31.McDonald, R.、Siegel, D.(1986)。The Value of Waiting to Invest。The Quarterly Journal of Economics,101(4),707-727。  new window
32.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
33.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
34.王毓敏(20020700)。臺股指數期貨與股票市場交易活動對於波動性的影響。證券市場發展,14(2)=54,49-70。new window  延伸查詢new window
35.袁淑芳、李進生(20070400)。臺灣市場隱含波動率指標的探究:Taifex's VXO與展望理論。管理學報,24(2),211-228。new window  延伸查詢new window
36.林文昌、賴怡洵(20040700)。產險公司合併之選擇權評價模型與模擬。證券市場發展,16(2)=62,1-42。new window  延伸查詢new window
37.許溪南、何怡滿、許羽呈(20120600)。臺指選擇權預期報酬率之探討。證券市場發展,24(2)=94,179-214。new window  延伸查詢new window
38.魏慧珊(20110900)。公司治理與高階主管股票選擇權對股利支付之影響。財務金融學刊,19(3),1-40。new window  延伸查詢new window
39.王友珊、鍾惠民、江佳玲(20041000)。臺灣期貨市場波動性及流動性之動態關聯分析。證券市場發展,16(3)=63,83-108。new window  延伸查詢new window
40.Geske, R.(1977)。The Valuation of Corporate Liabilities as Compound Options。Journal of Financial and Quantitative Analysis,12(4),541-552。  new window
41.Schwartz, E. S.、Moon, M.(2000)。Rational pricing of internet companies。Financial Analysts Journal,56(3),62-75。  new window
42.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
43.王子湄、蕭朝興、丁信瑜(20140600)。臺灣股市收盤資訊揭露制度與價格效率的關聯性。管理學報,31(2),107-134。new window  延伸查詢new window
44.楊東曉、蘇秋竹(20120100)。經理人股權相關薪酬對違約風險的影響。會計評論,54,77-115。new window  延伸查詢new window
45.Trigeorgis, L.(1993)。The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options。Journal of Financial and Quantitative Analysis,28(1),1-20。  new window
46.Aragon, George O.(2007)。Share restrictions and asset pricing: Evidence from the hedge fund industry。Journal of Financial Economics,83(1),33-58。  new window
47.詹場、李志宏(20140300)。市場穩定與競價制度--臺灣期貨市場之實證。經濟論文叢刊,42(1),49-101。new window  延伸查詢new window
48.李存修、盧佳鈺、江木偉(20060100)。臺指選擇權隱含波動率指標之資訊內涵。證券市場發展季刊,17(4)=68,1-42。new window  延伸查詢new window
49.許溪南、徐守德、郭玟秀、鄭麗慧(20070100)。外資介入對臺股指數與指數期貨正逆價差之影響。經濟研究. 臺北大學經濟學系,43(1),65-91。new window  延伸查詢new window
50.陳家彬、劉映興、楊踐為(20101200)。Effect of Transaction Tax on the Relationship between Volatility and Trading Activities of Taiwan Stock Index Futures。交大管理學報,30(2),61-106。new window  new window
51.陳仁遶、李正福(19930700)。A Constant Elasticity of Variance (CEV) Family of Stock Price Distributions in Option Pricing: Review and Integration。中國財務學刊,1(1),29-51。new window  new window
52.鄧家珍、劉維琪(20111200)。CEO Overconfidence and Pecking Order Prediction--Evidence from Taiwanese Electronics Companies。財務金融學刊,19(4),89-118。new window  new window
53.王健聰、許溪南(20020700)。市場不完美度與股價指數期貨定價關係的一些理論假說與實證。經濟研究. 臺北大學經濟學系,38(2),133-163。new window  延伸查詢new window
54.李志偉、張銘仁、黃憲彰、羅烈明(20090500)。以動態規劃法評價員工股票選擇權。期貨與選擇權學刊,2(1),99-116。new window  延伸查詢new window
55.李賢源、朱香蕙、許嘉玲(20061000)。利率交換之利差期間結構模型--吻合殖利率曲線與分析解。管理與系統,13(4),415-440。new window  延伸查詢new window
56.柏婉貞、黃柏農(20090700)。臺股日內指數期貨與現貨市場價格發現與套利行為--多變量門檻自我迴歸模型之應用。證券市場發展季刊,21(2)=82,35-67。new window  延伸查詢new window
57.黃玉娟、詹淑慧、陳則學(20121000)。新加坡摩根臺股期貨到期日效應之因素探討:套利或操縱?。管理與系統,19(4),761-782。new window  延伸查詢new window
58.楊明晶、董澍琦、劉孟宜(20101000)。外匯風險管理--外匯期貨及遠期外匯契約之避險效益分析。證券市場發展季刊,22(3)=87,105-136。new window  延伸查詢new window
