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題名:臺灣股價指數期貨訂價偏誤與價格反轉
書刊名:中山管理評論
作者:劉海清 引用關係傅英芬 引用關係
作者(外文):Liu, Hai-chingFu, Ying-fen
出版日期:2019
卷期:27:3
頁次:頁631-673
主題關鍵詞:持有成本理論指數期貨訂價偏誤價格反轉資訊內涵Carrying cost theoryIndex futuresMispricingReversal effectInformation contention
原始連結:連回原系統網址new window
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  • 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:31
  • 點閱點閱:9
期刊論文
1.Rey, D. M.、Schmid, M. M.(2007)。Feasible momentum strategies: Evidence from the Swiss stock market。Financial Markets and Portfolio Management,21(3),325-352。  new window
2.Tetlock, P. C.(2011)。All the news that's fit to reprint: do investors react to stale information?。The Review of Financial Studies,24(5),1481-1512。  new window
3.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Return to buying winners and selling losers: Implications for stock market efficiency。The Journal of Finance,48(1),65-91。  new window
4.Lo, A. W.、MacKinlay, A. C.(1990)。When are Contrarian Profits Due to Overreation?。The Review of Financial Studies,3(1),175-205。  new window
5.Yadav, Pradeep K.、Pope, Peter F.(1990)。Stock Index Futures Arbitrage: International Evidence。The Journal of Futures Markets,10(6),573-603。  new window
6.Novy-Marx, Robert(2012)。Is momentum really momentum?。Journal of Financial Economics,103(3),429-453。  new window
7.Fung, A. K. W.、Lam, K.、Lam, Ka-Ming(2010)。Do the prices of stock index futures in Asia overreact to U.S. Market returns?。Journal of Empirical Finance,17(3),428-440。  new window
8.Arshanapalli, B.、Doukas, J.(1993)。International stock market linkages: Evidence from the pre-and post-October 1987 period。Journal of Banking and Finance,17(1),193-208。  new window
9.Modest, D. M.、Sundaresan, M.(1983)。The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence。Journal of Futures Markets,3(1),15-41。  new window
10.Klemkosky, R. C.、Lee, J. H.(1991)。The Intraday Ex Post and Ex Ante Profitability of Index Arbitrage。Journal of Futures Markets,11(3),291-311。  new window
11.Modest, D. M.(1984)。On the Pricing of Stock Index Futures。Journal of Portfolio Management,10,51-57。  new window
12.Hemler, M. L.、Longstaff, F. A.(1991)。General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence。The Journal of Financial and Quantitative Analysis,26(3),287-308。  new window
13.林淑瑜、莊鴻鳴、徐守德(20110400)。正向回饋交易行為對臺灣指數期貨報酬之短期動態的影響。管理與系統,18(2),267-294。new window  延伸查詢new window
14.Cornell, B.、French, K. R.(1983)。The Pricing of Stock Index Futures。Journal of Futures Markets,3,1-14。  new window
15.黃玉娟、郭照榮、徐守德(19980000)。摩根臺股指數期貨的市場效率與套利機會之研究。證券市場發展季刊,10(3)=39,1-29。new window  延伸查詢new window
16.Cornell, B.(1985)。Taxes and the Pricing of Stock Index Futures: Empirical Results。Journal of Futures Markets,5(1),89-101。  new window
17.Ali, Ashiq、Trombley, Mark A.(2006)。Short sales constraints and momentum in stock returns。Journal of Business Finance and Accounting,33(3/4),587-615。  new window
18.Fama, E. F.、French, K. R.(1993)。Common risk factors in the returns on stocks & bonds。Journal of Financial Economics,33(1),3-56。  new window
19.Bhatt, S.、Cakici, N.(1990)。Premiums on Stock Index Futures-Some Evidence。The Journal of Futures Markets,10(4),367-375。  new window
20.Brooks, R.、Negro, M. D.(2006)。Firm-Level Evidence on International Stock Market Comovement。Review of Finance,10,69-98。  new window
21.Grinblatt, M.、Moskowitz, T. J.(2004)。Predicting stock price movements from past returns: The role of consistency and tax-loss selling。Journal of Financial Economics,71(3),541-579。  new window
22.黃柏凱、張元晨、臧大年(20040700)。影響股價指數期貨定價誤差因素之研究--以臺股期貨為例。證券市場發展季刊,16(2)=62,81-114。new window  延伸查詢new window
23.Chordia, Tarun、Shivakumar, Lakshmanan(2002)。Momentum, Business Cycle, and Time-varying Expected Returns。Journal of Finance,57(2),985-1019。  new window
