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題名:Volatility Information and Derivatives Trading--Directional or Volatility Trades?
書刊名:財務金融學刊
作者:王耀輝顏廣杰
作者(外文):Wang, Yaw-hueiYen, Kuang-chieh
出版日期:2022
卷期:30:4
頁次:頁35-64
主題關鍵詞:標普500指數VIX選擇權訂單買賣差波動預測S&P 500VIXOptionsOrder imbalanceVolatility forecasting
原始連結:連回原系統網址new window
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  • 點閱點閱:7
期刊論文
1.Banerjee, Prithviraj S.、Doran, James S.、Peterson, David R.(2007)。Implied volatility and future portfolio returns。Journal of Banking & Finance,31(10),3183-3199。  new window
2.Diamond, Douglas W.、Verrecchia, Robert E.(1987)。Constraints on short-selling and asset price adjustment to private information。Journal of Financial Economics,18(2),277-311。  new window
3.Johnson, Travis L.、So, Eric C.(2012)。The Option to Stock Volume Ratio and Future Returns。Journal of Financial Economics,106(2),262-286。  new window
4.Xing, Yuhang、Zhang, Xiaoyan、Zhao, Rui(2010)。What Does the Individual Option Volatility Smirk Tell Us about Future Equity Returns?。Journal of Financial and Quantitative Analysis,45(3),641-662。  new window
5.Poon, Ser-Huang、Granger, Clive W. J.(2003)。Forecasting Volatility in Financial Markets: A review。Journal of Economic Literature,41(2),478-539。  new window
6.Cremers, Martijn、Weinbaum, David(2010)。Deviations from Put-call Parity and Stock Return Predictability。Journal of Financial and Quantitative Analysis,45(2),335-367。  new window
7.Giot, Pierre(2005)。Relationships Between Implied Volatility Indexes and Stock Index Returns。Journal of Portfolio Management,31(3),92-100。  new window
8.Cao, Charles、Chen, Zhiwu、Griffin, John M.(2005)。Informational content of option volume prior to takeovers。Journal of Business,78(3),1073-1109。  new window
9.Ni, Sophie X.、Poteshman, Allen M.、Pan, Jun(2008)。Volatility Information Trading in the Option Market。Journal of Finance,63(3),1059-1091。  new window
10.Black, Fischer(1975)。Fact and Fantasy in the Use of Options。Financial Analysts Journal,31(4),36-41+61-72。  new window
11.Pan, Jun、Poteshman, Allen M.(2006)。The information in option volume for future stock prices。The Review of Financial Studies,19(3),871-908。  new window
12.Busch, Thomas、Christensen, Bent J.、Nielsen, Morten Ørregaard(2011)。The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets。Journal of Econometrics,160,48-57。  new window
13.Chan, Kalok、Chung, Y. Peter、Fong, Wai-Ming(2002)。The Informational Role of Stock and Option Volume。Review of Financial Studies,15(4),1049-1075。  new window
14.Bollen, Nicolas P. B.、Whaley, Robert E.(2004)。Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?。Journal of Finance,59(2),711-753。  new window
15.Anthony, Joseph H.(1988)。The Interrelation of Stock and Options Market Trading-Volume Data。Journal of Finance,43(4),949-964。  new window
16.Lamoureux, Christopher G.、Lastrapes, William D.(1993)。Forecasting Stock-return Variance: Toward an Understanding of Stochastic Implied Volatilities。The Review of Financial Studies,6(2),293-326。  new window
17.Christensen, Bent J.、Prabhala, Nagpumanand R.(1998)。The Relation between Implied and Realized Volatility。Journal of Financial Economics,50(2),125-150。  new window
18.Fleming, Jeff(1998)。The Quality of Market Volatility Forecasts Implied by S&P 100 Index Option Prices。Journal of Empirical Finance,5(4),317-345。  new window
19.Stephan, Jens A.、Whaley, Robert E.(1990)。Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets。Journal of Finance,45(1),191-220。  new window
20.Jiang, George J.、Tian, Yisong S.(2005)。The Model-Free Implied Volatility and Its Information Content。Review of Financial Studies,18(4),1305-1342。  new window
21.Roll, Richard、Schwartz, Eduardo、Subrahmanyam, Avanidhar(2010)。O/S: The relative trading activity in options and stock。Journal of Financial Economics,96(1),1-17。  new window
22.Chakravarty, Sugato、Gulen, Huseyin、Mayhew, Stewart(2004)。Informed trading in stock and option markets。Journal of Finance,59(3),1235-1257。  new window
23.Ge, Li、Lin, Tse-Chun、Pearson, Neil D.(2016)。Why Does the Option to Stock Volume Ratio Predict Stock Returns?。Journal of Financial Economics,120(3),601-622。  new window