59.Hsieh, Tien-shih、Fang, Chen-ling、Goo, Yeon-jia(20090600)。Interaction and Pricing between the Taiex Call Options and Spot Market among Different Levels of Moneyness: Application of Bi-Egarch Model and Neuron Algorithm。Asia Pacific Management Review,14(2),159-174。new window  new window
60.王凱立、陳美玲(20021200)。美國和臺灣股票期現貨市場之動態關聯--一般化多變量GARCH模型的應用。經濟論文,30(4),363-407。new window  延伸查詢new window
61.許溪南、吳依正、黃金生(20090100)。臺灣股價指數的股利估計及其對臺指期貨定價的影響。經濟研究. 臺北大學經濟學系,45(1),103-141。new window  延伸查詢new window
62.謝文良、曲靜芳(20090100)。摩根臺指期貨之到期日效應。管理評論,28(1),1-22+105-109。new window  延伸查詢new window
63.Carpenter, J. N.、Stanton, R.、Wallace, N.(2010)。Optimal exercise of executive stock options and implications for firm cost。Journal of Financial Economics,98(2),315-337。  new window
64.吳博欽、鄭哲惠(20060700)。企業生命週期、產業別與股權評價:Real Option與Ohlson Model之比較。會計評論,43,95-121。new window  延伸查詢new window
65.Menkveld, A. J.(2013)。High frequency trading and the new market makers。Journal of Financial Markets,16(4),712-740。  new window
66.王克陸、陳孟男(20081200)。國家違約強度估計與國家信用違約交換之評價。財務金融學刊,16(4),139-162。new window  延伸查詢new window
67.王毓敏、謝志正(20090300)。預測股價指數波動率--新VIX與長期記憶模型之比較。中山管理評論,17(1),11-45。new window  延伸查詢new window
68.石百達、李娓瑋(20051000)。租稅減讓或定額補貼--實質選擇權之探究。管理學報,22(5),671-678。new window  延伸查詢new window
69.吳佳蓁、謝舒帆(20130100)。實施SPAN保證金計收制度對臺灣期貨市場品質的影響。管理與系統,20(1),139-164。new window  延伸查詢new window
70.吳琮璠、張志宏、王全三(20121100)。期貨商風險資本之計提:ANC與BIS的比較。期貨與選擇權學刊,5(2),1-28。new window  延伸查詢new window
71.李正文、黃良錦(20061000)。臺灣地區專業期貨經紀商經營績效之研究。證券市場發展季刊,18(3)=71,73-115。new window  延伸查詢new window
72.李存修、黃思綺、張睿倩(20120500)。店頭衍生性商品之集中結算與風險管理。期貨與選擇權學刊,5(1),37-78。new window  延伸查詢new window
73.李修全、簡正儀、廖子翔(20140400)。Spillovers of Institutional Trading Activity: Evidence from the Spot and Futures Markets。期貨與選擇權學刊,7(1),37-72。new window  延伸查詢new window
74.杜化宇、邱志忠(20040600)。跳躍過程與網路股的評價--模擬準確性的探討。臺大管理論叢,14(2),109-133。new window  延伸查詢new window
75.杜化宇、劉文謙(20101000)。臺指選擇權盤前交易具有資訊內涵嗎?。證券市場發展季刊,22(3)=87,75-103。new window  延伸查詢new window
76.周治邦、李丹(20070600)。Externality and Optimal Property Taxation: Application of the Real Options Model to Real Estate Investment。財務金融學刊,15(2),141-180。new window  new window
77.周麗娟(20040600)。基金管理費之評價模式。臺大管理論叢,14(2),161-178。new window  延伸查詢new window
78.林忠機、張傳章、陳依仁(20060100)。天然資源專案投資計畫之評價--動態選擇權模擬法。證券市場發展季刊,17(4)=68,87-120。new window  延伸查詢new window
79.林郁翎、張大成(20091000)。具多重債務結構企業信用風險管理模式之建構。管理評論,28(4),43-67。new window  延伸查詢new window
80.邱清顯、劉維琪、林達榮(20061000)。不同隨機影響規模下創投投資決策:實質選擇權法。管理與系統,13(4),393-413。new window  延伸查詢new window
81.洪瑞成、張志宏、黃健銘、邱建良(20131100)。Financial Performance and Business Risk of Futures Commission Merchants: A Panel Threshold Regression Approach。期貨與選擇權學刊,6(2),51-71。new window  延伸查詢new window
82.高櫻芬、宋昌原(20130500)。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。期貨與選擇權學刊,6(1),1-22。new window  延伸查詢new window
83.張大成、林郁翎、蘇郁嵐(20091200)。無股價企業信用風險模式之建立:Merton模型與Ohlson模型之結合。中山管理評論,17(4),1045-1081。new window  延伸查詢new window