24.Lee, Charles M. C.、Swaminathan, Bhaskaran(2000)。Price Momentum and Trading Volume。The Journal of Finance,55(5),2017-2069。  new window
25.Moskowitz, Tobias J.、Grinblatt, Mark(1999)。Do Industries Explain Momentum?。The Journal of Finance,54(4),1249-1290。  new window
26.王健聰(20160100)。雙重上市指數期貨市場之價差套利以及定價、指數套利與避險比較之研究。管理與系統,23(1),31-64。new window  延伸查詢new window
27.Ammann, M.、Moellenbeck, M.、Schmid, M. M.(2011)。Feasible Momentum Strategies in the US Stock Market。Journal of Asset Management,11,362-374。  new window
28.Cornell, B.、French, K. R.(1983)。Taxes & the Pricing of Stock Index Futures。Journal of Finance,38(3),675-694。  new window
29.Fu H. P.、Wood, A.(2010)。Momentum in Taiwan: Seasonality Matters。Applied Economics Letters,17(13),1247-1253。  new window
30.Fung, A. K. W.、Mok, D. M. Y.、Lam, K.(2000)。Intraday Price Reversals for Index Futures in the US & Hong Kong。Journal of Banking & Finance,24(7),1179-1201。  new window
31.Li, X.、Brooks, C.、Miffre, J.(2009)。Low-cost Momentum Strategies。Journal of Asset Management,9(6),366-379。  new window
32.Nandan, T.、Agrawal, P.、Bhargava, S.(2014)。Mispricing in CNX Nifty Futures: An Empirical Investigation。Asia-Pacific Journal of Management Research and Innovation,10(4),413-422。  new window
33.Rentzler J.、Tandon, K.、Yu, S.(2006)。Intraday Price-reversal Patterns in the Currency Futures Market: The Impact of the Introduction of GLOBEX and the Euro。Journal of Futures Markets,26(11),1089-1130。  new window
34.Tu, A. H.、Hsieh, W. L. G.、Wu, W. S.(2016)。Market Uncertainty, Expected Volatility, and the S&P 500 Index Futures Mispricing: A Behavioral Perspective。Journal of Empirical Finance,35,78-98。  new window
35.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics,49(3),307-343。  new window
36.Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance,52(1),57-82。  new window
37.Chan, Louis K. C.、Jegadeesh, Narasimhan、Lakonishok, Josef(1996)。Momentum Strategies。Journal of Finance,51(5),1681-1713。  new window
38.Rouwenhorst, K. Geert(1998)。International Momentum Strategies。The Journal of Finance,53(1),267-284。  new window
39.胥愛琦、吳清豐(20030900)。臺灣股市報酬與匯率變動之波動性外溢效果--雙變量EGARCH模型的應用。臺灣金融財務季刊,4(3),87-103。new window  延伸查詢new window
40.Figlewski, Stephen(1984)。Hedging Performance and Basis Risk in Stock Index Futures。Journal of Finance,39(3),657-669。  new window
41.Sagi, Jacob S.、Seasholes, Mark S.(2007)。Firm-Specific Attributes and the Cross-Section of Momentum。Journal of Financial Economics,84(2),389-434。  new window
42.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
43.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
44.De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance,40(3),793-805。  new window
45.Hong, Harrison、Stein, Jeremy C.(1999)。A Unified Theory of Underreaction, Momentum Trading, and Overreacton in Asset Markets。Journal of Finance,54(6),2143-2184。  new window
46.Jegadeesh, Narasimhan(1990)。Evidence of Predictable Behavior of Security Returns。The Journal of Finance,45(3),881-898。  new window
47.Lehmann, Bruce N.(1990)。Fads, Martingales, and Market Efficiency。The Quarterly Journal of Economics,105(1),1-28。  new window
48.Fung, Alexander Kwok-Wah、Lam, Kin(2004)。Overreaction of index futures in Hong Kong。Journal of Empirical Finance,11(3),331-351。  new window
49.Grant, James L.、Wolf, Avner、Yu, Susana(2005)。Intraday price reversals in the US stock index futures market: A 15-year study。Journal of Banking and Finance,29(5),1311-1327。  new window
會議論文
1.謝文良、鐘銘泰、曲靜芳(2009)。影響台股指數期貨定價誤差因素與效率性之探討。The 2009 Innovation and Sustainable Operation Between Cross-Strait Academic Conference。Taipei。  延伸查詢new window
圖書
1.Shleifer, A.(2000)。Inefficient Markets: An Introduction to Behavioural Finance。Oxford University Press。  new window
 
 
 
 
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