24.Whaley, Robert E.(2000)。The investor fear gauge。Journal of Portfolio Management,26(3),12-17。  new window
25.Xu, Xinzhong、Taylor, Stephen J.(1995)。Conditional Volatility and the Informational Efficiency of the PHLX Currency Options Market。Journal of Banking and Finance,19,803-821。  new window
26.Easley, David、O'Hara, Maureen、Srinivas, P. S.(1998)。Option volume and stock prices: Evidence on where informed traders trade。Journal of Finance,53(2),431-465。  new window
27.An, Byeong-Je、Ang, Andrew、Bali, Turan G.、Cakici, Nusret(2014)。The Joint Cross Section of Stocks and Options。Journal of Finance,69,2279-2337。  new window
28.Guo, Hui、Whitelaw, Robert F.(2006)。Uncovering the Risk-Return Relation in the Stock Market。The Journal of Finance,61(3),1433-1463。  new window
29.Holowczak, Richard、Hu, Jianfeng、Wu, Liuren(2014)。Aggregating information in option transactions。Journal of Derivatives,21(3),9-23。  new window
30.Hu, Jianfeng(2014)。Does option trading convey stock price information?。Journal of Financial Economics,111(3),625-645。  new window
31.Canina, Linda、Figlewski, Stephen(1993)。The informational Content of Implied Volatility。The Review of Financial Studies,6(3),659-681。  new window
32.Back, Kerry(1993)。Asymmetric information and options。Review of Financial Studies,6(3),435-472。  new window
33.Manaster, Steven、Rendleman, Richard J. Jr.(1982)。Option prices as predictors of equilibrium stock prices。Journal of Finance,37(4),1043-1057。  new window
34.Sheikh, Aamir M.、Ronn, Ehud I.(1994)。A characterization of the daily and intraday behavior of returns on options。Journal of Finance,49,557-579。  new window
35.Fahlenbrach, Rüdiger、Sandås, Patrik(2010)。Does Information Drive Trading in Option Strategies?。Journal of Banking and Finance,34,2370-2385。  new window
36.Amin, Kaushik I.、Lee, Charles M. C.(1997)。Option trading, price discovery, and earnings news dissemination。Contemporary Accounting Research,14,153-192。  new window
37.Blair, Bevan J.、Poon, Ser-Huang、Taylor, Stephen J.(2001)。Modelling S&P 100 volatility: The information content of stock returns。Journal of Banking and Finance,25,1665-1679。  new window
38.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2001)。The Distribution of Realized Exchange Rate Volatility。Journal of the American Statistical Association,96(453),42-55。  new window
39.Clark, Todd E.、West, Kenneth D.(2007)。Approximately Normal Tests for Equal Predictive Accuracy in Nested Models。Journal of Econometrics,138(1),291-311。  new window
40.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Ebens, Heiko(2001)。The distribution of realized stock return volatility。Journal of Financial Economics,61(1),43-76。  new window
41.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance,46(2),733-746。  new window
42.Wang, Yaw-Huei(2013)。Volatility information in the trading activity of stocks, options, and volatility options。Journal of Futures Markets,33(8),752-773。  new window
43.Smith, Kevin(2019)。Financial markets with trade on risk and return。Review of Financial Studies,32(10),4041-4078。  new window
44.Areal, Nelson M. P. C.、Taylor, Stephen J.(2002)。The realized volatility of FTSE-100 futures prices。Journal of Futures Markets,22(7),627-648。  new window
45.Goncalves-Pinto, Luis、Grundy, Bruce D.、Hameed, Allaudeen、van der Heijden, Thijs、Zhu, Yichao(2020)。Why do option prices predict stock returns? The role of price pressure in the stock market。Management Science,66(9),3903-3926。  new window
46.Han, Joong Ho、Kim, Da-Hea、Byun, Suk-Joon(2017)。Informed trading in the options market and stock return predictability。Journal of Futures Markets,37(11),1053-1093。  new window
47.Patel, Vinay、Putniņš, Tālis J.、Michayluk, David、Foley, Sean(2020)。Price discovery in stock and options markets。Journal of Financial Markets,47。  new window
研究報告
1.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2000)。Exchange rate returns standardized by realized volatility are (nearly) Gaussian。  new window
 
 
 
 
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