84.張傳章、謝佩芳(20160300)。臺灣選擇權市場交易活動之實證研究:文獻回顧與展望。經濟論文叢刊,44(1),57-75。new window  延伸查詢new window
85.莊益源、賴靖宜、王雅晴、薛愛潔(20140900)。臺指選擇權非同步交易時段之資訊內涵。臺大管理論叢,24(S1),1-27。new window  延伸查詢new window
86.郭玟秀(20140600)。市場狀態和臺灣選擇權交易活動與股價關係之探討。應用經濟論叢,95,101-145。new window  延伸查詢new window
87.郭維裕、陳鴻隆、陳威光(20130700)。選擇權市場效率性檢定:隱含波動率成對交易檢定法。管理與系統,20(3),425-458。new window  延伸查詢new window
88.陳明琪、張有中、林逾先(20091000)。技術創新下不同風險型態之最適投資決策:實質選擇權與產品生命週期之應用。管理學報,26(5),507-532。new window  延伸查詢new window
89.菅瑞昌、王健聰、闕河士(20091000)。交易持續時間與交易價格衝擊之關係。管理與系統,16(4),533-554。new window  延伸查詢new window
90.傅瑞彬、陳松男、吳庭斌(20090600)。選擇權賣方有利可圖嗎:加價利益的觀點。臺大管理論叢,19(2),57-74。new window  延伸查詢new window
91.菅瑞昌、闕河士、方怡(20130100)。臺灣期貨交易所股價指數期貨之交易量群聚與成因。管理與系統,20(1),165-200。new window  延伸查詢new window
92.黃宜侯、沈中華、陳志鈞(20130600)。金融海嘯主要事件對信用違約交換之影響。中山管理評論,21(2),255-298。new window  延伸查詢new window
93.黃柏凱(20140700)。國安基金政策績效與期貨市場滑價。管理評論,33(3),1-21。new window  延伸查詢new window
94.黃柏凱、臧大年、何加政、張元晨(20060200)。國安基金以期貨維護現貨策略之分析。管理學報,23(1),125-147。new window  延伸查詢new window
95.黃健銘、蘇欣玫、張惠雅(20091100)。臺股指數期貨與摩根臺股指數期貨之市場效率性檢定及漲跌幅限制的影響。期貨與選擇權學刊,2(2),91-108。new window  延伸查詢new window
96.黃詩婷(20131100)。An Empirical Study of Warrant-Implied CAPM Beta and the Expected Return in the Taiwan Stock Market。期貨與選擇權學刊,6(2),23-49。new window  new window
97.楊東曉、楊聲勇、蔡逸賢(20111100)。買賣權期貨平價誤差與隱含波動度差之應用。期貨與選擇權學刊,4(2),75-112。new window  延伸查詢new window
98.葉仕國、朱漢興、吳建忠(20100100)。以股價選擇權價格資訊衡量公司信用價差之研究。證券市場發展季刊,21(4)=84,71-105。new window  延伸查詢new window
99.葉仕國、陳仁遶、葉宗穎、林丙輝(20150300)。臺灣股票上市櫃公司資產流動性折扣之研究。證券市場發展季刊,27(1)=105,1-32。new window  延伸查詢new window
100.蔡佩玲、林士貴、池祥萱(20120400)。區間價格下公開市場股票買回之評價:互換選擇權之應用。管理與系統,19(2),255-276。new window  延伸查詢new window
101.鄭宗松、梁恕、姜一銘、陳澤嘉(20140900)。Asian Monetary Integration: A Real Option Perspective。證券市場發展季刊,26(3)=103,173-201。new window  延伸查詢new window
102.戴維芯、林美玲、陳明憲(20110500)。未平倉量與交易量對臺指期報酬與波動的不對稱效果。期貨與選擇權學刊,4(1),69-88。new window  延伸查詢new window
103.闕河士、方怡、王怡婷(20131100)。指數期貨結算對股市從眾行為之影響。期貨與選擇權學刊,6(2),1-21。new window  延伸查詢new window
104.謝文良、李進生、袁淑芳(20061000)。臺股市場波動性指標之建構、資訊內涵與交易策略。管理與系統,13(4),471-497。new window  延伸查詢new window
105.Alvarez, F.、Dixit, A.(2014)。A real options perspective on the future of the Euro。Journal of Monetary Economics,61,78-109。  new window
106.張志宏、洪瑞成、邱建良(20130300)。One Gold, Two Currencies: Price Discovery between Spot Exchange Rate and Implied Exchange Rate Derived from Futures。International Journal of Information and Management Sciences,24(1),23-38+a7。new window  new window
107.Chen, Ren-Raw、Filonuk, William、Patro, Dilip K.、Yan, An(2013)。Valuing Financial Assets with Liquidity Discount: An Implication for Basel III。The Journal of Fixed Income,22(3),45-63。  new window
108.Chordia, Tarun、Goyal, Amit、Lehmann, Bruce N.、Saar, Gideon(2013)。High-frequency trading。Journal of Financial Markets,16(4),637-645。  new window
109.Chou, R. Y.、Lee, J. H.、Wu, C. C.(2002)。The effect of futures introduction on market volatility and information transmission。Journal of Financial Studies,10(2),1-22。  new window
110.Chuang, C. C.、Hu, W. C.(2005)。The return and volatility dynamics in the Taiwan stock index and stock index futures markets as a regime-switching process。Journal of Financial Studies,13(1),1-30。  new window
111.Ding, S.、Chen, D.(2013)。Survival analysis on the timing of foreign banks into China from the aspect of traditional real option。Accounting and Finance Research,2(4),11-16。  new window
112.Wu, Ming-cheng、Lin, Liang-jie(20070900)。A Valuation of Managerial Flexibility Embedded Real Options: Evidence from the Taiwan Mobile Telecommunication Industry。International Journal of Information and Management Sciences,18(3),253-269。new window  new window
113.Westerlund, J.、Narayan, P.(2013)。Testing the efficient market hypothesis in conditionally heteroskedastic futures markets。Journal of Futures Markets,33(11),1024-1045。  new window
114.Wang, Yu-min、Lu, Su-lien(20050800)。Impact of the Introduction of Futures Trading on the Volatility in Taiwan Stock Market。Asia Pacific Management Review,10(4),233-241。new window  new window
115.Tsai, C. C.、Lee, T. S.(2004)。An investigate on information transmission of nearby-month Taiwan stock index futures during trading, nontrading, and between trading and nontrading period: Price discovery and content of price volatility。Journal of Financial Studies,12(1),53-80。  new window
116.Trigeorgis, L.(1991)。A Log-transformed Binomial Numerical Analysis Method for Valuing Complex Multi-option Investments。The Journal of Financial and Quantitative Analysis,26(3),309-326。  new window
117.Sircar, R.、Xiong, W.(2007)。A general framework for evaluating executive stock options。Journal of Economic Dynamics and Control,31(7),2317-2349。  new window
118.Rich, D. R.、Leipus, R.(1997)。An option-based approach to analyzing financial contracts with multiple indenture provisions。Advances in Futures and Options Research: A Research Annual,9,1-36。  new window
119.Phylaktis, K.、Aristidou, A.(2013)。Margin changes and futures trading activity: A new approach。European Financial Management,19(1),45-71。  new window
120.盧陽正、王佑鈞、李修全(20130600)。Determinants of New Taiwan Dollar Interest Rate Swap Spreads。財務金融學刊,21(2),91-120。new window  延伸查詢new window
121.劉曦敏、陳孝琪(20061200)。Microstructures, Price Dominance, and Liquidity Measurement of Spot and Futures Markets。財務金融學刊,14(4),59-109。new window  new window
122.Liu, Shinhua、Hung, Ken、段昌文(20111200)。Index Options and Informativeness of the Underlying Stocks' Prices: An Empirical Study。財務金融學刊,19(4),119-139。new window  new window
123.Lin, C. H.、Hsu, H. N.、Li, H. C.(2008)。The dynamics of major type of traders in Taiwan futures market。Journal of Financial Studies,16(3),149-172。  new window
124.Lin, B. H.、Lin, Y. N.(2009)。Synthetic currency cross-hedge using gold futures versus currency forwards under a DCC-GARCH model。Review of Futures Markets,17(4),357-382。  new window
125.Kritzman, M.、Rich, D. R.(1998)。Risk containment for investors with multivariate utility functions。The Journal of Derivatives,5(3),28-44。  new window
126.Huang, Y. C.、Lin, M. P.(2003)。Order imbalance, spread and return: Evidence from TAIFEX and SGX-DT。Journal of Financial Studies,11(2),71-98。  new window
127.Huang, P. K.(2011)。The intervention of NFSF and the overreaction of traders in the futures market。Journal of Financial Studies,19(3),41-80。  new window
128.黃明官(20140600)。Ordering and Pricing Policies for Seasonal Goods with Random Demand and Prompt and Scheduled Delivery Option。Asia Pacific Management Review,19(2),117-131。new window  new window
129.Hayes, R. H.、Abernathy, W. J.(1980)。Managing our way to economic decline。Harvard Business Review,58(4),67-77。  new window
130.Hsieh, G. W. L.(2002)。Market integration, price discovery, and information transmission in Taiwan index futures market。Journal of Financial Studies,10(3),1-31。  new window
131.Grenadier, S. R.(1999)。Information revelation through option exercise。The Review of Financial Studies,12(1),95-129。  new window
132.段昌文(20130400)。Net Buying Pressure, Volatility Smirk and Abnormal Return of TXO。管理與系統,20(2),321-353。new window  new window
133.劉曦敏(20020700)。Forward Pricing Efficiency and Risk Premium of Stock Indices Futures in Pacific-Rim Countries: A Fractinoal (Co)integration Analysis。經濟研究. 臺北大學經濟學系,38(2),165-201。new window  new window
134.Merton, Robert C.(1974)。On the Pricing of Corporate Debt: The Risk Structure of Interest Rates。The Journal of Finance,29(2),449-470。  new window
135.Ohlson, James A.(1995)。Earnings, Book Values, and Dividends in Equity Valuation。Contemporary Accounting Research,11(2),661-687。  new window
136.徐憶文、溫恩孝、李進生、吳壽山(20080500)。臺指選擇權波動率微笑決定因子之研究。期貨與選擇權學刊,1(1),1-31。new window  延伸查詢new window
137.郭維裕、陳威光、陳鴻隆、林信助(20091100)。動態隱含波動度模型:以臺指選擇權為例。期貨與選擇權學刊,2(2),47-89。new window  延伸查詢new window
138.李志宏、李進生、盧陽正(20000400)。新加坡摩根臺指期貨與本國臺指期貨合約稅制、保證金、漲跌設計及替代性之評估。證券市場發展季刊,12(1)=45,147-168。new window  延伸查詢new window
139.柏婉貞、黃柏農(20070700)。臺股指數期貨與現貨市場日內報酬波動與交易量非線性行為之研究。經濟研究. 臺北大學經濟學系,43(2),181-208。new window  延伸查詢new window
140.楊奕農、周恆志、巫春洲(20081200)。農產品期貨價格波動性的到期效應與交易量效應。農業經濟叢刊,14(1),83-110。new window  延伸查詢new window
141.張紹基、王振宇(20001200)。市場間交易資訊流動之探討--以臺灣及新加坡期貨市場為例。亞太管理評論,5(4),423-433。new window  延伸查詢new window
142.薛立言、陳獻儀(20040600)。漲跌幅限制變化對投資人預期之影響。臺大管理論叢,14(2),179-196。new window  延伸查詢new window
143.Chan, Chin-horng、Chen, Hsin-chih(20040200)。The Motivation of Issuing Convertible Bonds in Taiwan Market: A Real Option Approach。Asia Pacific Management Review,9(1),101-118。new window  new window
144.Chen, Ren-Raw(2012)。Valuing a Liquidity Discount。Journal of Fixed Income,21(3),59-73。  new window
研究報告
1.Cossin, D.、Leleux, B.、Saliasi, E.(2002)。Understanding the economic value of legal covenants in investment contracts: A real-options approach to venture equity contracts。International Center for Financial Asset Management and Engineering。  new window
圖書
1.Dean, J.(1951)。Capital Budgeting。New York, NY:Columbia University Press。  new window
2.Dixit, A. K.、Pindyck, R. S.(1994)。Investment under Uncertainty。Princeton University Press。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關書籍
 
無相關著作
 
QR Code
QRCODE